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SFC-DSOL1.0

Aggregated orders (i.e., orders created in the In-Scope Broker’s trading system by consolidating similar orders into a single order to be handled collectively) should also be recorded using the Order New event with the list of constituent orders and their respective quantities captured using the aggregatedOrders field. An example of how the aggregatedOrders field could be populated is A01=1000|B01=2000

Note:

• The specification does not say whether aggregatedOrders should use logicalOrderID or orderID, and hence it is unclear whether aggregations are for root orders (i.e. the total quantity), or splits (i.e. a portion of the total quantity).
• Furthermore, if aggregating a portion of the total quantity, it is not clear whether a split must be created before the aggregation can occur.
• Using logicalOrderID and orderQty implies that we can aggregate part of the total quantity of a root order, but that we do not need to link to the split representing the portion being aggregated.
• The latter approach would be more correct, but is likely not necessary as the SFC is only interested in root orders and those leaf nodes of the order tree that are executed in the market. This linkage is lost when only the logicalOrderID is specified.
• In other words, if we were to use the orderID of the split being aggregated, thus maintaining the linkage between split and logicalOrderID, we would have a full audit trail between root orders, splits, aggregations, and executions.
• Another approach would be to use both the logicalOrderID and orderID on the aggregateOrders and make them mutually exclusive ("oneOf"). The presence of logicalOrderID would denote that a root order was aggregated and, similarly, the presence of orderID would denote that a split was aggregated.