CQG Server side Volume Stop Rules

CQG Server Side Volume Stop Rules

<< Click to Display Table of Contents >>

Navigation:  »No topics above this level«

CQG Server Side Volume Stop Rules

Volume Stop Orders will be managed server-side for CQG as long as the "Use local volume stops for CQG" is not set.

 

The execution rules for these orders is as follows (from CQG)

 

The CQG Synthetic Order Management (SOM) system allows for non-native order types to be submitted to various Exchanges and FIX engines which connect to 3rd party order routing infrastructures.  Below are the basic rules of SOM application and considerations that need to be taken into account prior to trading with synthetic order types:

Rules

For Long DTS Orders (Dom Triggered Stop)

1. There is the last trade at the stop price AND the best ask at the stop price with the quantity bid <= trigger quantity

2. There is the last trade at the stop price AND the best ask above the stop price

3. There is the last trade above the stop price

4. There is the best ask at the stop price OR Above the stop price

For Short DTS Order (Dom Triggered Stop)

1. There is the last trade at the stop price AND the best bid at the stop price with the quantity offered <= trigger quantity

2. There is the last trade at the stop price AND the best bid below the stop price

3. There is the last trade below the stop price

4. There is the best bid at the stop price OR below the stop price

For Long Stop Orders

1. There is the last trade at the stop price AND the best ask above the stop price

2. There is the last trade above the stop price

3. There is the best ask at the stop price OR Above the stop price

For Short Stop Orders

1. There is the last trade at the stop price AND the best bid below the stop price

2. There is the last trade below the stop price

3. There is the best bid at the stop price OR below the stop price

Considerations

1.        SOM operates based upon market data being fed by exchange head end processes which decode and translate the market data into visible data available on the trading platform.

2.        SOM knows the open and close time of the market based upon Exchange Contract Specifications

3.        SOM does not understand market halt or circuit breaker events

4.        SOM does not understand gaps in market data due to an outage and subsequent preopen in which a new leveling period is experienced, During said time traders are allowed to submit orders just as if it were a normal preopen.  SOM sees this as normal market activity and could and most likely will trigger erroneous orders.  FCM’s and traders are cautioned to be aware of these events and either cancel or suspend synthetic orders, to avoid trading errors.

5.        SOM looks a bids and offers only.  Implied market data is not factored into any decision making by SOM to release an order to the exchange or 3rd party vendor.

6.        SOM will send the order to the exchange as a native order type.  Stop orders will be sent as a limit order with a predefined number of ticks into the market such that the exchange observes the order and acts upon the order.(example: Sell Stop order placed at 99550 when the bid offer is 99800/99825.  The market retracts  to a level sufficient to trigger the Short Stop Order (based upon the rules above) SOM will observe the market data presented at that moment and will send a sell limit order to the exchange with a price 5-20 ticks (exchange depending) below the current bid/ask price thus if the last trade occurs at the stop price 99550, this is the trigger, if there is a market event and the exchange gaps down, to 99150 then back to 99600, SOM will send a similar order 5-20 ticks below the 99150 level.  Depending upon the number of ticks the exchange accepts a limit order off the market, this order could be rejected for banding or filled with an undesirable price.