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Order handling

Order handling

Order attributes

Members can select whether their orders will be backed up in the event of a system failure using persistent orders. Furthermore members can decide if their orders contain clearing information or not. If members prefer to submit orders without clearing information they will use lean orders. Please note lean orders are always non-persistent.

 

Order persistency

Any order can be entered either as persistent order or as non-persistent order. Non-persistent orders are automatically deleted in the following situations:

  • The product state is changed to Halt.
  • A volatility interrupt has occurred.
  • The owning session is disconnected.
  • A technical back end partition overload condition has been detected.

Persistent orders are persisted in a database of T7. This prevents persistent orders from being lost in case of a technical system failure. During the restart after a system failure, T7 will re-load the persistent orders from the database. The priority time stamp of these orders remains unchanged.

A non-persistent order is processed without the extra step of being persisted in a database. As opposed to persistent orders, non-persistent orders will not be re-loaded to the order book after a system failure, i.e. they will be definitively lost. Non-persistent orders cannot be entered with an order validity GTC or GTD, and therefore they cannot survive until the next business day.

Please note that orders entered via the Eurex Trader GUI are always entered as persistent orders.

Lean orders

Any order type can be flagged as a lean order.

For lean orders, the receipt of status information messages is restricted to the session, through which the order had been entered. Furthermore, only such information messages may be recovered via a retransmission request that is about executions and about events, which were not solicited by the owner of the order.

For an order that is not flagged as a lean order, the receipt of status information messages is not restricted to the session, through which the order had been entered, and information messages about all events regarding the order may be recovered via a retransmission request.

Lean orders are supported on high and low frequency session, not supported on Eurex Trader GUI. Lean orders are only visible to the current session. Lean orders are always non-persistent.

Order modification

A user can modify an order that rests on the order book. The modification request must identify the order with the help of its client order ID – if available – or of its exchange order ID.

The user may modify the limit price and may modify the total order quantity. A new limit price and a new total order quantity are subject to the same validations as for order entry.

The accumulated executed quantity is carried forward to the modified order while the open order quantity gets recalculated if the total order quantity is modified. An attempt to modify the total quantity of an order to a value below the already executed quantity results in the deletion of the order.

The priority time stamp of an order is updated, when:

  • The limit price of the order is changed, or
  • A market order is modified to become a limit order or vice versa, or
  • The total order quantity is increased.

The modification of any other order attribute has no impact on the time priority of an order.

If the instrument state is "Continuous", and if any of the above listed conditions for the update of the priority time stamp is fulfilled, then T7 will make a fresh attempt to match the modified order as if for a new incoming order.

Note that a fresh attempt to match a book order, the quantity of which has been changed, is irrelevant for limit orders, but it could result in a match in the case of a book market order.

The following attributes of an order can not be modified:

  • Instrument identifier
  • Side (buy or sell)
  • Technical order attributes "persistent" and "lean".

Own Order ID

When a new order is accepted by T7, the system assigns it an Exchange Order ID. The Exchange Order ID is guaranteed to be unique among all orders and quotes of the same product that have an open quantity on the same business day.

The entering user may optionally assign a Client Order ID to the order. The Client Order ID is verified by T7 to be unique across the instrument and session scope in the order book at the time of order entry. The Cient Order ID is however not verified to be unique for IOC orders.

When modifying or deleting an order, the user identifies the order either with the Exchange Order ID or with the Client Order ID if available. The user may or may not assign a new Client Order ID to the order with each order modification or deletion. The Exchange Order ID remains in any case unchanged for the entire life time of the order, i.e. an order modification does not result in a change of the Exchange Order ID, even if the time priority of the order is changed.

 
 
 
 

Market Status

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