Stale Quote Protection refers to configuration settings that can be invoked by MarketFactory, to direct FeedServers to reject orders submitted by the customer application. Rather than sending previously quoted orders to the trading venue. The intent of this is to prevent orders being sent to the venue that are too old or stale, and would ultimately result in venue rejection.

Stale quote protection is available for Taker (liquidity consumer) connections to venues, where the customer application submits previously-quoted orders ( that contain within them a quoteID) specifically;

Name of Trading Venue	MF Feed name
Bank of America Meryll Lynch	BAML
BNP Paribas	BNPP
Barclays Bank	Barx
Citadel Securities	Citadel
Citi Bank	Citi
Commerz Bank	Commerz
Credit Suisse	CreditSuisse
Deutsche Rapid	DeuRapid
EBS Select	EBS Select
Goldman Sachs	GoldmanSachs
HSBC	HSBC
Morgan Stanley	Morgan Stanley
Nomura	Nomura
Royal Bank of Canada	RBC
Royal Bank of Scotland	RBS
Saxo Markets	Saxo
Societe Generale	SocGen
Standard Chartered	StandardChartered
UBS	UBS
XTX	XTX

Stale Quote Protection (Y/N)

• By default MarketFactory stores up to 64 historic quotes in a per-pair cache.

• Enabling Stale Quote protection ensures that the client will never submit orders to the venue against quotes in this cache beyond a certain staleness:

• StaleAfterMilliseconds (chronological age) <2000ms - The number of milliseconds at or after which a quote is considered stale and excluded from consideration for quotes that can be sent to a venue. We start timing staleness of a quote at the point the quote is deleted. The most recent quote is always valid.

• DeleteMessageBuffer (number of quotes age) = 5 - The number of ticks for which a quote is valid. Quotes that arrived less recently than this number of ticks are considered stale and excluded from consideration for quotes that can be sent to a venue. The most recent quote is always valid.

If both parameters are specified, either setting can cause a quote to be removed from consideration.  Another way to think of it is that both conditions must be satisfied in order for a quote to be considered valid.

Example

Quotes

To keep the example simple, we'll use only bid quotes. The example below displays that the history of quotes that live for a duration of a single tick.

StaleAfterMilliseconds=2000, DeleteMessageBuffer not specified

The example below demonstrates the history of quotes once the condition of stale after 200 milliseconds is invoked without the deleted message buffer

StaleAfterMilliseconds not specified, DeleteMessageBuffer = 3

With both conditions invoked (and the buffer size set to a tick size of three (3)) the history for the same period would be seen as below: