Globex Advisory Notice
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From John M. Restivo, Associate Director Trading Customer Support
Subject System Update #31 Modifying orders bound for GLOBEX�2
Effective Date 03/22/01
Notice Number SU#0131

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. Unless your front-end system has a feature like GLWIN�s Modified Insure or TOPS (3270 users) order logic, 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.

  • Straight-cancel your order.
  • Verify the quantity of the cancelled order.
  • On verification of your cancel, enter a new order with the adjusted quantity.

If you have any questions regarding this memo, please feel free to contact Eugene Bridges at (312) 338-7110 or ebridges@cme.com. Thank you.