FAILURE MAP
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FA-61911 / Currency rounding and FX conversion / Open access

A locked quote with equal bid and ask is rejected as crossed · case 01

Legitimate zero-spread promotional quotes fail with ERR:crossed-quote.

Verified by executionVariant 1 · 7 checks per implementationDownload source bundle ↓JSON ↗

ROOT CAUSE

The crossed-quote guard uses b >= a instead of b > a.

VERIFIED REPAIR

Reject only quotes whose bid strictly exceeds the ask.

Unsuccessful approach: Dropping the guard entirely accepts crossed quotes and trades at an inverted spread.

Case contract

solve(side, amount, ccy, pair, bid, ask): pair is six letters BASEQUOTE; side is the customer's action on the base currency ('buy' or 'sell'). The dealer sells base at ask and buys at bid. If amount is in base, the counter amount in quote is amount*rate; if in quote, the counter amount in base is amount/rate. Amounts the customer pays are rounded up (ceiling) and amounts the customer receives are rounded down (floor) at the counter currency exponent (JPY 0, KWD 3, else 2). Return [counter_amount, counter_ccy]; errors: 'ERR:side', 'ERR:crossed-quote' when bid > ask (bid == ask is valid), 'ERR:currency-not-in-pair'.

Why this case matters

Currency amounts must be rounded at the right stage and in the right unit, or ledgers, quotes and settlements drift by minor units.

