Cancel-on-Disconnect

Install and import#

npm install fintech-algorithms

import { cancelOnDisconnect } from "fintech-algorithms/matching-engines-and-venue-logic/order-controls/cancel-on-disconnect";

Signature#

cancelOnDisconnect(disconnected_session_id, disconnect_type, trigger_disconnect_types, policy, orders)

Decides which orders to pull when a session drops. Not every disconnect should cancel — a deliberate logout and a network failure are different events, and cancelling a hedge because of a brief blip is its own risk.

Parameters#

Returns#

{ cancelled, retained, triggered, policy, … }

Orders cancelled and retained, with whether the disconnect type triggered at all.

Errors#

• When the policy is unrecognised — throws

Complexity: time O(orders), space O(cancelled).

Worked example#

executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.

Input#

"S-1"

"hard"

["hard", "graceful", "server"]

"cancel_continuous"

[
  {
    "order_id": "O-1",
    "session_id": "S-1",
    "book": "continuous",
    "time_in_force": "DAY",
    "quantity": 100
  },
  {
    "order_id": "O-2",
    "session_id": "S-1",
    "book": "continuous",
    "time_in_force": "GTC",
    "quantity": 200
  },
  {
    "order_id": "O-3",
    "session_id": "S-1",
    "book": "auction",
    "time_in_force": "DAY",
    "quantity": 300
  }
]

Showing 3 of 4 elements.

Call#

cancelOnDisconnect(disconnected_session_id, disconnect_type, trigger_disconnect_types, policy, orders)

Returns#

object with 9 fields: disconnected_session_id, disconnect_type, triggered, policy, canceled_order_ids, retained_orders, canceled_count, retained_count, …

{
  "disconnected_session_id": "S-1",
  "disconnect_type": "hard",
  "triggered": true,
  "policy": "cancel_continuous",
  "canceled_order_ids": ["O-1", "O-2"],
  "retained_orders": [
    {
      "order_id": "O-3",
      "reason": "auction-order-retained"
    },
    {
      "order_id": "O-4",
      "reason": "different-session"
    }
  ],
  "canceled_count": 2,
  "retained_count": 2,
  "state": "purge-applied"
}

Other exports#

This module also exports tickSizeValidation, priceBandValidation, selfTradePrevention, fatFingerLimit, circuitBreakerTrigger, calculate. Every module additionally exports run as an alias of its primary function, and a meta object carrying its catalog id, domain, family, shape and article URL.

Diagrams#

Calculation flow#

flowchart LR
    S1["Validate session trigger list policy and orders"]
    S2["Test whether the disconnect class triggers"]
    S3["Filter orders by owning session"]
    S4["Apply bookTIF retention policy"]
    S5["Return canceled IDs and retention reasons"]
    S1 --> S2
    S2 --> S3
    S3 --> S4
    S4 --> S5
    S5 --> D{"configured trigger and session ownership"}
    D --> O["canceled_order_ids + diagnostics"]
    O --> A["Audit: Orders from another session are never canceled"]

How it works#

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References#

• Nasdaq Introduces Changes to Cancel on Disconnect Functionality — Nasdaq
• Cboe Titanium U.S. Equities FIX Specification — Cboe Global Markets
• Evidence boundary

The rest of the Order Controls family#

• Tick-Size ValidationRejects a price that is not a whole multiple of the instrument's tick.
• Price-Band ValidationChecks a limit price against the venue's dynamic price band.
• Self-Trade PreventionStops a participant trading with itself — required by most venues, and the *mode* determines who loses their order.
• Fat-Finger LimitBlocks obviously erroneous orders on quantity, notional and aggressive price deviation.
• Circuit-Breaker TriggerEvaluates market-wide circuit breaker levels against the index move.