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X_TRADER®

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:

  1. 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.
  2. Order Portions remaining after Step 1 are randomly sorted prior to applying ratio calculations ensuring that...
    • 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.
  3. Total expected position is calculated assuming the new order completely fills.
  4. The ratio for each order portion is calculated as a percentage of the sum of the rule's included order portions.
  5. 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.
  6. 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
  7. 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.
  8. 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.
  9. The sum of the Portion Quantity cannot exceed the Total Order Quantity.
  10. 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.