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0014-ORDT-order_types.md

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Order types

Summary

A market using a limit order book will permit orders of various types to be submitted depending on the market's current trading mode (see Market Framework). This specification encompasses multiple configurable aspects of an order including: triggering, time in force, price type, and execution constraints. It defines the allowable values for each, valid combinations of these, and their behaviour.

Notes on scope of current version of this spec:

  • Includes only detailed specification for orders valid for continuous trading, does not specify behaviour of these order types in an auction.

Guide-level explanation

Types of order

  1. Immediate: order is evaluated immediately (this is the default)
  2. Stop: order is only evaluated if and when the stop price is reached
  3. Network: an order triggered by the network. See Network Orders

Order pricing methods

Price type and associated data if required (i.e. limit price, peg reference and offset) must be explicitly provided as one of the below three options and required data, there is no default.

  1. Limit (+ limit price): the order is priced with a static limit price, which is the worst price (i.e. highest buy price / lowest sell price) at which the order can trade. If the order has a persistent validity type it will remain on the order book until it fully executes, expires (as defined by the specific validity type), or is cancelled.
  2. Pegged (+ reference, price offset): the order is priced relative to a reference price in the market (i.e. best bid, mid, or best offer price) and is automatically repriced (losing time priority) when the reference price changes. Execution is as for a limit order at that price, including on entry and repricing. The order is removed from the book and 'parked' (in entry time priority) if the reference price is undefined, including during an auction. See the Pegged Orders spec for more detail.
  3. Market: the order is not priced and will take volume at any price (i.e. equivalent to a zero priced sell order or an infinitely priced buy order). Only valid on non-persistent validity types.

Time in Force / validity

Time in force must be explicitly provided, there is no default.

Persistent:

  1. Good 'Til Time (GTT): order is valid until the supplied expiry time, which may be supplied either as an absolute date/time or a relative offset from the timestamp on the order (i.e. the timestamp added by the core when it receives the order, which is deterministically the same on all nodes)
  2. Good 'Til Cancelled (GTC): order is valid indefinitely.

Non-persistent:

  1. Immediate Or Cancel (IOC): an order that trades as much of its volume as possible with passive orders already on the order book (assuming it is crossed with them) and then stops execution. It is never placed on the book even if it is not completely filled immediately, instead it is stopped/cancelled.
  2. Fill Or Kill (FOK): an order that either trades all of its volume immediately on entry or is stopped/cancelled immediately without trading anything. That is, unless the order can be completely filled immediately, it does not trade at all. It is never placed on the book, even if it does not trade.

Market-state:

  1. Good For Auction (GFA): This order will only be accepted by the system if it arrives during an auction period, otherwise it will be rejected. The order can act like either a GTC or GTT order depending on whether the expiresAt field is set.
  2. Good For Normal (GFN): This order will only be accepted by the system if it arrived during normal trading, otherwise it will be rejected. Normal trading is defined as either continuous trading on a normal market or auction trading in a frequent batch auction market. The order can act like either a GTC or GTT order depending on whether the expiresAt field is set.

Execution flags

  1. Post-Only (True/False): Only valid for Limit orders. Cannot be True at the same time as Reduce-Only. If set to true, once an order reaches the orderbook, this order acts identically to a limit order set at the same price. However, prior to being placed a check is run to ensure that the order will not (neither totally nor in any part) immediately cross with anything already on the book. If the order would immediately trade, it is instead immediately Stopped with a reason informing the trader that the order was stopped to avoid a trade occurring. As a result, placing a Post-Only order will never incur taker fees, and will not incur fees in general if executed in continuous trading. It is possible for some liquidity and infrastructure fees to be paid if the resultant limit order trades at the uncrossing of an auction, as specified in 0029-FEES.
  2. Reduce-Only (True/False): Only valid for Non-Persistent orders. Cannot be True at the same time as Post-Only. If set, order will only be executed if the outcome of the trade moves the trader's position closer to 0. In addition, a Reduce-Only order will not move a position to the opposite side to the trader's current position (e.g. if short, a Reduce-Only order cannot make the trader long as a result). If submitted as IOC, where the full volume would switch sides, only the amount required to move the position to 0 will be executed.

