Interest Sent as Orders — Java Bug Hunt

Briefing

Modelled on Goldman Sachs' options misfire of August 20, 2013. Goldman said an internal system error caused indications of interest — messages that are not meant to trade — to be sent to US options exchanges as real orders, many at erroneous prices, some at $1. A large number of the resulting trades were later cancelled or adjusted by the exchanges.

This project is a reconstruction: OptionsRouter takes a batch of outgoing messages and decides what goes to the exchange. It treats every message as a live order, and a message without a price is filled in with the default from the locked RouterConfig.

Fix route so indications of interest never reach the exchange and no order is sent without an explicit, positive price.

Bug report

BUG-GS-0820 · Priority: Critical (erroneous trades) · Reported by: exchange surveillance

route(batch) returns a RouteResult with three lists, each in batch order:

• a message of type "IOI" is NEVER routed: its id goes in held
• a message of type "ORDER" with an explicit price > 0 cents is routed as "<id>@<priceCents>"
• an "ORDER" with a missing (null) or non-positive price, and a message of any other type, is rejected: its id goes in rejected

RouterConfig.DEFAULT_PRICE_CENTS must never be used to price a live order.

Observed: indications of interest were routed as orders, and those without a price went out at 100 cents.

Logs

09:30:02 [router] routed IOI-88213 SPY 150820C00160000 x500 @100
09:30:02 [router] routed IOI-88214 AAPL 150820P00450000 x300 @100
09:30:03 [surveillance] member GS: burst of $1 option prints across exchanges

The code as shipped

src/router/OptionsRouter.java (editable)

class OptionsRouter {
    static RouteResult route(List<Message> batch) {
        RouteResult result = new RouteResult();
        for (Message m : batch) {
            int price = m.priceCents != null ? m.priceCents : RouterConfig.DEFAULT_PRICE_CENTS;
            result.routed.add(m.id + "@" + price);
        }
        return result;
    }
}

Read-only context: src/router/Message.java, src/router/RouterConfig.java.