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OEC API > FIX Support > Front-month Eurodollars LMT/STP price modified in FIX ExecRpt
Author Topic: Front-month Eurodollars LMT/STP price modified in FIX ExecRpt
(6 messages, Page 1 of 1)
Moderators: VPfau
PSturm
Posts: 12
Joined: Mar 15, 2017


Posted: Apr 13, 2017 @ 06:03 AM             Msg. 1 of 6
We've just found a problem in your OECFIX demo environment:

8=FIX.4.4|9=166|35=D|34=3297|49=PSturm|52=20170413-09:56:37.982|56=OEC_TEST|1=API003095|
11=CVS_23|38=1|40=2|44=97.1075|54=1|55=GE|59=1|60=20170413-09:56:37.895|
200=201704|461=FXXXXS|10=224|

8=FIX.4.4|9=228|35=8|34=3374|49=OEC_TEST|52=20170413-09:56:37|56=PSturm|1=API003095|6=0.0000|
11=CVS_23|14=0|17=OECFIX:204553213:355|37=204553213|38=1|39=A|40=2|44=97.11|54=1|55=GE|59=1|60=20170413-09:56:37.418|
150=A|151=1|200=201704|461=FXXXXS|10=164|

The price sent in our initial order is a correct/valid price as Eurodollars front-month is always trading in half-tick (0.0025 increments), but OEC GW is rounding the price up to the nearest full tick 0.005 (which is incorrect as you end up with an order at an incorrect LMT/STP price which doesn't match what the user requested). If your environment doesn't support trades in reduced ticks on the outright you should definitely reject the order with incorrect price message instead of modifying the requested limit price in the Execution report.

Can you please fix this? Also noticed that I'm not allowed to place half-tick orders on GEJ4 symbol from within OEC Trader, as the price increments in 0.005 instead of 0.0025. Seems like the minimum tick on your GE symbol is incorrect there as well.
CMicciche902
Posts: 225
Joined:


Posted: Apr 13, 2017 @ 01:38 PM             Msg. 2 of 6
At the present time, we do not support half-tick trades for Eurodollar futures. This is not just limitation within FIX but our full brokerage. We're hoping to offer this in the future.
Chris M
PSturm
Posts: 12
Joined: Mar 15, 2017


Posted: Apr 13, 2017 @ 02:11 PM             Msg. 3 of 6
Thanks Chris,

What about the OEC FIX GW accepting the half-tick order and rounding it up to the nearest 0.005 tick? I think this order should be rejected with an invalid price in this case when it's not supported by OEC.

Is this happening only in your demo environment, or would this also happen in a live-trading environment? It's a bit concerning us, because the price in the Execution report is also a valid price in this case, furthermore if you send over this price to CME's iLink GW, they would also accept it as a valid price. From the NewOrderSingle message it's clear that the client intended to enter a different price in this case and ended up with a working order 1 tick above his desired LMT price. Can you please give us an update/confirmation on this issue?
Edited by PSturm on Apr 13, 2017 02:11 PM
CMicciche902
Posts: 225
Joined:


Posted: Apr 13, 2017 @ 02:48 PM             Msg. 4 of 6
We are considering rejecting invalid order price for a future release. If you send a price in between a tick, it will be placed with valid tick.
Chris M
CMicciche902
Posts: 225
Joined:


Posted: Apr 17, 2017 @ 10:59 AM             Msg. 5 of 6
After this weekend, the Development environment will reject invalid order prices. This change will be made to public demo and live servers in following releases.
Chris M
PSturm
Posts: 12
Joined: Mar 15, 2017


Posted: Apr 18, 2017 @ 02:27 AM             Msg. 6 of 6
Thank you for the update.