Slicer order quantity reduction tool
The disclosed embodiments generally relate to a slicer order quantity reduction tool. An example method for reducing a quantity of a slicer order includes calculating a collective quantity associated with available ones of a plurality of child orders; comparing the collective quantity and a reduction amount received in connection with a quantity reduction request for the slicer order; and determining, when the comparison indicates that the available ones of the child orders have insufficient quantity to meet the reduction amount, whether inflight ones of the plurality of child orders collectively have sufficient quantity to make up a shortfall of the available ones of the child orders.
1. A non-transitory computer readable medium having stored therein instructions executable by a processor, including instructions executable to:
receive a quantity reduction request for a slicer order, wherein the slicer order is associated with at least one child order, and wherein the quantity reduction request comprises a requested reduction amount;
initialize a remaining reduction amount to be the requested reduction amount;
calculating an available quantity for available child orders, wherein the available child orders comprise child orders associated with the slicer order that are working at an exchange and not inflight;
comparing the available quantity and the remaining reduction amount; and
sending a request to the exchange to modify, when the comparison of the available quantity and the remaining reduction amount indicates that the available quantity is insufficient to satisfy the remaining reduction amount, each of the available child orders;
reducing the remaining reduction amount based on the
modification of the available orders;
calculating, when the comparison indicates that the available quantity is insufficient to satisfy the remaining reduction amount, an inflight quantity for inflight orders, wherein the inflight orders are orders of the plurality of orders that are working at the exchange and are inflight, wherein the inflight quantity is the sum of the quantities of the inflight orders;
comparing the inflight quantity and the remaining reduction amount; and
repeating, when the comparison of the inflight quantity and the remaining reduction amount indicates that the inflight quantity is sufficient to satisfy the remaining reduction amount, until the remaining reduction amount is satisfied:
waiting for an inflight order to be completed;
sending a request to the exchange to modify the completed inflight order; and
reducing the remaining reduction amount based on the modification of the completed inflight order.
2. The non-transitory computer readable medium of claim 1 , further including instructions executable to:
sort the child orders associated with the slicer order according to distance from market.
3. The non-transitory computer readable medium of claim 2 , wherein a first child order having a greater distance from market than a second child order indicates that the first child order is likely to be filled later than the second child order.
4. The non-transitory computer readable medium of claim 2 , wherein each of the available child orders is modified in order from farthest from market to nearest to market.
5. The non-transitory computer readable medium of claim 2 wherein the distance from market is calculated according to price, and wherein the distance from market is calculated according to time sent to market for child orders of the same price to maximize the likelihood that the modification will be successful.
6. The non-transitory computer readable medium of claim 2 , wherein the quantity reduction request for the slicer order is generated by a trading device in response to at least one of an event and a condition.
7. The non-transitory computer readable medium of claim 1 , wherein the request to modify an available child order comprises a request to cancel the available child order.
8. The non-transitory computer readable medium of claim 1 , wherein the request to modify an available child order comprises a request to reduce the quantity of the available child order.
9. The non-transitory computer readable medium of claim 1 , further including instructions executable to:
send a request to the exchange to modify, when the comparison of the available quantity and the remaining reduction amount indicates that the available quantity is sufficient to satisfy the remaining reduction amount, at least one of the available child orders.
10. The non-transitory computer readable medium of claim 1 , wherein the quantity reduction request for the slicer order is received from a user.
11. The non-transitory computer readable medium of claim 1 , wherein the request to modify a completed inflight child order comprises a request to cancel the completed inflight child order.
12. The non-transitory computer readable medium of claim 1 , wherein the request to modify a completed inflight child order comprises a request to reduce the quantity of the completed inflight child order.
13. The non-transitory computer readable medium of claim 1 , wherein calculating the inflight quantity for the inflight child orders comprises summing working quantities for each inflight child order.
14. The non-transitory computer readable medium of claim 1 , further including instructions executable to:
cancel an undisclosed quantity of the slicer order; and
reduce the remaining reduction amount based on the cancellation of the undisclosed quantity.
15. The non-transitory computer readable medium of claim 1 , wherein calculating the available quantity for the available child orders comprises summing working quantities for each available child order.
16. The non-transitory computer readable medium of claim 1 , further including instructions executable to:
send a notification of the reduction of the slicer order quantity.