Stop orders

In addition to normal immediately executing orders, Vega should accept the submission of stop orders. These differ from normal orders in that they sit off the order book until triggered, when they are entered as normal. These are generally used to exit positions under pre-defined conditions, either as a "stop loss" order that controls the maximum losses a position may take, a "take profit" order that closes a position once a defined level of profit has been made, or both.

A stop order submission can be made (stop loss or take profit are both just called a stop order internally).

  • Stop order submissions must include either a trigger price OR trailing stop distance as a % move from the reference price in addition to a normal order submission.

  • Stop order submissions must include a trigger direction. Direction may be rises above or falls below. Rises above stops trigger if the last traded price is higher than the trigger level, and falls below stops trigger if the last traded price is lower than the trigger level.

  • A stop trigger can have an optional expiry date/time. If it has an expiry then it can be set either to cancel on expiry (i.e. it is deleted at that time) or trigger on expiry (i.e. the order wrapped in the submission is placed whether or not the trigger level is breached).

  • It is possible to make a single stop order submission or an OCO (One Cancels the Other) stop order submission. An OCO contains TWO stop order submissions, and must include one in each trigger direction. OCOs work exactly like two separate stop orders except that if one of the pair is triggered, cancelled, deleted, or rejected, the other one is automatically cancelled. An OCO submission allows a user to have a stop loss and take profit applied to the same amount of their position without the risk of both trading and reducing their position by more than intended.

    • An OCO submission can be set to have one of three different behaviours at expiry, either triggering one side, triggering the other, or expire without any action. This is configured through the setting of the expiry behaviour on each leg. Setting each leg to trade at expiration will result in the OCO being rejected.

  • The stop order submission wraps a normal order submission.

  • Providing the stop order is not being submitted to a Spot market, a stop order submission may have an optional Size Override:

    • If unset, the size within the contained normal order submission will be used
    • If set to Position, triggering should override the contained order's size with the trader's entire current position on the market.
      • The Position override configuration should also include the option position_fraction which determines what proportion of the position is closed when the stop order is triggered. At time of triggering the size of the order will be determined by $fraction \cdot position$.
      • All Position stop orders existing should be cancelled if a trader's position changes from long to short (or vice versa).

  • The submission is validated when it is received but does not initially interact with the order book unless it is triggered immediately (see below).

  • If and when the trigger price is breached in the specified direction the order provided in the stop order submission is created and enters the book or trades as normal, as if it was just submitted.

  • The order contained in a stop order submission is entered immediately if the trigger price is already breached on entry, except during an auction.

  • When the stop order is a trailing stop, the price at which it is triggered is calculated as the defined distance as a percentage from the highest price achieved since the order was entered if the direction is to trigger on price below the specified level, or the lowest price achieved since the order was entered if the direction is to trigger above the level. Therefore the trigger level of a stop order moves with the market allowing the trader to lock in some amount of gains.

  • The order can't be triggered or trade at all during an auction (even if the current price would normally trigger it immediately on entry).

  • A stop order can be entered during an auction (except opening auction), and can then be triggered by the auction uncrossing price if the auction results in a trade, as well as any trades (including auction uncrossing trades) after that.

  • A stop order entered during opening auction will be rejected.

  • GFA is not a valid TIF for a stop order submission.

  • Spam prevention:

    • In markets which allow leverage. Stop orders will only be accepted from keys with either a non-zero open position or at least one active order.

    • A network parameter will control the maximum number of stop orders per party (suggested initial value: between 4 and 10).

    • In markets which allow leverage. If the trader's position size moves to zero exactly, and they have no open orders, all stop orders will be cancelled.

    • In spot markets, as their is no concept of a position, the trader will need to lock the funds required to execute the wrapped order in the holding account even before the stop order is triggered. Refer to section spot trading for the calculation of the required funds.

