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Trader Alert 24-07 (*Update*): MEMX Options Message Ordering Change to Quote Cancels as a Result of Replacing Existing Quotes – February 5, 2024

MEMX Options is changing the ordering of quote cancels that result from replacement of existing quotes. Currently these cancels are interlaced with the accept messages from each quote entry. The change results in all cancels occurring first. This change is currently available in the MEMX Options Development Environment (MODE), production release date Monday, February 5, 2024 tomorrow, Thursday, February 1,2024. Below is an example outlining the current and new behavior:

Member has 4 two-sided quotes booked:

  • Underlier – ABC
  • OptionIds – A001, A002, A003, and A004
  • EFID – EF01
  • ClOrdId = AAAA00001

Member sends the following quote updates ClOrdId = AAAA00002:

  • “OptionID” : “A001”, “ListSeqNo”: 1, 
  • “BuyQty” : 100, “BuyPrice” : 10.00, 
  • “SellQty” : 100, “SellPrice” : 11.00
  • “OptionID” : “A002”, “ListSeqNo”: 2,
  • “BuyQty” : 100, “BuyPrice” : 20.00,
  • “SellQty” : 100, “SellPrice” : 21.00
  • “OptionID” : “A003”, “ListSeqNo”: 3,
  •  “BuyQty” : 100, “BuyPrice” : 30.00,
  • “SellQty” : 100, “SellPrice” : 31.00
  • “OptionID” : “A004”, “ListSeqNo”: 4, 
  • “BuyQty” : 100, “BuyPrice” : 40.00, 
  •  “SellQty” : 100, “SellPrice” : 41.00

Current Implementation:

  • CANCELED: { “ClOrdId” : “AAAA0001”, “OptionId” : “A001”, “ListSeqNo” : 1, “Side” : “BUY”, “Qty” : 100 … }
  • CANCELED: { “ClOrdId” : “AAAA0001”, “OptionId” : “A001”, “ListSeqNo” : 1, “Side” : “SELL”, “Qty” : 100 … } 
  • NEW : { “ClOrdID” : “AAAA0002”, “OptionId” : “A001”, “ListSeqNo” : 1, “Side” : “BUY”, “Qty” : 100, “Price” : 10.00 … }
  • NEW : { “ClOrdID” : “AAAA0002”, “OptionId” : “A001”, “ListSeqNo” : 1, “Side” : “SELL”, “Qty” : 100, “Price” : 11.00 … }
  • CANCELED: { “ClOrdId” : “AAAA0001”, “OptionId” : “A002”, “ListSeqNo” : 2, “Side” : “BUY”, “Qty” : 100 … }
  • CANCELED: { “ClOrdId” : “AAAA0001”, “OptionId” : “A002”, “ListSeqNo” : 2, “Side” : “SELL”, “Qty” : 100 … } 
  • NEW : { “ClOrdID” : “AAAA0002”, “OptionId” : “A002”, “ListSeqNo” : 2, “Side” : “BUY”, “Qty” : 100, “Price” : 20.00 … }
  • NEW : { “ClOrdID” : “AAAA0002”, “OptionId” : “A002”, “ListSeqNo” : 2, “Side” : “SELL”, “Qty” : 100, “Price” : 21.00 … }
  • CANCELED: { “ClOrdId” : “AAAA0001”, “OptionId” : “A003”, “ListSeqNo” : 3, “Side” : “BUY”, “Qty” : 100 … }
  • CANCELED: { “ClOrdId” : “AAAA0001”, “OptionId” : “A003”, “ListSeqNo” : 3, “Side” : “SELL”, “Qty” : 100 … } 
  • NEW : { “ClOrdID” : “AAAA0002”, “OptionId” : “A003”, “ListSeqNo” : 3, “Side” : “BUY”, “Qty” : 100, “Price” : 30.00 … }
  • NEW : { “ClOrdID” : “AAAA0002”, “OptionId” : “A003”, “ListSeqNo” : 3, “Side” : “SELL”, “Qty” : 100, “Price” : 31.00 … }
  • CANCELED: { “ClOrdId” : “AAAA0001”, “OptionId” : “A004”, “ListSeqNo” : 4, “Side” : “BUY”, “Qty” : 100 … }
  • CANCELED: { “ClOrdId” : “AAAA0001”, “OptionId” : “A004”, “ListSeqNo” : 4, “Side” : “SELL”, “Qty” : 100 … } 
  • NEW : { “ClOrdID” : “AAAA0002”, “OptionId” : “A004”, “ListSeqNo” : 4, “Side” : “BUY”, “Qty” : 100, “Price” : 40.00 … }
  • NEW : { “ClOrdID” : “AAAA0002”, “OptionId” : “A004”, “ListSeqNo” : 4, “Side” : “SELL”, “Qty” : 100, “Price” : 41.00 … }

