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ICE Gateway

Good Till Cancelled Orders

Overview

ICE Gateways Versions 7.4.1 and above support Good Till Cancelled (GTC) orders.

Note

The ICE Gateway supports Limit GTC orders only. Orders that are sent as Market GTC will be rejected by the Exchange.

Recommendations for Version 7.12 and below

While trading GTC orders on ICE, TT recommends logging into the ICE Gateway daily. ICE will not send GTC order updates to the ICE Gateway if the trader who ‘owns’ the GTC order is not logged in to the Gateway. Once the trader logs in to the ICE Gateway, ICE sends GTC order updates that affected the order while the trader was not logged in (e.g., status, deletes, fills) to all traders sharing the GTC order via Order Book sharing (based on the TT Member and TT Group ID). Once the trader is logged in to the ICE Gateway, all GTC order updates will be received until the end of the day’s trading session. If the Order Server is restarted after the trader closes X_TRADER®, the trader will not be automatically logged in. To ensure GTC order updates are received, the trader must log into X_TRADER® after each Order Server restart.

Note

This recommendation only applies to Versions 7.12 and below. As of Version 7.13, the TT Gateway automatically logs in traders that have working GTC orders. When the Order Server is restarted, although X_TRADER may not be running, a trader login request is automatically sent by the Order Server for any traders with working GTC orders. This ensures that GTC order updates are received.

Recommendations for Version 7.13 and above

Prior to migrating a trader to a different ICE Gateway or to another FIX session on a ICE Gateway configured for multi-sessions, all GTC orders ‘owned’ by that trader should be deleted. The ICE Gateway will not be able to synchronize the GTC order updates from ICE if an order was submitted on another ICE Gateway or another FIX session on a multi-session ICE Gateway.

Note

The ‘owner’ of the order is typically the trader who submitted the order. However, if two traders are sharing order books and cancel-replacing each other’s orders, the owner is the last trader who performed a cancel-replace. When cancel-replacing, the Exchange Order ID will change; however, the TT Site Order Key remains the same for the life of the order.

Restrictions

ICE will only persist information on GTC order updates for two days (48 hours). Traders must log into the ICE Gateway within two days (48 hours) of a GTC order update in order for the ICE Gateway to receive order update information. If a trader is not logged into the ICE Gateway and a GTC order is updated (i.e., filled or deleted), X_TRADER® may not reflect the correct order status.

Note

ICE Gateways Versions 7.13 and above will attempt to auto-login all traders who own GTC orders. Once a log in is successful, the TTADM or another trader sharing the Order Book can delete the order. Manual login is only required in ICE Gateways Version 7.12 and below.

This persistence period applies if:

  • the trader who ‘owns’ the GTC order is not logged into the ICE Gateway
  • the trader’s GTC order is filled or deleted
Note

Please consult ICE for any holidays for which the persistence period may not apply.

If the ICE Gateway detects that a working GTC order has been changed (e.g., quantity change), the following audit trail message will be sent:

Syntax Order quantities updated for (TT Order Key=1A3B56C8 Order No=20045690123): Order Working

Note

This message is sent once when either the direct trader or the mapped TTORD trader logs in. However, TTORDs and TTADMs cannot receive this message. Therefore, if a mapped TTORD trader logs in before the direct trader, neither will receive this message. These messages will be located in the Order Server log file.

Also, this message does not necessarily mean that fills were missed. However, upon receiving this message, traders should ensure that the new working quantity is accounted for by the fills received.

Sharing Order Books

If two users share order books and are mapped to distinct ICE Exchange traders, both users need to log into the ICE Gateway when entering and modifying a shared GTC order. If only one user is logged into the ICE Gateway and attempts to modify a GTC order owned by the other user, the ICE Gateway will reject the attempt with the following audit trail message:

Syntax ICE_IPE: GTC synchronization in process for TRADER

Following GTC synchronization, traders will receive a GTC summary report via a “GTC download is complete” message in the Audit Trail.

To resolve this, the trader who ‘owns’ the GTC order should log in to the ICE Gateway.

Example Order Book Sharing

Two traders, Trader1 and Trader2, share an order book. Trader1 places two GTC orders: Order10 and Order 11. Trader2 changes Order10 and cancel/replaces Order11.

When GTC orders are changed, the order is modified, whereas when a GTC order is cancelled/replaced, the original order is cancelled and a new order is created.

In this scenario, Trader1 ‘owns’ the modified Order10 and Trader2 ‘owns’ the cancel/replaced Order11.

If only Trader2 logs in to the ICE Gateway and attempts to modify Order10, the ICE Gateway will receive the audit trail message:

ICE_IPE: GTC synchronization in process for Trader1

GTC Order Scenarios

The following examples typify GTC order scenarios where the auto-login functionality either does not exist (i.e., in ICE Gateways Version 7.12 and below) or has failed:

Example

A trader enters a GTC order far off the inside market then goes on vacation for two weeks. During that time, the trader does not log into the ICE Gateway. Since the order was far off the market, it was not filled and is still working. The trader returns from vacation and logs into the ICE Gateway. The GTC order information is sent from ICE to the ICE Gateway.

Example

A trader enters a GTC order near the market then goes on vacation for two weeks. On the first day of the trader’s vacation, the order is filled. Since the trader was not logged into the ICE Gateway, the fill was not sent from ICE to the ICE Gateway. Upon return, the trader logs into the ICE Gateway. The Gateway detects that no update was received for the order and sends the following message to the trader’s audit trail:

Please contact ICE US HelpDesk for the misssing GTC Order (TT Order Key=1A3B56C8 Order No=20045690123)

The trader should contact ICE to determine the correct order status. Any fills must be manually inserted into the TT system.

Example

A trader enters a 2 lot GTC order near the market on Monday. The trader is out of the office on Tuesday and on that day, the order is partially filled at 1:15 PM Eastern Time. On Wednesday, the trader logs into the ICE Gateway at 9:00 AM Eastern Time. Since the fill occurred less than two business days before, ICE sends the fill to the ICE Gateway. In this case, the deadline for the trader to log into the ICE Gateway and receive the fill is 1:15 PM Eastern time on Wednesday. The trader will see the following messages in the audit trail:

Order quantities updated for (TT Order Key=09007U002 Order No=3000117): Order Working

Fills received from Exchange for (TT Order Key=09007U002 Order No=3000116)

The fill can also be found in the Fill window and the order can be found in the Order Book with the correct working quantity of 1. The trader should ensure there are no missing fills. An order may be partially filled over a long period of time; some partial fill updates may fall within ICE’s persistence period and some may be outside ICE’s persistence period.