Iceberg / transparent iceberg orders

On centralised exchanges, icebergs are a type of order that enables a trader to make an order with a relatively small visible "display quantity" and a larger hidden total size.

Like an iceberg, most of the order is not visible to other traders.

After the full size of the visible portion of the order has traded away, the order is "refreshed" and reappears with its maximum display quantity.

This is repeated until the order is cancelled or expires, or its full volume trades away.

Some platforms also allow the display quantity to be randomised on each refresh to further frustrate traders trying to identify the existence of the iceberg order).

Vega, being a decentralised and fully transparent protocol, cannot (in its current form) achieve the hidden characteristic of iceberg orders. But it can do the rest.

Iceberg orders (or in other words, transparent iceberg orders) are still helpful, especially for market makers and in combination with pegged orders, as they allow a trader to remain competitively present on the order book through the refresh facility without needing to supply excessive volume into a large aggressive order.

Definitions

These terms are used to refer to fields on an order:

  • quantity - the full initial size of the order on entry.

  • displayed quantity - the current displayed quantity, i.e. the amount of the remaining quantity that is active on the book and can be hit. Note that for a non-iceberg order, displayed quantity == remaining.

  • remaining - the total quantity of the order remaining that could trade.

Creating iceberg orders

Iceberg orders are created by populating three additional fields on any valid persistent limit order:

  • initial peak size - this specifies the amount displayed and available on the order book for a new or newly refreshed iceberg order.

  • minimum peak size - this determines when an iceberg order is eligible for refresh. The iceberg is refreshed any time the order's displayed quantity is less than the minimum peak size.

Validity

  • The order's non-iceberg-related fields must be set so as to make a valid order.

  • Any persistent TIF (GTC, GTT, GFA, GFN) can be an iceberg order.

  • An iceberg order may have either an ordinary or pegged limit price. Market iceberg orders are not supported, even if with a persistent TIF.

  • Icebergs may be post only.

  • initial peak size must be greater than or equal to minimum position size (i.e. minimum order size).

  • minimum peak size must be > 0 and ≤ initial peak size

Execution and subsequent refresh

  • On entry, if an iceberg order is crossed with the best bid/ask, it trades first with its full quantity, i.e. the peak sizes do not come into play during aggressive execution. This is to prevent an iceberg order ever being crossed after refreshing.

  • Once they enter the book passively, iceberg orders trade just like non-iceberg persistent order, as if the order entered the book with quantity = initial peak size on submission, and again each time they are refreshed until remaining == 0 (or they are cancelled or expired, etc.). That is:

    • On entry, unlike normal orders, displayed quantity is set to initial peak size not quantity.

    • As for any other order, remaining == quantity on entry.

  • When an iceberg order trades, both remaining and displayed quantity are reduced by the trade size.

  • Iceberg orders can trade many times without refresh, reducing displayed quantity each time. The order will not be refreshed after each trade while displayed quantity ≥ minimum peak size.

  • When displayed quantity < minimum peak size and remaining > displayed quantity the order will be refreshed:

    • The refresh happens at the end of the transaction when the order becomes eligible for refresh.

    • On refresh display quantity is set to min(remaining, initial peak size).

    • A refresh simulates a cancel/replace, which means that on refresh an iceberg order will always lose time priority relative to other orders at the same price.

    • If multiple iceberg orders need to be refreshed at the same time, they are refreshed in the order that their eligibility for refresh was triggered, so the iceberg that dropped below its minimum peak size first is refreshed first (even during the same transaction the sequence of execution must be respected).

  • Once the remaining quantity is equal to the displayed quantity, no further refresh is possible. The order now behaves like a normal limit order and will leave the book if it trades away completely.

  • For an incoming order with size larger than the total displayed quantity at a given price level, the following procedure should be followed:

    • The incoming order trades with all visible volume at the price level, whether an iceberg order or a vanilla limit order

    • If there is still remaining volume in the order once all visible volume at the price level is used up, the remaining quantity is split between the non-visible components of all iceberg orders at this level according to their remaining volumes. For example if there are three iceberg orders with remaining volume 200 lots, 100 lots and 100 lots, an order for 300 lots would be split 150 to the first order and 75 to the two 100 lot orders. If the distribution doesn't divide exactly stick the extra onto the iceberg which is first in terms of time priority.