1 / The failure

Exit 1
"""Failure Map reference implementation. Python standard library only."""
import json
from decimal import Decimal, ROUND_HALF_EVEN, ROUND_HALF_UP, ROUND_FLOOR, ROUND_CEILING, ROUND_DOWN, ROUND_UP, ROUND_HALF_DOWN
N = 1
observations = []
def solve(side, amount, ccy, pair, bid, ask):
    exps = {'JPY': 0, 'KWD': 3}
    base, quote = pair[:3], pair[3:]
    if side not in ('buy', 'sell'): return 'ERR:side'
    b, a = Decimal(bid), Decimal(ask)
    if b >= a: return 'ERR:crossed-quote'
    r = a if side == 'buy' else b
    x = Decimal(amount)
    if ccy == base:
        out, oc = x * r, quote
        pays = side == 'buy'
    elif ccy == quote:
        out, oc = x / r, base
        pays = side == 'sell'
    else:
        return 'ERR:currency-not-in-pair'
    mode = ROUND_CEILING if pays else ROUND_FLOOR
    return [format(out.quantize(Decimal(1).scaleb(-exps.get(oc, 2)), rounding=mode), 'f'), oc]
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
cases = [[('regression locked-quote 1', ('sell', '250', 'GBP', 'GBPUSD', '1.2650', '1.2650'), ['316.25', 'USD']),
  ('regression locked-quote 2', ('buy', '61902', 'USD', 'EURUSD', '90.2139', '90.2139'), ['686.16', 'EUR']),
  ('partial repair guard 1', ('buy', '5', 'EUR', 'EURUSD', '1.2', '1.1'), 'ERR:crossed-quote'),
  ('control: buy base in base', ('buy', '1000', 'EUR', 'EURUSD', '1.0831', '1.0835'), ['1083.50', 'USD']),
  ('control: sell base in base', ('sell', '1000', 'EUR', 'EURUSD', '1.0831', '1.0835'), ['1083.10', 'USD']),
  ('control: spend quote', ('buy', '100', 'USD', 'EURUSD', '1.0831', '1.0835'), ['92.29', 'EUR']),
  ('control: receive quote', ('sell', '100', 'USD', 'EURUSD', '1.0831', '1.0835'), ['92.33', 'EUR'])],
 [('regression locked-quote 1', ('buy', '9242.03', 'USD', 'USDKWD', '102.3192', '102.3192'), ['945637.116', 'KWD']),
  ('regression locked-quote 2', ('sell', '43841.09', 'USD', 'GBPUSD', '40.6095', '40.6095'), ['1079.58', 'GBP']),
  ('partial repair guard 1', ('buy', '5', 'EUR', 'EURUSD', '1.2', '1.1'), 'ERR:crossed-quote'),
  ('control: receive quote', ('sell', '100', 'USD', 'EURUSD', '1.0831', '1.0835'), ['92.33', 'EUR']),
  ('control: yen counter', ('buy', '10.01', 'USD', 'USDJPY', '151.20', '151.24'), ['1514', 'JPY']),
  ('control: locked quote', ('sell', '250', 'GBP', 'GBPUSD', '1.2650', '1.2650'), ['316.25', 'USD']),
  ('control: foreign currency', ('buy', '5', 'CHF', 'EURUSD', '1.08', '1.09'), 'ERR:currency-not-in-pair')],
 [('regression locked-quote 1', ('sell', '71412', 'KWD', 'KWDUSD', '24.3260', '24.3260'), ['1737168.31', 'USD']),
  ('regression locked-quote 2', ('sell', '40482', 'KWD', 'USDKWD', '85.5377', '85.5377'), ['473.27', 'USD']),
  ('partial repair guard 1', ('buy', '5', 'EUR', 'EURUSD', '1.2', '1.1'), 'ERR:crossed-quote'),
  ('control: foreign currency', ('buy', '5', 'CHF', 'EURUSD', '1.08', '1.09'), 'ERR:currency-not-in-pair'),
  ('control: dinar counter', ('sell', '77.77', 'USD', 'KWDUSD', '3.2520', '3.2561'), ['23.915', 'KWD']),
  ('control: bad side', ('hold', '5', 'EUR', 'EURUSD', '1.08', '1.09'), 'ERR:side'),
  ('control: buy base in base', ('buy', '1000', 'EUR', 'EURUSD', '1.0831', '1.0835'), ['1083.50', 'USD'])],
 [('regression locked-quote 1', ('sell', '36252', 'USD', 'KWDUSD', '151.2728', '151.2728'), ['239.647', 'KWD']),
  ('regression locked-quote 2', ('buy', '55623', 'JPY', 'EURJPY', '87.3553', '87.3553'), ['636.74', 'EUR']),
  ('partial repair guard 1', ('buy', '5', 'EUR', 'EURUSD', '1.2', '1.1'), 'ERR:crossed-quote'),
  ('control: bad side', ('hold', '5', 'EUR', 'EURUSD', '1.08', '1.09'), 'ERR:side'),
  ('control: buy base in base', ('buy', '1000', 'EUR', 'EURUSD', '1.0831', '1.0835'), ['1083.50', 'USD']),
  ('control: sell base in base', ('sell', '1000', 'EUR', 'EURUSD', '1.0831', '1.0835'), ['1083.10', 'USD']),
  ('control: spend quote', ('buy', '100', 'USD', 'EURUSD', '1.0831', '1.0835'), ['92.29', 'EUR'])],
 [('regression locked-quote 1', ('sell', '94639.83', 'USD', 'KWDUSD', '80.9904', '80.9904'), ['1168.532', 'KWD']),
  ('regression locked-quote 2', ('sell', '22683.50', 'USD', 'GBPUSD', '155.5065', '155.5065'), ['145.87', 'GBP']),
  ('partial repair guard 1', ('buy', '5', 'EUR', 'EURUSD', '1.2', '1.1'), 'ERR:crossed-quote'),
  ('control: spend quote', ('buy', '100', 'USD', 'EURUSD', '1.0831', '1.0835'), ['92.29', 'EUR']),
  ('control: receive quote', ('sell', '100', 'USD', 'EURUSD', '1.0831', '1.0835'), ['92.33', 'EUR']),
  ('control: yen counter', ('buy', '10.01', 'USD', 'USDJPY', '151.20', '151.24'), ['1514', 'JPY']),
  ('control: locked quote', ('sell', '250', 'GBP', 'GBPUSD', '1.2650', '1.2650'), ['316.25', 'USD'])]]
for label, args, expected in cases[N - 1]:
    check(label, solve(*args), expected)
print(json.dumps({"observations": observations, "passed": all(x["passed"] for x in observations)}, ensure_ascii=False))
raise SystemExit(0 if all(x["passed"] for x in observations) else 1)
Boundary fixtureActualExpectedOutcome
regression locked-quote 1ERR:crossed-quote['316.25', 'USD']Failed
regression locked-quote 2ERR:crossed-quote['686.16', 'EUR']Failed
partial repair guard 1ERR:crossed-quoteERR:crossed-quotePassed
control: buy base in base['1083.50', 'USD']['1083.50', 'USD']Passed
control: sell base in base['1083.10', 'USD']['1083.10', 'USD']Passed
control: spend quote['92.29', 'EUR']['92.29', 'EUR']Passed
control: receive quote['92.33', 'EUR']['92.33', 'EUR']Passed

