Re: ints in the news
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- Subject: Re: ints in the news
- From: Evan Wies <neomantra@...>
- Date: 2012年11月30日 11:59:54 -0500
On 11/29/12 10:43 PM, Rena wrote:
Hmm, someone wanted to buy -6 stocks? Was that a typo, a
misunderstanding of how to sell, or a deliberate act to see what
happens? Or was 4.3 billion interpreted as -6?
I don't think it was a deliberate act -- someone probably wanted to sell
6 shares of a stock? Somehow that internal intention was translated to
the exchange protocol incorrectly, as massive unsigned integer.
Internal trading systems often represent positions with a signed integer
-- with positive being a long position and negative being a short
position. So a position of -100 is short 100 shares. This signed
concept may also be applied to order entry, with negative being a sell.
I couldn't find the protocol specs for the Stockholm Exchange
specifically, but in general order entry protocols would not conflate
order size and order direction. Order size would be an unsigned integer
(represented in ASCII or binary depending on the protocol). Direction
would not be binary buy/sell, but rather an enumeration like "buy",
"long sell", "short sell", and "short sell exempt".
Since the exchange doesn't accept negative numbers, I conclude that it
was a trading firm's internal issue. Either way, there is no
transparency and there are just so many ways things can go wrong.
As of last year, the US equity market requires a pre-trade risk check
before an order is sent to an exchange (so called Rule 15c3-5), so even
if an insane order is generated somewhere in the system, the
exchange-facing gateway will stop it. Of course, if that gateway has a
bug....
If one is interested in seeing what these order entry protocols tend to
look like, NASDAQ's OUCH is a good example [1]. [It is probably one of
the Stockholm Exchange's protocols since it runs on the INET platform.] FIX
-Evan
[1]
http://www.nasdaqtrader.com/content/technicalsupport/specifications/TradingProducts/OUCH4.2.pdf