Order Cross Prevention

Order Cross Prevention

Order Cross Prevention Overview

Order Cross Prevention on the TT platform includes multiple methods for preventing traders at a firm from inadvertently or purposely trading with themselves or others trading on the same account.

Avoid Orders That Cross (AOTC) Functionality

The Setup application on TT provides risk administrators with the ability to enable Avoid Orders That Cross (AOTC) functionality and select different AOTC rules per account to prevent order crossing at the exchange.

TT Self-Match Prevention Functionality

TT's Self-Match Prevention by ID (TT SMP) allows risk administrators to configure a unique ID value that helps match and prevent potential order crossing across clearing accounts at the company level. Users can configure Order Defaults and apply TT SMP to Users, Parent Accounts, Child/Sub-Accounts, and Order Profiles. This differs from the Avoid Orders That Cross (AOTC) functionality, which can only be applied at the account level.

Note All of the order cross prevention methods can only compare orders with identical instrument IDs. For example, it cannot match a September outright contract with a Sep-Dec calendar spread.

Order cross prevention rules

At the account-level, you can configure the default behavior for orders that cross within an account and between accounts within your company.

Order Cross Prevention is set for the parent account and inherited by any sub-accounts (child accounts) associated with the parent account. When a parent account is shared with another company, the sharing company can determine which Order Cross Prevention rule is set for the shared-with company's child accounts.

When creating an account, you can select the following order cross prevention rules per account to prevent order crossing at the exchange:

  • Not Applied — No order cross prevention rule is applied to the account.
  • Reject New — Reject a new order that could potentially fill resting orders in the same account or account tree. Applies to only Limit orders and native Iceberg orders.
  • Cancel Resting (wait for ACK) — Send a cancel request to the exchange for the resting order. When the exchange acknowledges the request and cancels the order, submit the new order. Applies to only Limit orders and native Iceberg orders.
  • Position Transfer — When a match is detected, the resting order is canceled or the working order quantity is reduced by the size of the aggressive order. A fill is created by TT and sent to each account. If the aggressive order was larger than the resting order, then the remainder of it will be sent to market. For a description of how Position Transfer works, refer to Position Transfer.

  • Position Transfer (if resting order is best bid/offer) — This rule works the same as Position Transfer except that the internal matching occurs only if an order has the potential to fill a resting order at the current best bid/ask price.

    Note: When using this rule, the resting order may get matched and filled at the exchange while the aggressive order is in flight.

  • Use Reject New instead of Position Transfer within the same account — When enabled, this setting prevents the use of position transfer within the same account and uses "Reject New" for order cross prevention. This setting is active when "Position Transfer" is selected for the account, otherwise, it is grayed-out.
  • Go to market with Position Transfer balances w/o waiting for Cancel/Reducing ACK — When enabled, Position Transfer does the following if the aggressive order quantity is larger than the resting order quantity:

    • Reduces the aggressive order quantity by the amount of the resting order
    • Submits a request to the exchange to cancel the resting order, followed immediately by an order for the remaining quantity without waiting for acknowledgement that the resting order was canceled or reduced.

    For example, if a 2-lot Sell order is resting when a 10-lot Buy order is entered that matches, Position Transfer immediately sends a cancel request to the exchange for the Sell order, followed by an 8-lot Buy order. Position Transfer then waits for the exchange to acknowledge that the 2-lot Sell order was canceled successfully. After receiving acknowledgement, the 2-lot fills are created internally and transferred to each trader's account.

    Using this option, you can submit part of the order to the market sooner while the remainder of the order waits to be transferred. You can also reduce the risk of the entire aggressive order being rejected while waiting for the position transfer to complete.

    Note: With this option, there's a risk that the crossing orders may match at the exchange if the two traders are using separate exchange connections on two different order routing servers.

Position Transfer rules

The Position Transfer rules prevent self-matching to avoid fines and eliminate rejected orders due to potential crosses. For more details, refer to Position Transfer.