    • If there are still remaining iceberg orders at this point, refresh their volumes and continue trading. If the incoming order uses up all iceberg orders at this level, continue with any remaining volume to the next price level.

Amendment

  • Amending the size of an iceberg order amends the total remaining quantity and leaves the displayed quantity unaffected unless the new remaining quantity is smaller than the current displayed quantity, in which case the displayed quantity is reduced to the total remaining quantity.

  • Amending the size/quantity of an iceberg order does not cause it to lose time priority. This is because the increase applies to the remaining quantity and not to the displayed quantity. This is allowed because the order will lose time priority on refresh, i.e. before the increased quantity is available to trade.

Auctions

  • Icebergs can be entered or carried into auctions if the underlying TIF is supported.

  • Icebergs can trade in the auction uncrossing up to their full remaining amount as for any other transaction that would cause a trade with an iceberg order. If the remainders of multiple icebergs sit at the same price and are not fully used up, the traded volume should be split between them pro-rata by their total total size. Any integer remainder should be allocated to the iceberg with the highest time priority.

  • Icebergs are refreshed after an auction uncrossing if they traded to below their minimum peak size, according to the same rules as for normal execution.

APIs

  • The fields displayed quantity, remaining, quantity, initial peak size, minimum peak size, refresh policy must be exposed by data node APIs in addition to all normal fields for an order.

  • An iceberg order refresh must generate an event of the event bus.

  • Any API that returns information about market-depth or the orderbook volume will include an iceberg order's full volume and not just its display quantity.

Valid order entry combinations

Continuous trading

Pricing method GTT GTC IOC FOK GFA GFN
Limit Y Y Y* Y* N Y
Pegged Y Y N** N** N Y
Market N N Y Y N N

* IOC/FOK LIMIT orders never rest on the book, if they do not match immediately they are cancelled/stopped.
** IOC/FOK PEGGED orders are not currently supported as they will always result in the cancelled/stopped state. This may change in the future if pegged orders are allowed to have negative offsets that can result in an immediate match.

Auction

Pricing method GTT GTC IOC FOK GFA GFN
Limit Y Y N N Y N
Pegged Y* Y* N N Y* N
Market N N N N N N

* Pegged orders will be parked if placed during an auction, with time priority preserved. See also 0024-OSTA

Network orders

Network orders are used during position resolution. Network orders are orders triggered by Vega to close out positions for distressed traders.

  • Network orders have a counterparty of Network
  • Network orders are a Fill Or Kill, Market orders
  • Network orders cannot be submitted by any party, they are created during transaction processing.

Acceptance Criteria

  • Immediate orders, continuous trading:
    • A persistent (GTT, GTC) limit order that is not crossed with the order book is included on the order book at limit order price at the back of the queue of orders at that price. No trades are generated. (0014-ORDT-001). For product spot: (0014-ORDT-081)
    • An aggressive (GTT, GTC) limit order that crosses with trades >= to its volume is filled completely and does not appear on the order book or in the order book volume. Trades are atomically generated for the full volume. (0014-ORDT-002). For product spot: (0014-ORDT-082)
    • An aggressive persistent (GTT, GTC) limit order that is partially filled generates trades commensurate with the filled volume. The remaining volume is placed on the order book at the limit order price, at the back of the queue of orders at that price. (0014-ORDT-003). For product spot: (0014-ORDT-083)
    • Any GTT limit order that [still] resides on the order book at its expiry time is cancelled and removed from the book before any events are processed that rely on its being present on the book, including any calculation that incorporates its volume and/or price level. (0014-ORDT-004). For product spot: (0014-ORDT-084)
    • A GTT order submitted at a time >= its expiry time is rejected. (0014-ORDT-005). For product spot: (0014-ORDT-085)
  • No party can submit a network order type (0014-ORDT-006). For product spot: (0014-ORDT-086)
  • A pegged order (including iceberg pegged orders) never has its price updated during the execution of an incoming aggressive order (even as price levels get consumed so that its reference price changes after the execution). (0014-ORDT-039)

