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>From the CME:
**** FYI - ORAPI is Order Routing API, aka TOPS API.
We would like to make you aware of a condition that can result in overfills
when modifying GLOBEX®2 orders from ORAPI & FIX API connection. The
situation occurs when the quantity is changed on an order that is priced at
the market, and the change is submitted to the GLOBEX®2 trading engine (an
order matching system) simultaneously as the match occurs. The following
scenario shows how a quantity-modify with a price that is at the market can
result in an unintended overfill of an order.
Scenario: An order with a quantity of 10 entered via ORAPI or FIX API
receives a 9 lot partial fill at the same time the user modifies the 10 lot
order to a 5 lot. Because the trading engine was both sending the nine lot
fill information back to the sender at the same time the modify order was
sent, the submitting system had not yet been informed of the partial fill of
the nine lot. The trading engine then replaces the remaining 1 lot order to a
5 lot (this behavior is proper by the trading engine, it was designed to be
an order matching engine, not an order management system). If the 5 lot is
then filled, a total of 14 lots would be filled on an order where no more
than a 10 lot fill was originally desired.
It should be noted that should this occur, TOPS does not currently report the
over-fill on ORAPI & FIX API orders routed to GLOBEX®2. However, GLOBEX®2
does report the fill in its match trade file. To reduce the hazards
associated with the preceding scenario, CME will make enhancement to TOPS so
that any overfills are reported as Too Late Too Cancel (“TLTC”) on the TOPS
display. Details of when this enhancement can be expected to go into
production will be announced soon. We suggest you take the following steps
for any on-the-market GLOBEX®2 bound modify orders made via an ORAPI or FIX
API application.
1. Straight-cancel your order.
2. Verify the quantity of the cancelled order.
3. On verification of your cancel, enter a new order with the adjusted
quantity.
***** Just for the record, I have never had this overfill occur in 3 1/2
years of trading emini contracts. But the CME wants to make sure brokerage
firms know about this possibility.
Regards,
John J. Lothian
Disclosure: Futures trading involves financial risk, lots of it! John J.
Lothian is the President of the Electronic Trading Division of The Price
Futures Group, Inc., an Introducing Broker.
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