Support for Anti-Wash (Self-Match Prevention) Functionality

Overview

MX Gateway 7.17.70 or higher supports the MX Anti-Wash functionality, which prevents self-matching orders.

The Anti-Wash functionality protects participants and clients of participants from the involuntary act of engaging in “Wash Trade” transactions as long as both sides contain the same Anti-Wash ID Key.  The Keys are user-defined and configured for each selected user using TT User Setup 7.17.20 or higher.

 Configuring an Anti-Wash KEY

For users connecting to MX Gateway 7.17.70 or higher, the Anti-Wash Key is configured in the Exchange 1 and Exchange 2 fields on the Edit Gateway Login Attributes window or New/Edit User Gateway Logins window in TT User Setup on a per user basis:

  • Exchange 1: Enables/Disables Anti-Wash for the user. Enter the user's Anti-Wash Key in this field, which is required for enabling the exchange's Anti-Wash functionality for a user. To disable Anti-Wash for a user, remove the Key from Exchange 1 and leave the field blank. This field is required for MX if Exchange 2 contains an anti-wash instruction value. The Key can be up to eight (8) alpha-numeric characters (no special characters).
  • Exchange 2: Sets an anti-wash instruction for how the exchange should handle potential wash trades. This field is required if an Anti-Wash Key is entered in Exchange 1 for MX. Enter one of the following values:
    • B —  If a user enters a self-matching order with Exchange 2 = B, the exchange will cancel both the incoming and resting orders.
    • I — If a user enters a self-matching order with Exchange 2 = I, the exchange will cancel the newly entered (aggressing) order. The resting order remains at the exchange.
    • O — If a user enters a self-matching order with Exchange 2 = O, the exchange will cancel the user's resting order and accept the newly entered order.

Note: If  Anti-Wash is enabled for a user,  ensure that the “Avoid Orders that Cross” setting at the account level is disabled (Set to “No”) in TT User Setup for accounts assigned to that user for MX trading.

Gateway Behavior

When an Anti-Wash Key is populated in the Exchange 1 field and an instruction is populated in the Exchange 2 field in TT User Setup, the Order Server populates SAIL field "AntiWashID" with the Exchange 1 value and SAIL field "AntiWashInstruction" with the Exchange 2 value on all order messages sent to the exchange by that user.

For order modifications, the original Key and instruction from the working order are sent to the exchange. Fill and Quote acknowledgements also include the user’s Ant-Wash Key.

The MX Gateway rejects orders with a blank Exchange 2 field (missing instruction) when Exchange 1 is populated with an Anti-Wash Key.

Order Management

Consider the following when using the Anti-Wash functionality supported by MX Gateway 7.17.70 or higher:

  • Anti-Wash rules apply to all Limit and Market order types, qualifiers, restrictions, and expiries natively supported by the exchange except for Committed orders and Stop orders.
  •  The functionality is available for instruments that are in open or pre-opening trading sessions, which allow order cancellations.