Iceberg Orders AC's

Iceberg Order Submission

  1. A persistent (GTC, GTT, GFA, GFN) iceberg order that is not crossed with the order book is included in the order book with order book volume == initial peak size. No trades are generated (0014-ORDT-007). For product spot: (0014-ORDT-087)
  2. An iceberg order with either an ordinary or pegged limit price can be submitted (0014-ORDT-008). For product spot: (0014-ORDT-088)
  3. An iceberg post only order can be submitted (0014-ORDT-009). For product spot: (0014-ORDT-089)
  4. An iceberg reduce only order is rejected (0014-ORDT-010). For product spot: (0014-ORDT-090)
  5. For an iceberg order that is submitted with total size x and display size y the margin taken should be identical to a regular order of size x rather than one of size y (0014-ORDT-011) In Spot market, for an iceberg order that is submitted with total size x and display size y the holding asset taken should be identical to a regular order of size x rather than one of size y (0014-ORDT-091)
  6. For an iceberg order, the orders are refreshed immediately after producing a trade. Every time volume is taken from the displayed quantity , the order is refreshed if display quantity < minimum peak size (0014-ORDT-012). For product spot: (0014-ORDT-092)
    • If the order is successfully refreshed , then the order loses its time priority and is pushed to the back of the queue
  7. For an iceberg order that's submitted when the market is in auction, iceberg orders trade according to their behaviour if they were already on the book (trading first the visible size, then additional if the full visible price level is exhausted in the uncrossing) (0014-ORDT-013). For product spot: (0014-ORDT-093)

Iceberg Order Batch Submission

  1. For multiple iceberg orders submitted as a batch of orders with a mix of ordinary limit orders and market orders, the iceberg orders are processed atomically and the order book volume and price, margin calculations , order status are all correct (0014-ORDT-014) In Spot market, for multiple iceberg orders submitted as a batch of orders with a mix of ordinary limit orders and market orders, the iceberg orders are processed atomically and the order book volume and price, holding calculations , order status are all correct. (0014-ORDT-094)
  2. For an iceberg order sitting on the book, when a batch containing normal orders and other iceberg orders that will trades against the existing iceberg sitting on the book is sent, the resting iceberg order refreshes between each order in the batch (0014-ORDT-015). For product spot: (0014-ORDT-095)

Iceberg Order Submission - Negative tests

  1. An iceberg order with a non persistent TIF (IOC, FOK) is rejected with a valid error message (0014-ORDT-016). For product spot: (0014-ORDT-096)
  2. An iceberg market order with any TIF is rejected with a valid error message (0014-ORDT-017). For product spot: (0014-ORDT-097)
  3. A reduce-only iceberg order with any TIF is rejected with a valid error message (0014-ORDT-018). For product spot: (0014-ORDT-098)
  4. An iceberg order with initial peak size greater than the total order size is rejected with a valid error message (0014-ORDT-020). For product spot: (0014-ORDT-099)
  5. An iceberg order with minimum peak size less than 0 is rejected with a valid error message (0014-ORDT-021). For product spot: (0014-ORDT-100)
  6. An iceberg order with minimum peak size greater than initial peak size is rejected with a valid error message (0014-ORDT-022). For product spot: (0014-ORDT-119)

Iceberg Order Amendment

  1. Amending an iceberg order to increase size will increase the total and remaining quantities of the order and time priority of the order is not lost (0014-ORDT-023). For product spot: (0014-ORDT-101)
  2. Amending an iceberg order to decrease size will decrease the total and remaining quantities and time priority of the order is not lost (0014-ORDT-024). For product spot: (0014-ORDT-102)
  3. Amend an iceberg order to decrease size so that the displayed quantity is decreased. Total, displayed and remaining quantity is decreased, margin is recalculated and released and time priority is not lost (0014-ORDT-025)
  4. In Spot market, amend an iceberg order to decrease size so that the displayed quantity is decreased. Total, displayed and remaining quantity is decreased, margin is recalculated and released and time priority is not lost. (0014-ORDT-103)

