[This message was posted by Tayloe Draughon of Newedge USA <[email protected]> to the "Algorithmic Trading" discussion forum at http://fixprotocol.org/discuss/31. You can reply to it on-line at http://fixprotocol.org/discuss/read/f0e46f4b - PLEASE DO NOT REPLY BY MAIL.]
Any trading system could replay messages. Most APIs, and FIX in particular, could replay orders into the sell side. This is a reminder that all FIX developers and integrations should pay attention to the Resend, Poss Dupe and Poss Resend flags in your trading systems. When you are asked (at a technical or business level) to replay messages make sure you properly know what needs to happen. Orders become stale over time. Perhaps if you are asked to retransmit an order you should apply business logic to skip stale orders. This is a great discussion to have with your eTrading management team. Keep in mind -- Pre trade risk systems are often upstream of the re-transmission logic. When FIX asks for a retransmission it happens within the FIX engine. Many trading systems don't re-check pre-trade controls before a re-transmission. On the sell side -- when receiving an order with Poss Dupe or Poss Resend, you cannot assume that you haven't received the order. Remember that those flags should be checked and appropriate action taken. By doing these two steps your algo system will be fortified against a repeat of this problem. Thanks Tayloe > Algos Gone Wild on the OSE > By Steve on Jun 10, 2010 > > On June 1st during the first few minutes of the morning session at the Osaka > Securities Exchange (OSE) a prop desk at Deutsche Securities sent several > orders to sell the Nikkei 225 and the mini Nikkei 225 futures. These orders > were “repeatedly sent to the exchange” by “an internal trading systems error” > according to a press release issued by David Hyatt President & CEO of the > firm. The statement continued “a limited number of orders [were] repeatedly > sent”. However, according to a Bloomberg news release there were 980,000 > orders sent. > > Read full article at > > http://www.asiaetrading.com/algos-gone-wild-on-the-ose/ > [You can unsubscribe from this discussion group by sending a message to mailto:[email protected]] -- You received this message because you are subscribed to the Google Groups "Financial Information eXchange" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/fix-protocol?hl=en.
