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Understanding Order Management

Overview

The EntryPoint order management interface is BVMF’s latest order entry API for it’s PUMA electronic trading platform. EntryPoint is based on version 4.4 of the Financial Information eXchange (FIX) protocol, and provides seamless access to multiple market segments, such as equities, derivatives, and foreign exchange markets.

The BVMF Gateway uses session-based TCP sockets to connect directly to the EntryPoint server. Sessions for Desk Traders and DMA Traders can be configured on the BVMF Gateway, which identifies the type of trader as well as the entering and executing trader and entering firm in the FIX messages it sends to the EntryPoint server.

Trade Order Number

BVMF provides a 32-character, alphanumeric field for use during order submission. Of these 32 characters, BVMF drops the left most characters and returns only the Trade Order Number (TON), which consists of the last five characters.

The BVMF Gateway uses an algorithm to generate a TT Order Number of the appropriate length (six or eight characters) using the timestamp from the BVMF Gateway. The BVMF Gateway increments this number by one for each new order, and adds this number to the fills.

Whenever the BVMF Gateway receives order and fill information from BVMF with an attached TON, the Order Router uses an algorithm to remap the exchange TON to the original TT Order Number.

Order Server Data Flow

Note

Terminology used in the following data flow matches terminology used in the Gateway System - Logical Architecture diagram. Also, native orders are those orders normally accepted by the exchange's API.

The following is a description of the EntryPoint order connection from the Order Server on the BVMF Gateway to the exchange.

  • Upon startup, the Order Server reads any working orders contained in the *_Mode_orders.tbl files into memory.
  • X_TRADER® submits an order to the Order Server.
  • After receipt, the Order Server passes it to the appropriate Order Router. For details on how the Order Server determines the Order Router to which it passes the order, refer to Order Router Selection.
  • The Order Router assigns a TON to the order and then updates the Order Book with the new order information.
  • The Order Router records the order in its *_Mode_orders.tbl files.
  • The Order Router sends an ACCEPT/Add message to the trader’s Audit Trail (in X_TRADER®).
  • The Order Router sends the order to the BVMF host.
  • Upon receipt, the exchange host sends an order confirmation (containing the TON) back to the Order Router. For further information on the TON, refer to Trade Order Number.
  • The Order Router updates the Order Book with the TON to indicate that a confirmation was received, and writes it to its *_Mode_orders.tbl files.
  • The Order Router sends the order confirmation (as an OK/ADD) to the trader’s Audit Trail in X_TRADER®.

Fill Server Data Flow

Note

Terminology used in the following data flow matches terminology used in the Gateway System - Logical Architecture diagram. Also, native orders are those orders normally accepted by the exchange's API.

The Logical Architecture diagram illustrates the following fill flow:

  • The BVMF host matches the order.
  • The BVMF host sends a fill, with the TON, to the Order Router.
  • The Order Router matches the fill to the recorded order in the Order Book and updates the Order Book according to the type of fill received:
    • If the TON for the fill does not match a TON for an order in the Order Book, the Order Router notifies the trader’s and supervisory trader’s Audit Trails that the trader received a fill but that the fill does not match any of the orders in the Order Book. The Order Router then attempts to generate a fill based upon the data received from BVMF.
    • If the fill completes the order, the Order Router removes the order from the Order Book.
    • If the fill does not complete the order (i.e., it is a partial fill), the Order Router updates the Order Book to reflect the partial fill.
  • The Order Router writes order changes to the *_Mode_orders.tbl files and records the fill in its unique fills.tbl file.
    Note

    The Order Server deletes completed orders from its *_Mode_orders.tbl files only when it restarts.

  • Simultaneously, the Order Router:
    • Sends a fill response to X_TRADER®. X_TRADER® displays a fill in the Audit Trail. X_TRADER® updates the relevant files and screens (i.e., if it is a complete fill, the order is removed from the X_TRADER® Order Book).
    • Sends the fill to the Fill Server.
  • X_TRADER® displays the fill in the Fill window.