SHA-256 / 9d43b5ef6fbc69ae65fab45fbd2b6b8624697441a7d79edd4b6b52f969e20d11

2 / The unsuccessful fix

Exit 1
"""Failure Map reference implementation. Python standard library only."""
import json
from decimal import Decimal, ROUND_HALF_EVEN, ROUND_HALF_UP, ROUND_FLOOR, ROUND_CEILING, ROUND_DOWN, ROUND_UP, ROUND_HALF_DOWN
N = 1
observations = []
def solve(side, amount, ccy, pair, bid, ask):
    exps = {'JPY': 0, 'KWD': 3}
    base, quote = pair[:3], pair[3:]
    if side not in ('buy', 'sell'): return 'ERR:side'
    b, a = Decimal(bid), Decimal(ask)
    pass
    r = a if side == 'buy' else b
    x = Decimal(amount)
    if ccy == base:
        out, oc = x * r, quote
        pays = side == 'buy'
    elif ccy == quote:
        out, oc = x / r, base
        pays = side == 'sell'
    else:
        return 'ERR:currency-not-in-pair'
    mode = ROUND_CEILING if pays else ROUND_FLOOR
    return [format(out.quantize(Decimal(1).scaleb(-exps.get(oc, 2)), rounding=mode), 'f'), oc]
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
cases = [[('regression locked-quote 1', ('sell', '250', 'GBP', 'GBPUSD', '1.2650', '1.2650'), ['316.25', 'USD']),
  ('regression locked-quote 2', ('buy', '61902', 'USD', 'EURUSD', '90.2139', '90.2139'), ['686.16', 'EUR']),
  ('partial repair guard 1', ('buy', '5', 'EUR', 'EURUSD', '1.2', '1.1'), 'ERR:crossed-quote'),
  ('control: buy base in base', ('buy', '1000', 'EUR', 'EURUSD', '1.0831', '1.0835'), ['1083.50', 'USD']),
  ('control: sell base in base', ('sell', '1000', 'EUR', 'EURUSD', '1.0831', '1.0835'), ['1083.10', 'USD']),
  ('control: spend quote', ('buy', '100', 'USD', 'EURUSD', '1.0831', '1.0835'), ['92.29', 'EUR']),
  ('control: receive quote', ('sell', '100', 'USD', 'EURUSD', '1.0831', '1.0835'), ['92.33', 'EUR'])],
 [('regression locked-quote 1', ('buy', '9242.03', 'USD', 'USDKWD', '102.3192', '102.3192'), ['945637.116', 'KWD']),
  ('regression locked-quote 2', ('sell', '43841.09', 'USD', 'GBPUSD', '40.6095', '40.6095'), ['1079.58', 'GBP']),
  ('partial repair guard 1', ('buy', '5', 'EUR', 'EURUSD', '1.2', '1.1'), 'ERR:crossed-quote'),
  ('control: receive quote', ('sell', '100', 'USD', 'EURUSD', '1.0831', '1.0835'), ['92.33', 'EUR']),
  ('control: yen counter', ('buy', '10.01', 'USD', 'USDJPY', '151.20', '151.24'), ['1514', 'JPY']),
  ('control: locked quote', ('sell', '250', 'GBP', 'GBPUSD', '1.2650', '1.2650'), ['316.25', 'USD']),
  ('control: foreign currency', ('buy', '5', 'CHF', 'EURUSD', '1.08', '1.09'), 'ERR:currency-not-in-pair')],
 [('regression locked-quote 1', ('sell', '71412', 'KWD', 'KWDUSD', '24.3260', '24.3260'), ['1737168.31', 'USD']),
  ('regression locked-quote 2', ('sell', '40482', 'KWD', 'USDKWD', '85.5377', '85.5377'), ['473.27', 'USD']),
