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FINANCIAL CHRONICLE™ » FINANCIAL CHRONICLE™ » Minimum Fill Quantity

Minimum Fill Quantity

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1Minimum Fill Quantity Empty Minimum Fill Quantity Sat Mar 03, 2012 1:27 pm

greedy

greedy
Manager - Equity Analytics
Manager - Equity Analytics
This is from ATS 7 rules. It appears that minimum fill quantity option is available in ATS7. However, some broker trading systems have disabled (I don't know the reason). Once the minimum quantity filled the remaining order will be treated as a normal order.

From ATS 7 rules....

Minimum fill quantity

The system allows a minimum fill quantity to be entered for orders. A minimum fill order seeks to execute a stated minimum quantity of securities on entry, failing which the order will be expired. If the minimum quantity is executed, then the remainder will be treated as a regular order (i.e. minimum quantity will no longer apply).

All order types (i.e. Market, Limit, Stop, Stop Limit) can be submitted with a minimum fill quantity specified. If a TIF (Time-In-Force) is submitted for a minimum fill order, the TIF will only apply on the remainder of the order, after the minimum quantity is executed.

Example: A buy limit order of 500 shares with a minimum quantity of 100 and a TIF of GTD is submitted to the order book. It executes the minimum quantity against a contra side order and the remaining quantity of 400 will be added to the order book with the GTD qualifier applied.

The exception will be an FOK min fill order. This will be treated as an FOK order and not a minimum fill order.

Refer these links to see changes in ATS 7 and Complete ATS Rules. If you have read already please just ignore.

http://www.cse.lk/270808/pdf/web_ats_rules/ATS-RULES.pdf
http://www.cse.lk/270808/pdf/web_ats_rules/Salient-Changes-of-the-ATS-Rules.pdf

2Minimum Fill Quantity Empty Re: Minimum Fill Quantity Sat Mar 03, 2012 4:48 pm

Redbulls

Redbulls
Director - Equity Analytics
Director - Equity Analytics
Thanks for the info.

3Minimum Fill Quantity Empty Re: Minimum Fill Quantity Sat Mar 03, 2012 7:01 pm

lemuria


Manager - Equity Analytics
Manager - Equity Analytics
thank you. Good 2 know.

4Minimum Fill Quantity Empty Re: Minimum Fill Quantity Sat Mar 03, 2012 7:05 pm

Roboticfx

Roboticfx
Senior Vice President - Equity Analytics
Senior Vice President - Equity Analytics
Good explanation! Thank you! Very Happy

5Minimum Fill Quantity Empty Re: Minimum Fill Quantity Sat Mar 03, 2012 7:36 pm

kav4


Senior Manager - Equity Analytics
Senior Manager - Equity Analytics
As per the rule, min fill only apply as FOK (Fill of Kill) that means we can't place min fill orders to match in future. (Ex if we put a sell order for 1000 @ 10/- with min fill of 1000, if the buy available is for 9.90, our sell order will immediately get expired as it's act as an FOK order)

No point of having a min fill option like this.

But the new system allows Stop and Stop Limit Orders. That's a good way to stop our losses



Last edited by kav4 on Sat Mar 03, 2012 9:58 pm; edited 1 time in total

6Minimum Fill Quantity Empty Re: Minimum Fill Quantity Sat Mar 03, 2012 9:37 pm

snandasiri

snandasiri
Manager - Equity Analytics
Manager - Equity Analytics
@kav4 wrote:As per the rule, min fill only apply as FOK (Fill of Kill) that means we can't place min fill orders to match in future. (Ex if we put a sell order for 1000 @ 10/- with min fill of 1000, if the buy available is for 9.90, our sell order will immediately get expired as it's ack as an FOK order)

No point of having a min fill option like this.

But the new system allows Stop and Stop Limit Orders. That's a good way to stop our losses
Thanks for the explain. I used minimum fill option before and they all get expired.I thought its another error on the system.
Thanks again.

7Minimum Fill Quantity Empty Re: Minimum Fill Quantity Sun Mar 04, 2012 10:38 am

Roboticfx

Roboticfx
Senior Vice President - Equity Analytics
Senior Vice President - Equity Analytics
yes kav4, min fill option will be useless. Sad

8Minimum Fill Quantity Empty Re: Minimum Fill Quantity Mon Mar 05, 2012 8:42 am

bullrun

bullrun
Assistant Vice President - Equity Analytics
Assistant Vice President - Equity Analytics
Having odd lot is not a problem if we do not want to spend more money to sell or buy them. In India people by in small quantities normally and no extra cost even for small amounts too I suppose.