Updated Implementation:

  • CANCELED: { “ClOrdId” : “AAAA0001”, “OptionId” : “A001”, “ListSeqNo” : 1, “Side” : “BUY”, “Qty” : 100 … }
  • CANCELED: { “ClOrdId” : “AAAA0001”, “OptionId” : “A001”, “ListSeqNo” : 1, “Side” : “SELL”, “Qty” : 100 … }
  • CANCELED: { “ClOrdId” : “AAAA0001”, “OptionId” : “A002”, “ListSeqNo” : 2, “Side” : “BUY”, “Qty” : 100 … }
  • CANCELED: { “ClOrdId” : “AAAA0001”, “OptionId” : “A002”, “ListSeqNo” : 2, “Side” : “SELL”, “Qty” : 100 … }
  • CANCELED: { “ClOrdId” : “AAAA0001”, “OptionId” : “A003”, “ListSeqNo” : 3, “Side” : “BUY”, “Qty” : 100 … }
  • CANCELED: { “ClOrdId” : “AAAA0001”, “OptionId” : “A003”, “ListSeqNo” : 3, “Side” : “SELL”, “Qty” : 100 … }
  • CANCELED: { “ClOrdId” : “AAAA0001”, “OptionId” : “A004”, “ListSeqNo” : 4, “Side” : “BUY”, “Qty” : 100 … }
  • CANCELED: { “ClOrdId” : “AAAA0001”, “OptionId” : “A004”, “ListSeqNo” : 4, “Side” : “SELL”, “Qty” : 100 … }
  • NEW : { “ClOrdID” : “AAAA0002”, “OptionId” : “A001”, “ListSeqNo” : 1, “Side” : “BUY”, “Qty” : 100, “Price” : 10.00 … }
  • NEW : { “ClOrdID” : “AAAA0002”, “OptionId” : “A001”, “ListSeqNo” : 1, “Side” : “SELL”, “Qty” : 100, “Price” : 11.00 … }
  • NEW : { “ClOrdID” : “AAAA0002”, “OptionId” : “A002”, “ListSeqNo” : 2, “Side” : “BUY”, “Qty” : 100, “Price” : 20.00 … }
  • NEW : { “ClOrdID” : “AAAA0002”, “OptionId” : “A002”, “ListSeqNo” : 2, “Side” : “SELL”, “Qty” : 100, “Price” : 21.00 … }
  • NEW : { “ClOrdID” : “AAAA0002”, “OptionId” : “A003”, “ListSeqNo” : 3, “Side” : “BUY”, “Qty” : 100, “Price” : 30.00 … }
  • NEW : { “ClOrdID” : “AAAA0002”, “OptionId” : “A003”, “ListSeqNo” : 3, “Side” : “SELL”, “Qty” : 100, “Price” : 31.00 … }
  • NEW : { “ClOrdID” : “AAAA0002”, “OptionId” : “A004”, “ListSeqNo” : 4, “Side” : “BUY”, “Qty” : 100, “Price” : 40.00 … }
  • NEW : { “ClOrdID” : “AAAA0002”, “OptionId” : “A004”, “ListSeqNo” : 4, “Side” : “SELL”, “Qty” : 100, “Price” : 41.00 … }

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