Carried Order and Quote Restatements

Good ‘til Cancel (GTC) orders, Good ‘til Date-Time (GTD) orders, and Day orders or quotes entered during partial holiday sessions can result in orders persisting between trading sessions. The CFE BOEv3 protocol provides a mechanism for clients to receive restatements for orders that have been carried forward from the previous business day trading session or prior holiday trading segment. See Port Attributes for information on available port attributes, including Carried Order Restatements. Be advised that BOEv3 ports that are enabled for Quote Updates are required to have the Carried Order Restatements port attribute enabled, and this port attribute cannot be disabled on these sessions.

When enabled, Carried Order Restatements are sent to connected clients for each product on the CFE for which orders or quotes have been carried forward from the previous business day trading session or holiday trading segment. Carried Order Restatements are generated by a given matching unit when the matching unit starts up. TPHs connected to BOEv3 ports will receive the restatements at that time. Persisted orders will be added back into the order book starting at approximately 10 minutes prior to the scheduled queuing time for each futures root. TPHs that are not connected at start up time may retrieve any Carried Order Restatements using the standard BOE replay functionality described in Login, Replay, and Sequencing.

Carried Order Restatements are represented using Order Acknowledgement messages with the following attributes:

• BaseLiquidityIndicator = A (Added Liquidity)
• SubLiquidityIndicator = C (Carried)

To receive Carried Order Restatements on BOEv3 sessions that are not enabled for Quote Updates, the Carried Order Restatement port attribute must be enabled (contact CFE Trade Desk). In addition, since the Carried Order Restatement messages are usually delivered to the session handler before the TPH connects, replay must be requested by setting the ReplayUnspecifiedUnit parameter of the Login Request message Unit Sequence Parameter Group to R (Replay) or specifically set the UnitSequence to zero in the associated unit param group to ensure replay is not suppressed.

Note that no notification is provided at the end of a trading session to indicate when GTC, GTD, or Day orders/quotes on partial holiday sessions are persisted to carry over to the next trading session. Instead, TPHs can use Carried Order Restatements to be notified of orders/quotes that have persisted from the previous session.

The number of GTC/GTD orders in test classes that can be carried over from the prior business day will be limited to three GTC/GTD orders per session per matching unit, for a total of six GTC/GTD orders per BOEv3 session group.