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Is it to protect against overfills? Can anyone explain in simple terms?

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    $\begingroup$ The fill quantity and the open quantity may have changed in the meantime, but the total is constant. $\endgroup$ – Alex C Sep 19 '15 at 14:18
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Let's say you have an order with 10 shares open. Now you want to cancel it down to 6 shares. If you send just the open quantity you can have the following scenario:

  • Reduce to 6 sent
  • 3 shares got executed by the exchange while the reduce above was in-flight
  • The exchange finally receives and processes the reduce, bringing the open quantity now to 6
  • The remaining 6 shares are executed

Final situation: your order had 9 shares executed, even thought you wanted to reduce from 10 to 6. That was probably what you did not want.

Now if the exchange is requesting total quantity instead of open quantity:

  • Reduce to 6 sent
  • 3 shares got executed by the exchange while the reduce above was in-flight
  • The exchange finally receives and processes the reduce, bringing the total quantity now to 3 instead of 6. That's because the 6 you sent was the total quantity and since now there are 3 shares executed, the open quantity must be 3 (open quantity = total quantity - executed quantity).
  • The remaining 3 shares are executed

The final situation is that your order had 6 shares executed, probably the maximum exposure you wanted.

So total quantity avoids overfills. It is a more conservative way to reduce an open order.

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