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Avoid Orders That Cross

Overview

The TT Gateway 7.17.20 and higher provides the Avoid Orders That Cross (AOTC) functionality. By providing AOTC, the gateway can consistently prevent all connected users and trading applications from crossing orders within the same account or account group in the TT system.

TT Client Impact

TT User Setup 7.17.10 and higher is used to configure and enable Avoid Orders That Cross at the account/account-group level, as well as at the user-level. When configured at the account-level, the AOTC settings determine the default behavior for orders that cross within an account and between accounts within an account group.

Risk administrators can select one of the following AOTC settings when creating or modifying an account or account group:

  • No

    Cross orders are allowed for the account.

  • Yes -Reject new (recommended setting)

    A new order is rejected by the gateway if it’s determined that it will cross with another order from the same account or account group.

  • Yes - Cancel resting

    The gateway cancels a resting order that can be crossed from the same account or account group and replaces the order with a new order.

    Note

    TT does not recommend using this setting at the account level in conjunction with using it at the user level.

For a list of impacts to each TT Client based on these settings, refer to the AOTC client support document.

AOTC Gateway Behavior

The gateway performs the AOTC check as follows when an order is added, resubmitted, modified, or cancel/replaced:

  1. Orders that have been sent but not yet acknowledged by the gateway are checked first.

    In-flight orders that are part of an OCO (One Cancels the Other) are not included as part of the check.

  2. Resting orders that are the opposite of the newly submitted outbound order are checked next.
  3. If a cross is detected, the gateway will either cancel the resting order and replace it with the new order (Cancel resting) or reject the order (Reject New) depending on which setting is selected in TT User Setup.
    Note

    Orders submitted for contracts in non-trading states (Pre-Open, Auction, Freeze, etc.) are not included in the AOTC check by the gateway. Also, order quantities and position in queue are not considered as part of AOTC.

Only Limit or native Iceberg orders are checked by the AOTC functionality. All other exchange-supported order types and restrictions are not impacted in addition to the following:

  • Held orders
  • Deleted orders
  • Go To Market orders
  • Stops that have not been triggered
  • Timed orders still in “Waiting” state
  • Synthetic held hedge orders
  • Position Reserve orders
  • Synthetic SE or Staged orders

Exchange-specific Impact

Exchanges may have their own implementation of self-match prevention or AOTC.

Note: AOTC will always be the first point of contact for an order on any exchange. For example, an ICE order will go through the AOTC functionality, first, and then it will go through ICE STPF (Self Trade Prevention). Both the settings are independent of each other and there is no override.

The following TT Gateways support exchange-specific implementations: