The tag has no wiki summary.

learn more… | top users | synonyms

4
votes
3answers
699 views

How do Order Management/Matching Systems match/allocate orders (and filled prices)?

I am working on an improvement of my company's order allocation system. We run a central Order Management System (OMS) but currently performance attribution from filled orders leaves room for ...
3
votes
3answers
335 views

Is it worth preserving orderbook structure when building it from individual orders?

Say I'm building an order book and two bids come in at price $p$ and volumes $v_1$ and $v_2$. Which option is better To store the order as $\{p, v_1+v_2\}$ or To store the order as $\{p,v_1\}$ and ...
3
votes
3answers
481 views

Papers and algorithms on bidding schemes for best order execution?

I'm building an automated option trading bot that executes common options multi-leg strategies (straddles, spreads) and I want to learn the best way to execute my orders. As you know, the bid-ask ...
3
votes
3answers
157 views

What is the correct / expected behavior for a market order sent to an empty book?

Should it stick around until liquidity shows up? (GTC) Should it cancel any size for which there is no liquidity? (IOC) Is there such a thing as Market GTC or Market Orders must always be IOC?
2
votes
1answer
82 views

How to model bracket orders?

I'm looking for a way to make my own Python backtester (like zipline or pyalgotrade) or improve one of these backtesters. One major lack of these backtesters is the lack of support of bracket orders ...
2
votes
2answers
181 views

How do you handle order tracking (without unique Lot ID's)

Hypothetical Trade: I buy 10,000 shares of ASTC using a broker API. The order is filled in 4 similar lots; ...
2
votes
2answers
254 views

Where do these Orders come from and what do they mean?

Good morning! I was looking at an order book yesterday and saw orders which I haven't seen before. Normally an order in the order book consists of the total volume, the price and how many ...
1
vote
2answers
566 views

Order and position management in (semi-)automated trading system

A simple and lazy approach to implementing an order and position management (OPM) component in a (semi-)automated trading system: leave most OPM to counter party (broker/exchange). Even then funds ...
1
vote
0answers
23 views

order routing for a fill [closed]

Lets assume a FIFO rules in futures, I buy a contract and id like to sell it. Should I estimate the possibilite of orders on opposite side would be filled first? If I watch new orders incoming at new ...
1
vote
0answers
207 views

Data feed that shows individual orders

Does anyone know how I can obtain time and sales data for a stock? Lots of feeds provide the total volume but I would like to see the breakdown of what buy/sell orders made up the day's volume. I ...
0
votes
4answers
83 views

How can one get broker order data?

Is there any chance to get order data from any broker with a label from which account it came from? The accounts can be anonymized, i just need to identify an account's orders sent. Any help will ...