Min Fill Size

[megarain]

New thread re this :

Fill or Kill bets
By setting the optional parameter ‘TimeInForce’ on a limitOrder submission to the value ‘FILL_OR_KILL’ and optionally passing a minFillSize value, the Exchange will only match the order if at least the specified minFillSize can be matched (if passed) or the whole order matched (if not). Any order which cannot be so matched, and any remaining unmatched part of the order (if minFillSize is specified) will be immediately cancelled.

Please note: the matching algorithm for Fill or Kill orders behaves slightly differently to that for standard limit orders. Whereas the price on a limit order represents the lowest price at which any fragment should be matched, the price on a Fill or Kill order represents the lower limit of the Volume Weighted Average Price (“VWAP”) for the entire volume matched. So, for instance, a Fill or Kill order with price = 5.4 and size = 10 might be matched as £2 @ 5.5, £6 @ 5.4 and £2 @ 5.3.


It seems to me, this is a blatent way to by pass an in-play delay.

U have associates fill volume etc, send a bet with a min fill size condition 2 secs before action (knowing u have 5 secs before bet is matched).

Based on action, associates cancel or leave the volume. U will sweep up other volume.

[megarain]

Am fairly sure this is being used on the T20 World cup to sweep 100k orders at market price.

It could be used on soccer etc, before free kicks etc.

How could this have been allowed?

[ShaunWhite]

The oldest documentation I can find for this goes back to 2013 so whatever the consequences it isn't new.

[megarain]

That's interesting.

We nicknamed a trader 'time-machine man' who was only just beating everyone else to cricket markets (which is what I know 'live' best.

As it was marginal, I just assumed he had a better in-play solution. But this seems more blatant.

[ShaunWhite]

How does a minimum fill size work? If somebody puts in a £500 order with MFS of £500 and I try to take £20 of it, what happens?

If the 500 can't be filled instantly the order presumably won't hit the exchange at all so you can't even try to match £20 of it.

I'm unsure about why this is causing concern, it's how FoK orders work everywhere else (Eg financials) . It's filled, or it's killed. And the bet delays still apply so it's just an order with a 0s cancel?

[Derek27]

How does a minimum fill size work? If somebody puts in a £500 order with MFS of £500 and I try to take £20 of it, what happens?

If the 500 can't be filled instantly the order presumably won't hit the exchange at all so you can't even try to match £20 of it.

I'm unsure about why this is causing concern, it's how FoK orders work everywhere else (Eg financials) . It's filled, or it's killed. And the bet delays still apply so it's just an order with a 0s cancel?

Cheers for the explanation, that makes sense.

[megarain]

How does a minimum fill size work? If somebody puts in a £500 order with MFS of £500 and I try to take £20 of it, what happens?

If the 500 can't be filled instantly the order presumably won't hit the exchange at all so you can't even try to match £20 of it.

I'm unsure about why this is causing concern, it's how FoK orders work everywhere else (Eg financials) . It's filled, or it's killed. And the bet delays still apply so it's just an order with a 0s cancel?

Maybe my mind is seeing issues that dont exist.

But, if I was sneaky, I could easily imagine a scenario like this :

Ladder example.jpg

Lets say u at the ground. U want to back the batters, if they hit a 4 or 6, and the price will move from 1.32 to 1.30.

You send a fill/kill order with a min bet size of 40k at 1.32.

Currently, at 1.32, there is 46k, of which 10k, is a friend's account.

You send the bet, 2 secs before a batter hits the ball.

If its going for 4 or 6, you tell your friend to do nothing and it's first to market.

If its not going for 4 or 6, u ask your friend to cancel his 10k order, and now there is only 36k available, so your bet wont be
matched.

Maybe I read it wrong. It would be nice for Betfair to come along and do what should be their job, to clarify this.

[PeterLe]

In that case you wouldn't need a friend to place the £10K on the lay side, you could quite legitimately place it yourself?

[megarain]

Yeah - good spot.

[napshnap]

In that case you wouldn't need a friend to place the £10K on the lay side, you could quite legitimately place it yourself?

̶B̶f̶ ̶d̶o̶e̶s̶n̶'̶t̶ ̶a̶l̶l̶o̶w̶ ̶s̶e̶l̶f̶m̶a̶t̶c̶h̶i̶n̶g̶.̶


Megarain, looks like you stirred up a hornet's nest for some folks .

[Euler]

You can self match on Betfair as far as I am aware.

[napshnap]

You can self match on Betfair as far as I am aware.

̶A̶f̶a̶i̶k̶ ̶o̶n̶e̶ ̶b̶e̶t̶ ̶c̶a̶n̶c̶e̶l̶s̶ ̶a̶n̶o̶t̶h̶e̶r̶ ̶(̶o̶r̶ ̶p̶a̶r̶t̶ ̶o̶f̶ ̶i̶t̶)̶.̶ ̶B̶u̶t̶,̶ ̶m̶a̶y̶b̶e̶ ̶i̶t̶ ̶d̶i̶f̶f̶e̶r̶s̶ ̶f̶o̶r̶ ̶s̶p̶o̶r̶t̶ ̶t̶y̶p̶e̶ ̶o̶r̶ ̶a̶p̶i̶ ̶s̶o̶f̶t̶w̶a̶r̶e̶ ̶b̶e̶i̶n̶g̶ ̶u̶s̶e̶d̶,̶ ̶s̶o̶ ̶w̶o̶n̶'̶t̶ ̶a̶r̶g̶u̶e̶.̶

[Euler]

OK, you mean on the same account, i.e. non scratch that shows as volume?

[napshnap]

OK, you mean on the same account, i.e. non scratch that shows as volume?

...

UPD. WOW, sorry, actually it IS showing matched trades but no matched volume on a ladder, my bad . How the h I've never noticed that?

[Derek27]

When Betfair used to do best odds guaranteed promotions their algorithm excluded self-matched bets, so it's possible self-matched bets are excluded from the MFS algo, in which case you'd need another account. Then again, you could fall fowl of Betfair's rules, transferring money from one account to another and raise suspiction.