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9

Order Cancel-Replace might save you from losing priority in the book (for instance when cancelling some of the remaining shares - check the venue rules!). The communication overhead is very significant - it halves the round trip time (otherwise you have to cancel; wait for confirmation; re-send -- if you don't wait you risk getting double fills). At any ...


3

Time and sales shows trades, not orders. You are most likely seeing off exchange block trades being matched in dark pools and other block crossing venues and reported to FINRAs TRF.


2

For most traders they wouldn't have a need to use ISO orders. It tells the exchange to fill the order completely at the exchange, assuming the required volume and price are met without routing the order to another exchange. It was introduced when RegNMS came in as otherwise once an exchange filled the order at the top price level it would have to send the ...


1

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 ...


1

I agree that it is important to correct your question in that you are seeing actual trades and not orders. Near the opening you are likely seeing the crossing of the opening Spins of NYSE and Nasdaq. You will see the same occur after the close with the closing NYSE Exchange spin. During the day it is also possible that large prints are the flip out of an ...


1

Three possible explanations, 1) From a recent PhD thesis, this could be part of an aggressive HFT strategy that tests how the market reacts to such large orders. See Adam Clark-Joseph's exploratory trading paper. 2) If the order is in a Large Cap Stock or liquid ETFs, it could be a large fund filling a block trade. Think about it if your a fund manager, if ...


1

It depends on the smart order router that you've chosen. Generally no. However in your example it appears that you are referring to passive execution on both ends, and there are smart order routers that preference the highest rebate, in which case you might find high correlation - note this doesn't mean that the venue where the entry leg is executed causes ...



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