Changes to Leg Level Validation
On 17 August 2023, we will be removing the Leg Level validation for crossing bid-ask prices on the Order Books (GRFQ).
What do you need to know?
In the past, when your leg prices are crossing on existing Order Books, you will receive an Error:
Error 3304: “{instrument_name}. Bid/Ask price cannot be greater than Ask/Bid Price.”
Example
Existing Order Leg 1: 0.1190, Leg 2: 0.0310, Strategy Price: 0.0806
New Order Leg 1: 0.1189, Leg 2: 0.0320. Strategy Price: 0.0817
*Leg 1 Price for New Order is Crossing, However, Strategy Price for the Order is Not.
We will be removing the validation at leg level. As the net strategy prices of 0.0806 / 0.0817 is not crossing, the order is accepted.
What do you need to do?
This is not a breaking change and no actions are required on your end.
However, this represents an opportunity to improve your quoter, as you no longer need to ensure that your leg level prices doesn’t cross.
Makers will still need to ensure that they refresh quotes to keep the leg prices within venue price bands, or it would result in trade rejection.
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