Today I was speaking with someone involved in high frequency trading. They were mentioning hidden orders, queue positions (which can be lost in the orderbook based on certain order modifications), partial cancels, fills, uncrossing the book. What would be a good hopefully consolidated source to learn about all of this short of trying to read the Pitch/Itch protocol specs?
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Each venue will allow diferent order types, and will have different matching rules (the queue positions you mentioned), so this is not general to the whole market, but this is a paper from Nyse that is pretty much explains most of the order types I have heard of: http://www.nyse.com/pdfs/fact_sheet_nyse_orders.pdf Also, one factsheet/regulation from the BMF&Bovespa (Brazilian exchange): http://www.bmfbovespa.com.br/en-us/rules/download/Operational-Regulations-Chapter13.pdf |
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