Questions tagged [order]

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Interactive Brokers Order Type for placing dynamic orders that adjusts as market moves

I am a retail investor. I am looking for the order type Interactive Brokers has for placing a dynamic order that adjusts as the market moves. For example, I place an order to buy one stock/ option of ...
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Difference between real and expected average transaction price of an order?

This might be a really simple question but I'm quite confused. I've been given a limit order book (I don't think it's necessary to upload it for my question but I can if you want me to) and I've been ...
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2 votes
1 answer
406 views

Limit Order Book disaster recovery technique

I have designed a fast limit order book, similar to the one described here. It is working and passing the unit tests. Now, I am thinking of its reliability. i.e in case of failure (e.g unhandled ...
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1 answer
91 views

Stock market simulator coding problem

I'm working on a coding problem that I was given for simulating a stock market simulator. I don't really know anything about the stock market, but the instructions state that stock market domain ...
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Fake Order Detection

Sometimes there is a limit order inserted as the best sell/bid, but when my program sees the opportunity and places a market order immediately trying to hit it, it's canceled which causes a big ...
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1 vote
1 answer
302 views

Difference between IOC and FOK orders

I am trying to understand the difference between FOK and IOC orders. If I send a market FOK or IOC order to sell 100 shares of StockX - what would happen if the orderbook looked like this? ...
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6 votes
2 answers
444 views

What are the main types of orders on an exchange?

I'm currently reading Michael Lewis' Flash Boys, which is about high-frequency trading. It was published in 2014 and it says that there are 150 types of orders on exchanges (mainly built for HTF ...
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2 answers
112 views

How does a Stock Exchange Provider implement a Stop-Loss Order?

If I place a stop loss order at my provider. Is this order directly forwarded to the stock exchange? Or does my provider implement this logic. If so, do they have to declare any delays that arise by ...
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3 answers
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what happens when a stock price gaps over buy/sell stop order?

Example for clarification. Let's say the stock price is 50 and i am trading intraday on the 5 minute chart and place a sell stop order at 48. But then the next 5 minute candle opens at 45 and goes ...
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1 vote
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What kind of ARMA-GARCH model is that?

My question is what kind of ARMA-GARCH model is the following equation and how to specify it in rugarch R module: $$r_{t+1}- r_t = \alpha_0 + \alpha_1r_t+\...
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2 votes
0 answers
376 views

How to identify buy walls and sell walls from a limit orderbook?

I am trying to get notified of buy walls and sell walls from a limit orderbook and I had a couple of ideas and would appreciate some insight into these Take the mean quantity and anything above the ...
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2 answers
660 views

Order books theoretical price

Suppose we have the following bid/ask spread for a particular stock: What is the theoretical value of the stock? Now suppose we have: What is the theoretical value of the stock? Now suppose a ...
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IBrokers: How to assign trail amount for order type 'TRAIL'?

I'm using R package IBrokers with IB TWS. I'm trying to create a twsOrder object using twsOrder function: twsOrder(...., orderType = 'TRAIL', ...) How can I ...
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How to debit user balance on market buy order?

Suppose that the user's balance is debited before his order is sent to the matching engine. The debiting is done to ensure that the user has sufficient balance and that he is not submitting orders ...
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1 vote
0 answers
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Is it possible to place hidden order inside spread when trading E-mini S&P 500?

My question is not about hidden orders in general. In equity market a trader can post his hidden order inside spread, is it the same way for E-mini S&P 500?
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1 answer
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Why some exchanges enforce that you send the total quantity (fill qty + open qty) when changing the order size?

Is it to protect against overfills? Can anyone explain in simple terms?
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2 votes
2 answers
970 views

why is there a cancel/replace message in FIX?

Couldn't we just cancel existing order and enter new order? Is there any other reason apart from a communication overhead that now we need to send 2 messages vs just 1 message to cancel replace?
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7 votes
2 answers
3k views

Order Execution Algorithms

To execute large orders under minimum price impact or to hide a market view, trading systems sometimes utilize special order execution algorithms or order types. One example is an iceberg order, ...
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4 answers
180 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 ...
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1 vote
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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 ...
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3 votes
1 answer
327 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 (...
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5 votes
3 answers
702 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?
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8 votes
3 answers
1k 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 ...
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2 votes
2 answers
298 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 sellers/...
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4 votes
3 answers
1k 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 ...
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2 votes
2 answers
229 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; ...
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3 votes
1 answer
383 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 ...
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5 votes
3 answers
1k 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 $\{...
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1 vote
2 answers
851 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 ...
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