9Minimum Fill Quantity Empty Re: Minimum Fill Quantity Mon Mar 05, 2012 8:58 am

smallville

smallville
Associate Director - Equity Analytics
Associate Director - Equity Analytics
@greedy wrote:This is from ATS 7 rules. It appears that minimum fill quantity option is available in ATS7. However, some broker trading systems have disabled (I don't know the reason). Once the minimum quantity filled the remaining order will be treated as a normal order.

This is not disabled from brokers, they need to upgrade their trading softwares..

ATS7 supports min fill but the software we use; CDAX, DFN, ATRAD, etc... still support the previous system functions, so these software needed to be ugraded with the next release so that these might've been made compatible with new system.

Only problem is when will they release the next version Wink

10Minimum Fill Quantity Empty Re: Minimum Fill Quantity Mon Mar 05, 2012 12:35 pm

greedy

greedy
Manager - Equity Analytics
Manager - Equity Analytics
@smallville wrote:
@greedy wrote:This is from ATS 7 rules. It appears that minimum fill quantity option is available in ATS7. However, some broker trading systems have disabled (I don't know the reason). Once the minimum quantity filled the remaining order will be treated as a normal order.

This is not disabled from brokers, they need to upgrade their trading softwares..

ATS7 supports min fill but the software we use; CDAX, DFN, ATRAD, etc... still support the previous system functions, so these software needed to be ugraded with the next release so that these might've been made compatible with new system.

Only problem is when will they release the next version Wink


you are correct. so blaming only ATS is not correct as broker systems are incompatible with few features of ATS. CSE was talking about this new system for like more than 18 months.

11Minimum Fill Quantity Empty Re: Minimum Fill Quantity Mon Mar 05, 2012 2:34 pm

hrmjay


Stock Trader
I've seen a lot of discussions about the new ATS and also about the online systems. Curious to note is that a lot of the criticism is leveled at the combination of the "old" main and odd boards and the minimum fill option or lack thereof.

I also find the inclusion of the odd board worrying and tiresome. For example I place an order to sell 100 because I want to sell 100, not 3 out of the hundred.

As for the minimum fill, i see a lot of comments that this option is not accommodated by brokers software, but I noticed that the BMS online system has minimum fill.

12Minimum Fill Quantity Empty Re: Minimum Fill Quantity Mon Mar 05, 2012 3:37 pm

2011_NewComer

2011_NewComer
Senior Manager - Equity Analytics
Senior Manager - Equity Analytics
greedy, thanks for sharing the links to those pdf files.

Did they publish those in the CSE site or from where did u get those?

Smile

13Minimum Fill Quantity Empty Re: Minimum Fill Quantity Mon Mar 05, 2012 4:15 pm

SL.Market

SL.Market
Vice President - Equity Analytics
Vice President - Equity Analytics
@greedy wrote:This is from ATS 7 rules. It appears that minimum fill quantity option is available in ATS7. However, some broker trading systems have disabled (I don't know the reason). Once the minimum quantity filled the remaining order will be treated as a normal order.

From ATS 7 rules....

Minimum fill quantity

The system allows a minimum fill quantity to be entered for orders. A minimum fill order seeks to execute a stated minimum quantity of securities on entry, failing which the order will be expired. If the minimum quantity is executed, then the remainder will be treated as a regular order (i.e. minimum quantity will no longer apply).

All order types (i.e. Market, Limit, Stop, Stop Limit) can be submitted with a minimum fill quantity specified. If a TIF (Time-In-Force) is submitted for a minimum fill order, the TIF will only apply on the remainder of the order, after the minimum quantity is executed.

Example: A buy limit order of 500 shares with a minimum quantity of 100 and a TIF of GTD is submitted to the order book. It executes the minimum quantity against a contra side order and the remaining quantity of 400 will be added to the order book with the GTD qualifier applied.

The exception will be an FOK min fill order. This will be treated as an FOK order and not a minimum fill order.

Refer these links to see changes in ATS 7 and Complete ATS Rules. If you have read already please just ignore.

http://www.cse.lk/270808/pdf/web_ats_rules/ATS-RULES.pdf
http://www.cse.lk/270808/pdf/web_ats_rules/Salient-Changes-of-the-ATS-Rules.pdf


Thanks for the valuable post

14Minimum Fill Quantity Empty Re: Minimum Fill Quantity Mon Mar 05, 2012 5:26 pm

greedy

greedy
Manager - Equity Analytics
Manager - Equity Analytics
@2011_NewComer wrote:greedy, thanks for sharing the links to those pdf files.

Did they publish those in the CSE site or from where did u get those?

Smile

The links are from cse website Smile

15Minimum Fill Quantity Empty Re: Minimum Fill Quantity Wed Feb 06, 2013 9:54 am

udeni

udeni
Manager - Equity Analytics
Manager - Equity Analytics
greedy, thanks for the valuable info.

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