  ('partial repair guard 1', ('buy', '5', 'EUR', 'EURUSD', '1.2', '1.1'), 'ERR:crossed-quote'),
  ('control: foreign currency', ('buy', '5', 'CHF', 'EURUSD', '1.08', '1.09'), 'ERR:currency-not-in-pair'),
  ('control: dinar counter', ('sell', '77.77', 'USD', 'KWDUSD', '3.2520', '3.2561'), ['23.915', 'KWD']),
  ('control: bad side', ('hold', '5', 'EUR', 'EURUSD', '1.08', '1.09'), 'ERR:side'),
  ('control: buy base in base', ('buy', '1000', 'EUR', 'EURUSD', '1.0831', '1.0835'), ['1083.50', 'USD'])],
 [('regression locked-quote 1', ('sell', '36252', 'USD', 'KWDUSD', '151.2728', '151.2728'), ['239.647', 'KWD']),
  ('regression locked-quote 2', ('buy', '55623', 'JPY', 'EURJPY', '87.3553', '87.3553'), ['636.74', 'EUR']),
  ('partial repair guard 1', ('buy', '5', 'EUR', 'EURUSD', '1.2', '1.1'), 'ERR:crossed-quote'),
  ('control: bad side', ('hold', '5', 'EUR', 'EURUSD', '1.08', '1.09'), 'ERR:side'),
  ('control: buy base in base', ('buy', '1000', 'EUR', 'EURUSD', '1.0831', '1.0835'), ['1083.50', 'USD']),
  ('control: sell base in base', ('sell', '1000', 'EUR', 'EURUSD', '1.0831', '1.0835'), ['1083.10', 'USD']),
  ('control: spend quote', ('buy', '100', 'USD', 'EURUSD', '1.0831', '1.0835'), ['92.29', 'EUR'])],
 [('regression locked-quote 1', ('sell', '94639.83', 'USD', 'KWDUSD', '80.9904', '80.9904'), ['1168.532', 'KWD']),
  ('regression locked-quote 2', ('sell', '22683.50', 'USD', 'GBPUSD', '155.5065', '155.5065'), ['145.87', 'GBP']),
  ('partial repair guard 1', ('buy', '5', 'EUR', 'EURUSD', '1.2', '1.1'), 'ERR:crossed-quote'),
  ('control: spend quote', ('buy', '100', 'USD', 'EURUSD', '1.0831', '1.0835'), ['92.29', 'EUR']),
  ('control: receive quote', ('sell', '100', 'USD', 'EURUSD', '1.0831', '1.0835'), ['92.33', 'EUR']),
  ('control: yen counter', ('buy', '10.01', 'USD', 'USDJPY', '151.20', '151.24'), ['1514', 'JPY']),
  ('control: locked quote', ('sell', '250', 'GBP', 'GBPUSD', '1.2650', '1.2650'), ['316.25', 'USD'])]]
for label, args, expected in cases[N - 1]:
    check(label, solve(*args), expected)
print(json.dumps({"observations": observations, "passed": all(x["passed"] for x in observations)}, ensure_ascii=False))
raise SystemExit(0 if all(x["passed"] for x in observations) else 1)
Boundary fixtureActualExpectedOutcome
regression locked-quote 1['316.25', 'USD']['316.25', 'USD']Passed
regression locked-quote 2['686.16', 'EUR']['686.16', 'EUR']Passed
partial repair guard 1['5.50', 'USD']ERR:crossed-quoteFailed
control: buy base in base['1083.50', 'USD']['1083.50', 'USD']Passed
control: sell base in base['1083.10', 'USD']['1083.10', 'USD']Passed
control: spend quote['92.29', 'EUR']['92.29', 'EUR']Passed
control: receive quote['92.33', 'EUR']['92.33', 'EUR']Passed

