The order-execution tag has no wiki summary.
-1
votes
1answer
142 views
High-Frequency Traders and Front Running: What order types are they using? [closed]
I often hear in the news that High-Frequency Traders can front-run incoming trades because they are faster at acquiring information and to execute trades. I also read that speed is only a necessary ...
5
votes
1answer
352 views
Why would a trader quickly flicker an order immediately preceding a tick away?
The Setup
Assume the inside market is $15.15 \times 15.16$ and there is a very large bid order imbalance. For example, 30,000 shares bid across 100+ orders, 200 shares offered across 1 order; ...
4
votes
1answer
396 views
Trade execution in HFT - role of quants
What is the role of quants in trade execution in high frequency trading? AFAIR in "normal" trading trade execution is considered a very mundane task. What role can quantitative modelling play in trade ...
0
votes
0answers
88 views
What is the difference between a trade and a cross - particularly regarding TSX crossing facilities?
There are four interesting crossing facilities in TSX: http://www.tmx.com/en/trading/products_services/cross_facilities.html
These seem to be different ways to execute a trade (and in terms of market ...
8
votes
3answers
430 views
Optimal execution strategy
Can someone shed some light on optimal ways to execute medium sized orders ~2000 shares in the market?
Unfortunately the execution algo I have access to is very dumb. It follows the top-of-book ...
2
votes
1answer
676 views
How to build an execution trading system with CQG API?
I am currently using CQG for spread trading and have a spread trading strategy in CQG chart. I am trying to automate my spread trading strategy in CQG, but CQG told me to look at CQG API samples to ...
5
votes
3answers
230 views
How does order fulfillment proceed with larger orders?
If a large sell order hits many bids from the book, is the order filled at once? Or is it filled one bid at a time with a chance for any new orders to come in between each trade?
8
votes
4answers
1k views
What is an effective way of backtesting VWAP execution?
From Optimal Trading Strategies :
There are two main reasons why traders
execute orders using a VWAP trading
strategy. First, a VWAP strategy is
the trading strategy that minimizes
market ...
4
votes
2answers
275 views
Is it common to use multiple brokers for risk reduction?
Would it be considered appropriate risk-management or overkill to utilize multiple brokers to manage a given trading strategy?
A couple specifics:
I'm interested in what a reasonably-sized hedge ...
8
votes
2answers
356 views
How to determine if one player moved a price
I'm trying to understand what caused certain price movements (aren't we all!) in per-minute data for major NYSE stocks. In particular, I'd like to determine whether a given price movement of X% in ...
2
votes
0answers
669 views
Which CEP platform is most popular for trading systems? [closed]
I heard that trading firms employ CEP platforms such as StreamBase, Marketcetera, JBoss Drools, and etc., to implement trading systems. I wonder which one is most popular and the recent trend of ...
15
votes
2answers
737 views
How to execute a large futures order?
I am currently trading futures products on some contracts that have low volumes. More accurately, the volumes of working orders in the book are fairly light. I am trying to execute a relatively large ...
