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Exchange Restrictions

Order/Messaging Throughput

The exchange imposes a transaction limit on each order session of 150 transactions per second (TPS) per ’room’. Each ’room’ consists of the following product groups:

  • 2 and 3 year
  • 5 year
  • 7 and 10 year
  • 30 year

Transactions include submits, cancels and replace. Users can work with the exchange to set whether orders are rejected or queued once the transaction limit is met. The exchange configures this behavior for each FIX session

Lone Cancel Functionality

The exchange limits the ability to cancel orders when a user is the only participant at the best price level. The Lone Cancel functionality occurs if all of the following are true:

  • The user is the only participant at the best price level
  • The market is in the resting state
  • The user cancels or modifies an order to the worst price within one (1) second of submitting the initial order

When all of the above conditions occurs, the exchange reduces the size of the initial order to one (1) lot and keeps the order tradable for the remainder of the second. The exchange then deletes the one (1) lot order if it is not filled.

Note

This behavior is not applicable during Trade State. Trade State starts at first trade after a resting market and stops 2 seconds after the last trade.