SHA-256 / fb1b325fddcc3a59094876931069ad364b59cdc15de959492b3a02ff91ecaf72

3 / The verified repair

Exit 0
"""Failure Map reference implementation. Python standard library only."""
import json
from decimal import Decimal, ROUND_HALF_EVEN, ROUND_HALF_UP, ROUND_FLOOR, ROUND_CEILING, ROUND_DOWN, ROUND_UP, ROUND_HALF_DOWN
N = 1
observations = []
def solve(side, amount, ccy, pair, bid, ask):
    exps = {'JPY': 0, 'KWD': 3}
    base, quote = pair[:3], pair[3:]
    if side not in ('buy', 'sell'): return 'ERR:side'
    b, a = Decimal(bid), Decimal(ask)
    if b > a: return 'ERR:crossed-quote'
    r = a if side == 'buy' else b
    x = Decimal(amount)
    if ccy == base:
        out, oc = x * r, quote
        pays = side == 'buy'
    elif ccy == quote:
        out, oc = x / r, base
        pays = side == 'sell'
    else:
        return 'ERR:currency-not-in-pair'
    mode = ROUND_CEILING if pays else ROUND_FLOOR
    return [format(out.quantize(Decimal(1).scaleb(-exps.get(oc, 2)), rounding=mode), 'f'), oc]
def check(label, actual, expected):
    observations.append({"check": label, "actual": actual, "expected": expected, "passed": actual == expected})
cases = [[('regression locked-quote 1', ('sell', '250', 'GBP', 'GBPUSD', '1.2650', '1.2650'), ['316.25', 'USD']),
  ('regression locked-quote 2', ('buy', '61902', 'USD', 'EURUSD', '90.2139', '90.2139'), ['686.16', 'EUR']),
  ('partial repair guard 1', ('buy', '5', 'EUR', 'EURUSD', '1.2', '1.1'), 'ERR:crossed-quote'),
  ('control: buy base in base', ('buy', '1000', 'EUR', 'EURUSD', '1.0831', '1.0835'), ['1083.50', 'USD']),
  ('control: sell base in base', ('sell', '1000', 'EUR', 'EURUSD', '1.0831', '1.0835'), ['1083.10', 'USD']),
  ('control: spend quote', ('buy', '100', 'USD', 'EURUSD', '1.0831', '1.0835'), ['92.29', 'EUR']),
  ('control: receive quote', ('sell', '100', 'USD', 'EURUSD', '1.0831', '1.0835'), ['92.33', 'EUR'])],
 [('regression locked-quote 1', ('buy', '9242.03', 'USD', 'USDKWD', '102.3192', '102.3192'), ['945637.116', 'KWD']),
  ('regression locked-quote 2', ('sell', '43841.09', 'USD', 'GBPUSD', '40.6095', '40.6095'), ['1079.58', 'GBP']),
  ('partial repair guard 1', ('buy', '5', 'EUR', 'EURUSD', '1.2', '1.1'), 'ERR:crossed-quote'),
  ('control: receive quote', ('sell', '100', 'USD', 'EURUSD', '1.0831', '1.0835'), ['92.33', 'EUR']),
  ('control: yen counter', ('buy', '10.01', 'USD', 'USDJPY', '151.20', '151.24'), ['1514', 'JPY']),
  ('control: locked quote', ('sell', '250', 'GBP', 'GBPUSD', '1.2650', '1.2650'), ['316.25', 'USD']),
  ('control: foreign currency', ('buy', '5', 'CHF', 'EURUSD', '1.08', '1.09'), 'ERR:currency-not-in-pair')],
 [('regression locked-quote 1', ('sell', '71412', 'KWD', 'KWDUSD', '24.3260', '24.3260'), ['1737168.31', 'USD']),
  ('regression locked-quote 2', ('sell', '40482', 'KWD', 'USDKWD', '85.5377', '85.5377'), ['473.27', 'USD']),
  ('partial repair guard 1', ('buy', '5', 'EUR', 'EURUSD', '1.2', '1.1'), 'ERR:crossed-quote'),
  ('control: foreign currency', ('buy', '5', 'CHF', 'EURUSD', '1.08', '1.09'), 'ERR:currency-not-in-pair'),
  ('control: dinar counter', ('sell', '77.77', 'USD', 'KWDUSD', '3.2520', '3.2561'), ['23.915', 'KWD']),