Iceberg Order Cancellation

  1. Cancelling an iceberg order will cancel the order, remove it from the order book , release margin and update order book to reflect the change (0014-ORDT-026)
  2. In Spot market, cancelling an iceberg order will cancel the order, remove it from the order book , release holding asset and update order book to reflect the change (0014-ORDT-104)

Iceberg Order Execution

  1. An aggressive iceberg order that crosses with an order where volume > iceberg volume, the iceberg order gets fully filled on entry, the iceberg order status is filled, the remaining quantity = 0. Atomic trades are generated if matched against multiple orders (0014-ORDT-027). For product spot: (0014-ORDT-105)
  2. An aggressive iceberg order that crosses with an order where volume < iceberg volume. The initial display quantity is filled and the remaining volume is unfilled. Status of iceberg order is active , the volume remaining = (quantity - initial volume) and the remaining volume sits on the book. When additional orders are submitted which consume the remaining volume on the iceberg order , the volume of the iceberg order is refreshed as and when the volume dips below the minimum peak size (0014-ORDT-028). For product spot: (0014-ORDT-106)
  3. A passive iceberg order (the only order at a particular price level) when crossed with another order that comes in which consumes the full volume of the iceberg order is fully filled. Status of iceberg order is filled and the remaining = 0. Atomic trades are produced (0014-ORDT-029). For product spot: (0014-ORDT-107)
  4. A passive iceberg order with a couple of order that sit behind the iceberg order at the same price that crosses with an order where volume > display quantity of iceberg order. After the first trade is produced , the iceberg order is pushed to the back of the queue and gets filled only when the other orders in front get fully filled (0014-ORDT-030). For product spot: (0014-ORDT-108)
  5. Submit an aggressive iceberg order for size 100. There are multiple matching orders of size 30,40,50. Ensure the orders are matched and filled in time priority of the orders and any remaining volume on the orders is correctly left behind. (0014-ORDT-031). For product spot: (0014-ORDT-109)
  6. Submit an aggressive iceberg order for size 100. There are multiple matching orders of size 20,30. Ensure the orders are matched and filled in time priority of the orders. Ensure remaining volume on the iceberg order is (100 - (20+30)) (0014-ORDT-032). For product spot: (0014-ORDT-110)
  7. When a non iceberg order sitting on the book is amended such that it trades with with an iceberg order, then the iceberg order is refreshed (0014-ORDT-033). For product spot: (0014-ORDT-111)
  8. Wash trading is not permitted for iceberg orders. The same party has one iceberg order that sits at the back of the queue, another normal order in opposite direction, when the iceberg at the back comes in front the normal order should be stopped. ( 0014-ORDT-034). For product spot: ( 0014-ORDT-118)
  9. For a price level with multiple iceberg orders, if an aggressive order hits this price level, any volume greater than the displayed volume at a level is split proportionally between the hidden components of iceberg orders at that price level
    1. If there are three iceberg orders with remaining volume 200 lots, 100 lots and 100 lots, an order for 300 lots would be split 150 to the first order and 75 to the two 100 lot orders. (0014-ORDT-037). For product spot: (0014-ORDT-112)
    2. If there are three iceberg orders with remaining volume 200 lots, 100 lots and 100 lots, an order for 600 lots would be split 200 to the first order and 100 to the two 100 lot orders, with 200 lots then taking farther price levels. (0014-ORDT-038). For product spot: (0014-ORDT-113)

Snapshots

  1. All data pertaining to iceberg orders is saved and can be restored using the snapshot (0014-ORDT-035). For product spot: (0014-ORDT-114)

API

  1. API end points should be available to query initial peak size, minimum peak size, quantity, displayed quantity and remaining (0014-ORDT-036). For product spot: (0014-ORDT-115)
  2. The additional fields relating to iceberg orders should be available in the streaming api end points (0014-ORDT-069). For product spot: (0014-ORDT-116)
  3. API end points showing market-depth or price-level volume should include the full volume of iceberg orders (0014-ORDT-070). For product spot: (0014-ORDT-117)

