Order Lifecycle Flow

stateDiagram-v2
    [*] --> New: Order Submitted
    New --> PendingNew: Gateway Received

    PendingNew --> Acknowledged: Matching Engine Accepted
    PendingNew --> Rejected: Risk Check Failed/<br/>Invalid Parameters

    Acknowledged --> PartiallyFilled: Partial Execution
    Acknowledged --> Filled: Full Execution
    Acknowledged --> Cancelled: User/System Cancel
    Acknowledged --> Modified: Price/Qty Change
    Acknowledged --> Expired: TIF Expired<br/>(GFD/GTD)
    Acknowledged --> SMP_Cancelled: Self-Match Prevention
    Acknowledged --> Suspended: Volatility Interruption

    PartiallyFilled --> Filled: Remaining Qty Matched
    PartiallyFilled --> Cancelled: Cancel Remaining
    PartiallyFilled --> Modified: Modify Remaining
    PartiallyFilled --> SMP_Cancelled: Self-Match Prevention
    PartiallyFilled --> Suspended: Volatility Interruption

    Modified --> Acknowledged: Re-enters Book

    Suspended --> Acknowledged: VI Resolved,<br/>Trading Resumes

    Acknowledged --> Restated: Market Reset<br/>(GTC orders only)
    Restated --> Acknowledged: Book Rebuilt

    note right of Rejected
        Terminal State
        ExecType: Rejected (8)
        OrdStatus: Rejected (8)
    end note

    note right of Filled
        Terminal State
        ExecType: Trade (F)
        OrdStatus: Filled (2)
    end note

    note right of Cancelled
        Terminal State
        ExecType: Canceled (4)
        OrdStatus: Canceled (4)
    end note

    note right of Expired
        Terminal State
        ExecType: Expired (C)
        OrdStatus: Expired (C)
    end note

    note right of SMP_Cancelled
        Terminal State
        Protection Triggered
        OrdStatus: Canceled (4)
    end note

    note left of PendingNew
        <55 µs via PS gateway
        ExecType: PendingNew (A)
        OrdStatus: PendingNew (A)
    end note

    note left of Acknowledged
        Active in Book
        ExecType: New (0)
        OrdStatus: New (0)
    end note

    note left of PartiallyFilled
        Active in Book
        ExecType: Trade (F)
        OrdStatus: PartiallyFilled (1)
    end note

    note left of Modified
        ExecType: Replace (5)
        Generates Cancel/New
    end note

    classDef activeState fill:#90EE90,stroke:#333,stroke-width:2px
    classDef terminalState fill:#FFB6C1,stroke:#333,stroke-width:2px
    classDef intermediateState fill:#87CEEB,stroke:#333,stroke-width:2px
    classDef protectionState fill:#FFA500,stroke:#333,stroke-width:2px

    class Acknowledged,PartiallyFilled,Restated activeState
    class Filled,Cancelled,Expired,Rejected terminalState
    class New,PendingNew,Modified intermediateState
    class SMP_Cancelled,Suspended protectionState

Special Order Type Paths

IOC (Immediate-or-Cancel)

stateDiagram-v2
    [*] --> New_IOC: IOC Order
    New_IOC --> PendingNew_IOC
    PendingNew_IOC --> Filled: Full Match
    PendingNew_IOC --> PartiallyFilled_IOC: Partial Match
    PartiallyFilled_IOC --> Cancelled: Remainder Auto-Cancelled
    PendingNew_IOC --> Cancelled: No Match

FOK (Fill-or-Kill)

stateDiagram-v2
    [*] --> New_FOK: FOK Order
    New_FOK --> PendingNew_FOK
    PendingNew_FOK --> Filled: Full Match Available
    PendingNew_FOK --> Rejected: Partial/No Match

BOC (Book-or-Cancel)

stateDiagram-v2
    [*] --> New_BOC: BOC Order
    New_BOC --> PendingNew_BOC
    PendingNew_BOC --> Acknowledged: No Match,<br/>Add to Book
    PendingNew_BOC --> Rejected: Would Execute

Stop Orders

stateDiagram-v2
    [*] --> Inactive: Stop Order<br/>Below Trigger
    Inactive --> Triggered: Market Price<br/>Reaches Trigger
    Triggered --> Acknowledged: Activated,<br/>Enters Book
    Acknowledged --> PartiallyFilled: Execution Begins
    PartiallyFilled --> Filled: Fully Executed

Diagram Description

This state diagram illustrates the complete lifecycle of orders in the Deutsche Boerse T7 trading system, showing all possible state transitions and their triggers.