  ('control: bad side', ('hold', '5', 'EUR', 'EURUSD', '1.08', '1.09'), 'ERR:side'),
  ('control: buy base in base', ('buy', '1000', 'EUR', 'EURUSD', '1.0831', '1.0835'), ['1083.50', 'USD'])],
 [('regression locked-quote 1', ('sell', '36252', 'USD', 'KWDUSD', '151.2728', '151.2728'), ['239.647', 'KWD']),
  ('regression locked-quote 2', ('buy', '55623', 'JPY', 'EURJPY', '87.3553', '87.3553'), ['636.74', 'EUR']),
  ('partial repair guard 1', ('buy', '5', 'EUR', 'EURUSD', '1.2', '1.1'), 'ERR:crossed-quote'),
  ('control: bad side', ('hold', '5', 'EUR', 'EURUSD', '1.08', '1.09'), 'ERR:side'),
  ('control: buy base in base', ('buy', '1000', 'EUR', 'EURUSD', '1.0831', '1.0835'), ['1083.50', 'USD']),
  ('control: sell base in base', ('sell', '1000', 'EUR', 'EURUSD', '1.0831', '1.0835'), ['1083.10', 'USD']),
  ('control: spend quote', ('buy', '100', 'USD', 'EURUSD', '1.0831', '1.0835'), ['92.29', 'EUR'])],
 [('regression locked-quote 1', ('sell', '94639.83', 'USD', 'KWDUSD', '80.9904', '80.9904'), ['1168.532', 'KWD']),
  ('regression locked-quote 2', ('sell', '22683.50', 'USD', 'GBPUSD', '155.5065', '155.5065'), ['145.87', 'GBP']),
  ('partial repair guard 1', ('buy', '5', 'EUR', 'EURUSD', '1.2', '1.1'), 'ERR:crossed-quote'),
  ('control: spend quote', ('buy', '100', 'USD', 'EURUSD', '1.0831', '1.0835'), ['92.29', 'EUR']),
  ('control: receive quote', ('sell', '100', 'USD', 'EURUSD', '1.0831', '1.0835'), ['92.33', 'EUR']),
  ('control: yen counter', ('buy', '10.01', 'USD', 'USDJPY', '151.20', '151.24'), ['1514', 'JPY']),
  ('control: locked quote', ('sell', '250', 'GBP', 'GBPUSD', '1.2650', '1.2650'), ['316.25', 'USD'])]]
for label, args, expected in cases[N - 1]:
    check(label, solve(*args), expected)
print(json.dumps({"observations": observations, "passed": all(x["passed"] for x in observations)}, ensure_ascii=False))
raise SystemExit(0 if all(x["passed"] for x in observations) else 1)
Boundary fixtureActualExpectedOutcome
regression locked-quote 1['316.25', 'USD']['316.25', 'USD']Passed
regression locked-quote 2['686.16', 'EUR']['686.16', 'EUR']Passed
partial repair guard 1ERR:crossed-quoteERR:crossed-quotePassed
control: buy base in base['1083.50', 'USD']['1083.50', 'USD']Passed
control: sell base in base['1083.10', 'USD']['1083.10', 'USD']Passed
control: spend quote['92.29', 'EUR']['92.29', 'EUR']Passed
control: receive quote['92.33', 'EUR']['92.33', 'EUR']Passed

SHA-256 / cbe0e263746ac4e91e0f18768dbeecd4df03d746a479345def9c026f67d5b9b2

Verification & scope

A deterministic, bounded teaching model with a stipulated toy contract; it makes no claim of conformance to any real regulation, standard, or institution's rules. This reproducer isolates one failure mechanism. Results cover the supplied fixtures. Variants within a family share a test contract and should remain grouped when constructing evaluation splits. Related mechanisms with a shared evaluation_group must also remain together; these controlled models are not independent production incidents.

Observations recorded using Python 3.12.14 at 2026-09-29T14:46:59.687902+00:00.

Case digest / b2f47e9685da17290fa345b909e4b8524348114d3b58632e99c8ec8416af7374