Stop orders

  • Once triggered, a stop order is removed from the book and cannot be triggered again. (0014-ORDT-041). For spot products (0014-ORDT-124)

  • A stop order placed by a key with a zero position and no open orders will be rejected. (0014-ORDT-042)

  • A stop order placed by a key with a zero position but open orders will be accepted. (0014-ORDT-043)

  • In a spot market, a stop order placed by a key with no position or open orders will be accepted. (0014-ORDT-125)

  • Attempting to create more stop orders than is allowed by the relevant network parameter will result in the transaction failing to execute. (0014-ORDT-044). For spot products (0014-ORDT-126)

  • A stop order wrapping a limit order will, once triggered, place the limit order as if it just arrived as an order without the stop order wrapping. (0014-ORDT-045). For spot products (0014-ORDT-167)

  • A stop order wrapping a market order will, once triggered, place the market order as if it just arrived as an order without the stop order wrapping. (0014-ORDT-046). For spot products (0014-ORDT-168)

  • With a last traded price at 50, a stop order placed with Rises Above setting at 75 will be triggered by any trade at price 75 or higher. (0014-ORDT-047). For spot products (0014-ORDT-169)

  • With a last traded price at 50, a stop order placed with Rises Above setting at 25 will be triggered immediately (before another trade is even necessary). (0014-ORDT-048). For spot products (0014-ORDT-170)

  • With a last traded price at 50, a stop order placed with Falls Below setting at 25 will be triggered by any trade at price 25 or lower. (0014-ORDT-049). For spot products (0014-ORDT-171)

  • With a last traded price at 50, a stop order placed with Falls Below setting at 75 will be triggered immediately (before another trade is even necessary). (0014-ORDT-050). For spot products (0014-ORDT-172)

  • With a last traded price at 50, a stop order placed with any trigger price which does not trigger immediately will trigger as soon as a trade occurs at a trigger price, and will not wait until the next mark price update to trigger. (0014-ORDT-051)

  • A stop order with expiration time T set to expire at that time will expire at time T if reached without being triggered. (0014-ORDT-052). For spot products (0014-ORDT-173)

  • A stop order with expiration time T set to execute at that time will execute at time T if reached without being triggered. (0014-ORDT-053). For spot products (0014-ORDT-174)

    • If the order is triggered before reaching time T, the order will have been removed and will not trigger at time T. (0014-ORDT-054). For spot products (0014-ORDT-175)
    • An OCO stop order with expiration time T with one side set to execute at that time will execute at time T if reached without being triggered, with the specified side triggering and the other side cancelling. This must be tested both sides (fall below and rise above). (0014-ORDT-131). For spot products (0014-ORDT-176)
    • An OCO stop order with expiration time T with both sides set to execute at that time will be rejected on submission (0014-ORDT-130). For spot products (0014-ORDT-165)

  • A stop order set to trade volume x with a trigger set to Rises Above at a given price will trigger at the first trade at or above that price. (0014-ORDT-055). For spot products (0014-ORDT-177)

  • If a pair of stop orders are specified as OCO, one being triggered also removes the other from the book. (0014-ORDT-056). For spot products (0014-ORDT-166)

  • If a pair of stop orders are specified as OCO and one triggers but is invalid at time of triggering (e.g. a buy when the trader is already long) the other will still be cancelled. (0014-ORDT-058).