Order States and ExecType Mapping

Each state transition generates an ETI ExecutionReport with specific ExecType and OrdStatus values:

Active States (Green)

Acknowledged: Order is live in the book. ExecType=New (0), OrdStatus=New (0)
PartiallyFilled: Order partially executed, remainder active. ExecType=Trade (F), OrdStatus=PartiallyFilled (1)
Restated: GTC order rebuilt after Market Reset. ExecType=Restated (D), OrdStatus=New (0)

Intermediate States (Blue)

New: Order submitted by client, not yet at gateway
PendingNew: Gateway received, awaiting matching engine. ExecType=PendingNew (A), OrdStatus=PendingNew (A)
Modified: Order modification in progress. ExecType=Replace (5), generates Cancel/New pair

Terminal States (Red)

Filled: Order fully executed. ExecType=Trade (F), OrdStatus=Filled (2)
Cancelled: Order cancelled by user or system. ExecType=Canceled (4), OrdStatus=Canceled (4)
Expired: Time-in-force expired (GFD at market close, GTD at specified date). ExecType=Expired (C), OrdStatus=Expired (C)
Rejected: Order rejected due to risk check failure or invalid parameters. ExecType=Rejected (8), OrdStatus=Rejected (8)

Protection States (Orange)

SMP_Cancelled: Self-match prevention triggered, order cancelled. OrdStatus=Canceled (4)
Suspended: Order suspended during volatility interruption, resumes when VI resolves

Timing and Performance

PendingNew → Acknowledged: Less than 55 microseconds via Performance Segment gateway
Execution: Trade execution and confirmation typically within 100-200 microseconds
Modification: Cancel/Replace processed as atomic operation, approximately 100 microseconds

Time-in-Force Handling

GFD (Good-for-Day)

Acknowledged → Expired at end of trading day (17:30 CET for Xetra)
Does not persist through Market Reset
Automatically cancelled during closing auction

GTD (Good-till-Date)

Acknowledged → Expired at specified date/time
Survives Market Reset if expiry date not reached
Converted to GFD behavior on final day

GTC (Good-till-Cancel)

Survives Market Reset via Restated state
Acknowledged → Restated → Acknowledged (book rebuild)
Remains active until explicitly cancelled or filled

IOC (Immediate-or-Cancel)

Special path: PendingNew → (Fill/PartialFill + Auto-Cancel remainder)
Never enters Acknowledged state
Unmatched quantity immediately cancelled

FOK (Fill-or-Kill)

All-or-nothing execution
PendingNew → Filled (if full quantity available) or Rejected (otherwise)
No partial fills allowed

Special Order Types

BOC (Book-or-Cancel)

Passive-only orders
PendingNew → Acknowledged (if no match) or Rejected (if would execute)
Used to add liquidity without taking liquidity

Stop Orders

Inactive → Triggered (when market price reaches stop price)
Triggered → Acknowledged (activated stop becomes regular order)
Then follows normal order lifecycle
Stop price monitored continuously during trading

Market Events

Volatility Interruption (VI)

Any active state → Suspended when VI triggered
Suspended → Acknowledged when VI resolves and trading resumes
Orders retain price/time priority
Typical VI duration: 2-5 minutes

Self-Match Prevention (SMP)

Activated when buy and sell orders from same member would match
Any active state → SMP_Cancelled
Configurable: cancel incoming, cancel resting, or cancel both
Prevents wash trades and unintended position changes

Market Reset

Non-persistent orders (GFD, IOC, FOK, BOC) → Cancelled
Persistent orders (GTC) → Restated → Acknowledged
Occurs during system maintenance or recovery
Book rebuilt from persistent orders only

Modification Behavior

Order modifications (price or quantity changes) are processed as:

Cancel existing order (generates Cancel ExecutionReport)
Submit new order with updated parameters (generates New ExecutionReport)
New order receives new timestamp, loses time priority
Atomic operation from client perspective
If new order rejected, original order remains cancelled

Back to Chapter 6: Order Types & Matching