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0025-OCRE-order_submission.md

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Order Submission

Summary

To allow traders to interact with the market, they must be able to enter an order

Reference-level explanation

  • Orders can be submitted into any market that is active - i.e not in a protective auction or matured/expired/settled.
  • Order submissions will only be accepted if the quoted price is an integer multiple of the markets tick size.
  • Orders will only be accepted if sufficient margin can be allocated (see : Margin Orchestration and Margin Calculator)
  • Amendments that change price or increase available (displayed) quantity will be executed as an atomic cancel/replace (i.e. as if the original order was cancelled and removed from the book and a new order submitted with the modified values - that is, time priority is lost) Note that this means that increasing the quantity of an iceberg (transparent iceberg) order can be done without losing time priority, as the current displayed size will not be changed. The order will lose time priority on its next refresh in any case (i.e. before the increased size becomes 'displayed' and tradable).
  • Execution of an order during continuous trading will be stopped and the order cancelled and removed (if on the book) if it is about to match with another order on the book for the same party (that is, execution can proceed up to the point a "wash" trade would be generated but stopped before that and the order cancelled). Self-trading / "wash" trading is allowed on auction uncrossing (i.e. to leave an auction).
  • Orders may be fractional in size with the maximum number of decimal places allowable being the Position Decimal Places specified in the Market Framework, and any order containing more precision that this being rejected. (NB: orders may end up being specified as integers similar to how prices are, in which case this does not apply and 1 == the smallest increment given the configured position d.p.s for the market).

Test cases

A completely matching order between the same party is rejected

  • On an empty market
  • Order 1: Trader A enters a limit SELL order for 1 at price 1
  • Order 2: Trader A enters a limit BUY order for 1 at price 1
  • Order 1 remains on the book
  • Order 2 is rejected

A partially matching order between the same party is rejected

  • On an empty market
  • Order 1: Trader A enters a limit SELL order for 1 at price 2
  • Order 2: Trader B enters a limit SELL order for 1 at price 1
  • Order 3: Trader A enters a limit BUY order for 2 at price 100
  • Order 1 remains on the book
  • Order 2 is filled
  • Order 3 is partially filled, then set to status PARTIALLY_FILLED

Acceptance Criteria

  • An order's size must be valid according to the Fractional Order Size spec (0025-OCRE-001). For product spot: (0025-OCRE-004)
  • If an order's price is not an exact multiple of the markets tick size it should be rejected (0025-OCRE-007).
  • Margin will taken before the order is entered into the book (0025-OCRE-002)
    • If sufficient margin cannot be reserved, the order will have a status of REJECTED (0025-OCRE-003)
  • Fees are charged as per 0029-FEES.
  • In Spot market, holding will taken before the order is entered into the book(0025-OCRE-005)
    • If sufficient holding cannot be reserved, the order will have a status of REJECTED (0025-OCRE-006)

Future Work

This spec currently covers how we deal with orders that could trade between a single trader. This spec will be expanded in future merge requests to cover more aspects of order submission and updating.