Suspension of Bait Order Generation related to SCO

6.29.2009

 

Suspension of Bait Order Generation related to Standard Combination Order (SCO)

With regard to execution after placing an order, on June 23, 2009, some TOCOM Members reported that they had received: a) normal execution messages with correct values for the quantity of execution, followed by erroneous messages with incorrect values for the quantity of execution; and, b) erroneous messages with incorrect values for the quantity of remaining orders.

After having investigated the matter, the Exchange was able to determine that: a) the above two problems only occurred in the exceptional case where, following the placement of an SCO, a Bait Order is generated in the underlying contract month and matched with orders that has specific execution allotment conditions; and b) the erroneous values were found with the quantity of remaining orders specified in the execution messages disseminated in that exceptional case.
Furthermore, the Exchange was able to confirm that this defect could be prevented by suspending the generation of Bait Orders in the underlying contract months.

Nasdaq OMX has already modified the relevant code and is currently testing the patch program that will be provided to TOCOM by the morning of June 30. However, since this modification relates to order and execution programming, that is to say the core of the TOCOM trading system, the Exchange will conduct verification tests on and after June 30 to make absolutely certain that other functionalities will not be affected and that no new problem will occur. The patch program is scheduled to be released in the staging environment on July 6, and in the production environment on July 13.

Accordingly, from June 30 to July 10, the Exchange will suspend the generation of Bait Orders in all of the listed contracts, in order to completely resolve this issue and prevent the defect from reoccurring. Please note that order placement and execution process will not be affected by this suspension.

We apologize for the inconveniences.

 

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