Let's say you are running an arbitrage strategy in the Forex market. You see an opportunity to buy USD/JPY at 100 on exchange A, and sell USD/JPY at 105 on exchange B. You submit the buy and sell order simultaneously as limit orders to these two exchanges. Due to unforeseen circumstances, your buy order fills but the sell order does not. I can think of a few techniques to do, which one is recommended?

  1. Fill the sell order at the current market price, taking a potential loss.
  2. Wait x some time for the sell order to fill, and then cancel.
  3. Revert the buy order by placing a new sell order that cancels out the buy order.

If you don't fill an order that you intended to fill then you usually try again. After all, that's your strategy. Then the professional response is to open a ticket with IT on why the order wasn't filled, and find out exactly what the problem was, and why, and take IT actions so it can't happen again.

In a way, you're asking about a form of "slippage".

  • $\begingroup$ Some methods of quoting/execution guarantee that the quote is valid for a (short) time, some do not. $\endgroup$ – noob2 Jul 17 '17 at 13:19
  • 1
    $\begingroup$ Generally if there a N quotes and one is out of line with the others you would hit that quote first and then do the other side with one of the N-1 remaining. $\endgroup$ – noob2 Jul 17 '17 at 13:23

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