  • A trailing stop order for a 5% drop placed when the price is 50, followed by a price rise to 60 will:

  • A trailing stop order for a 5% rise placed when the price is 50, followed by a drop to 40 will:

  • A trailing stop order for a 25% drop placed when the price is 50, followed by a price rise to 60, then to 50, then another rise to 57 will:

  • A stop order placed during an auction will not execute during an auction, nor will it participate in the uncrossing. (0014-ORDT-065). For spot products (0014-ORDT-147)

  • A stop order placed during an auction, where the uncrossing price is within the triggering range, will immediately execute following uncrossing. (0014-ORDT-066). For spot products (0014-ORDT-148)

  • A stop order placed prior to an auction will not execute during an auction, nor will it participate in the uncrossing. (0014-ORDT-134). For spot products (0014-ORDT-149)

  • A stop order placed prior to an auction, where the uncrossing price is within the triggering range, will immediately execute following uncrossing. (0014-ORDT-135). For spot products (0014-ORDT-150)

  • An order with a stop is placed during continuous trading. The market goes into auction. The market exits auction, the condition for triggering the stop is not met. The stop order is still present. (0014-ORDT-136). For spot products (0014-ORDT-151)

  • A party places a stop order on a market in continuous trading, the market moves to an auction and the party cancels the stop order. When the market exits the auction the party no longer has a stop order. (0014-ORDT-132). For spot products (0014-ORDT-152)

  • A stop order placed during the opening auction, will be rejected. (0014-ORDT-133). For spot products (0014-ORDT-153)

  • If a trader has open stop orders and their position moves to zero whilst they still have open limit orders their stop orders will remain active. (0014-ORDT-067)

  • If a trader has open stop orders and their position moves to zero with no open limit orders their stop orders are cancelled. (0014-ORDT-068)

  • A Stop order that hasn't been triggered can be cancelled. (0014-ORDT-071). For spot products (0014-ORDT-154)

  • All stop orders for a specific party can be cancelled by a single stop order cancellation. (0014-ORDT-072). For spot products (0014-ORDT-155)

  • All stop orders for a specific party for a specific market can be cancelled by a single stop order cancellation. (0014-ORDT-073). For spot products (0014-ORDT-156)

  • If a stop order is placed with a position_fraction equal to 0.5 and the position size is 5 then the rounding should be equal to 3 (0014-ORDT-138)

Stop Orders - Negative Cases

  • Stop orders submitted with post_only=True are rejected. (0014-ORDT-074). For spot products (0014-ORDT-157)
  • Stop orders submitted with invalid values for trigger price (0, negative values) and trailing percentage (0, negative values) are rejected. (0014-ORDT-075). For spot products (0014-ORDT-158)
  • Stop orders submitted with expiry in the past are rejected. (0014-ORDT-076). For spot products (0014-ORDT-159)
  • GFA Stop orders submitted are rejected. (0014-ORDT-077). For spot products (0014-ORDT-160)
  • Stop orders once triggered can not be cancelled. (0014-ORDT-078). For spot products (0014-ORDT-161)
  • If a stop order is placed with a position_fraction equal to 0 the order should be rejected. (0014-ORDT-139)
  • A party with a long position cannot enter a buy stop order, and a party with a short position cannot enter a sell stop order (0014-ORDT-137)

Stop Orders - Snapshots

  • Stop orders are saved and can be restored using the snapshot and will be triggered once the trigger conditions are met. (0014-ORDT-079)

Stop Orders - API

  • API end points should be available to query stop orders with all relevant fields. (0014-ORDT-080)

Stop Orders - Linked

  • A stop order with a size override linked to the position of the trader will use the current position as an override of the triggered order size. (0014-ORDT-127)
  • All stop orders with a position size override should be cancelled if the trader's position flips sides (long->short or short->long). (0014-ORDT-128)
  • A stop order with a position size override with a position_fraction set to 0.75, for a trader with long position 20, should create a stop order for selling size 15 when triggered (0014-ORDT-129)
  • Given a spot market, a stop order with a position size override will be rejected (0014-ORDT-162)

Perpetuals

  • All order types should be able to be placed and act in the same way on a perpetual market as on an expiring future market. Specifically this includes:

Spot

  • A trader submitting a stop order wrapping a buy limit order will have the funds required to execute that order locked in the relevant holding account for the quote asset. (0014-ORDT-163)
  • A trader submitting a stop order wrapping a sell limit order will have the funds required to execute that order locked in the relevant holding account for the base asset (0014-ORDT-164)

See also