Why Order Amendments Use Total Quantity to Limit Overfills
Summary
The document explains why an exchange may require the amended total order quantity, including already filled quantity, when reducing an order. If a trader sends only the desired remaining quantity, executions can occur while the amendment is in transit. The exchange may then apply that remaining quantity on top of fills that happened during the delay, allowing more shares to execute than the trader intended.
With a total quantity instruction, the exchange subtracts executions already recorded from the requested total to determine the remaining open amount. In the example, this limits total executed shares to the requested maximum even when fills arrive before the amendment is processed. The mechanism is a conservative safeguard against excess exposure in a race between executions and order updates. The document illustrates the logic with a simple order example but does not cover venue-specific amendment rules, rejection behavior, or timing guarantees.
Key ideas
- Order amendments may be delayed while executions continue to arrive.
- Sending a desired open quantity can cause fills to exceed the intended total.
- A total quantity lets the exchange derive the remaining open size after fills.
- This approach limits exposure during races between execution and amendment processing.
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Full text
# Why some exchanges enforce that you send the total quantity (fill qty + open qty) when changing the order size? # Why some exchanges enforce that you send the total quantity (fill qty + open qty) when changing the order size? Is it to protect against overfills? Can anyone explain in simple terms? ## Answer by rdalmeida (score 1, accepted) https://quant.stackexchange.com/a/20824 Let's say you have an order with 10 shares open. Now you want to cancel it down to 6 shares. If you send just the open quantity you can have the following scenario: - Reduce to 6 sent - 3 shares got executed by the exchange while the reduce above was in-flight - The exchange finally receives and processes the reduce, bringing the open quantity now to 6 - The remaining 6 shares are executed Final situation: your order had 9 shares executed, even thought you wanted to reduce from 10 to 6. That was probably what you did not want. Now if the exchange is requesting total quantity instead of open quantity: - Reduce to 6 sent - 3 shares got executed by the exchange while the reduce above was in-flight - The exchange finally receives and processes the reduce, bringing the total quantity now to 3 instead of 6. That's because the 6 you sent was the total quantity and since now there are 3 shares executed, the open quantity must be 3 (open quantity = total quantity - executed quantity). - The remaining 3 shares are executed The final situation is that your order had 6 shares executed, probably the maximum exposure you wanted. So total quantity avoids overfills. It is a more conservative way to reduce an open order.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.