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roq-trading / roq-issues

Issue tracker for Roq's software solutions.
https://roq-trading.com/
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[roq-server] ModifyOrder can't increase the quantity #369

Open thraneh opened 1 year ago

thraneh commented 1 year ago

This failure is caused by a safety check required to deal with order updates arriving out of sequence: remaining quantity was not allowed to increase.

This used to be an issue with FTX's protocol: no guarantees were given to the ordering.

thraneh commented 9 months ago

Have now added check before the ModifyOrder is sent to exchange.

Increasing order (total) quantity will result in Error::INVALID_QUANTITY.