Routing Portion Calculations
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When a routing rule is applied to an order, the total order quantity is divided based on the Buy/Sell portions assigned in the selected routing rule. The routing portion is calculated using the following method:
- Potential order
portions listed in the routing rule are limited based on the Buy/Sell
direction of the order:
- If a Buy order, then all order portions with a B/S type of Sell are excluded in the order portion calculations on the order.
- If a Sell order, then all order portions with a B/S type of Buy are excluded in the order portion calculations on the order.
- All portions with a B/S type of Both are included in the portion calculations.
- Order Portions remaining
after Step 1 are randomly sorted prior to applying ratio calculations
- Leftover quantities are assigned with equal fairness.
- Each broker (X_TRADER ASP) or customer (non-X_TRADER ASP) receives an equal chance of being the first order submitted and receiving a favorable position in queue.
- Total expected position is calculated assuming the new order completely fills.
- The ratio for each order portion is calculated as a percentage of the sum of the rule's included order portions.
- Properly sized order portions will produce a target net position for each broker/customer based on their ratio portion of the total expected position, assuming all orders are completely filled.
- If the Buy/Sell direction
of the order is opposite to the direction of the total net position,
(i.e., a new Buy order reverses or reduces an existing Short position,
or a new Sell order reverses or reduces an existing Long position),
then order quantities will be appropriately sized to prevent...
- Some brokers/customers exceeding target net positions, and
- Some brokers/customers being net Long and others net Short
- Buy order portions will not be placed to brokers (X_TRADER ASP) or for customers (non-X_TRADER ASP) whose net position is already greater than their target net position; Sell order portions will not be placed to brokers (X_TRADER ASP) or for customers (non-X_TRADER ASP) if their target net position is already less than their target net position.
- When applying the ratios, incremental contract portions (the non-integer amounts) are assigned one by one as full contracts based upon their highest to lowest values until the total order quantity is achieved. Any ties in non-integer amounts are assigned based on the random sorted orders of the brokers/customers.
- The sum of the Portion Quantity cannot exceed the Total Order Quantity.
- If you place a slicer
using a routing rule that splits the order across multiple brokers
(X_TRADER ASP) or customers (non-X_TRADER ASP), the order portion
ratios are applied to both the total order quantity for each slicer
and to disclosed child order portions, with the following restrictions:
For each broker/customer slicer order that results in a non-zero total order quantity, the disclosed quantity must be at least one (1).
Example: You submit a 10-lot slicer set to disclose 1 at a time split equally across two brokers. This produces two 5-lot slicer orders that each disclose 1-lot at a time.
- The disclosed quantity cannot exceed the total quantity for each slicer.