Questions tagged [order-execution]

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25 views

MOC or TAS mechanism to trade stock options?

Wonder if anyone can help. Is there a product or mechanism to trade cleared stock options at the settlement price, in the same manner to Market on Close orders or Trade at Settle on commodity markets?...
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19 views

Better to "work order" or just give best limit price when placing multi-leg option orders through IB with SMART routing

I place option trades usually consisting of 2-4 legs...mostly ratios spreads through IB using the SMART routing algorithm. Say for a particular trade, the bid is 0.04 debit and the ask is 0.17 debit. ...
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1answer
48 views

What is meant by "a stop order may trigger another stop order?"

I came across this phrase today in my studies without examples, so I am unclear what the meaning is. This is in the context of stop market orders. Is it referring to the scenario where, say, some ...
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2answers
77 views

How are piled-up orders matched?

Suppose that the market is closed, but orders are queued up to be matched as soon as the market opens. Suppose for simplicity that only two orders are queued: A sell order to sell 1 unit at \$1.00 A ...
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2answers
97 views

Determine market and ice-berg order types from live trade and quote data

I have tick and quote live data from Polygon and Interactive Brokers. Looking at the conditions I can't see info on market or iceberg orders: https://polygon.io/docs/...
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77 views

Execution Strategies

I have a rather broad question. Not sure how to best put it. Does anyone have any papers/resources on how to improve the execution model of any strategy? Would it be different if strategy under ...
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0answers
39 views

Exchange order matching system/core for local testing

I am looking for a service that can be deployed locally or connected to it and would emulate the order matching system of exchange (a.k.a matching core). I remember, that I have seen on GitHub repo, ...
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41 views

Optimal execution of limit and market orders [duplicate]

I have built a alpha to get signals buy/sell. Because I trade with a large number of future, I need a good strategy to execute. I want to split my target 2 parts: limit and market order book. But I ...
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1answer
147 views

How does a trader choose how to size his limit order?

Say Bob wants to buy \$30 million worth of APPL stock at a price of \$130. He decides to use a limit order. But posting a $30 million limit order would drive the price up and prevent him from being ...
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1answer
185 views

Order Replacement Trade-off for a Market Maker

Whenever we replace an order, we lost priority since we are added to the end of the queue. If we dont replace an order, there is an obvious chance that we might get picked. There are other situations ...
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50 views

Optimal order placement in limit order markets

I am reading the paper: https://sci-hub.do/10.1080/14697688.2016.1190030 because I want to split the target shares in market order book and limit order book. I have a question when it comes to page 10 ...
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1answer
94 views

How do limit order prices meet?

I understand how limit orders work but I don't know how do they meet. Suppose the book of a ticker ABC is empty. Trader 1 sends a buy limit order for 1 share of ABC at 2\$, and at the same time (...
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200 views

Markov Property in Optimal Execution?

After reading papers on reinforcement learning with respect to the problem of optimal execution (Nevmyvaka et al (2006), Ning et al (2018), etc), I was wondering if the Markov property assumed in all ...
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2answers
118 views

Pegged Orders Positioning

I have a strategy that involves being first in the order queue in a tight market where the tick can change from bid to ask or ask to bid by one tick. I am looking at pegged orders so when the bid ...
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1answer
151 views

D-Limit and Crumbling Quote Indicator

I've been following the development of the D-Limit order at IEX for some time. In the last couple of days I see the SEC has been sued by Citadel Securities for approving this order type. Can anyone ...
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1answer
317 views

Can someone explain to me the square root law of market impact?

The square root law is shown here: Market impact, why square root? Let's say I want to execute 100 lots. But I have never executed before so I have no idea what n is historically. How would I ...
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1answer
107 views

How Crypto Exchanges handle overlapping orders when self trading is disabled?

I am unsure how a typical "matching engine" handles overlapping orders (in my case, Deribit). I would be just as interested in how any crypto exchange handles the situation. The user has ...
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1answer
88 views

Why does Canada allow merely 9% spread between the trailing stop price and its limit offset?

I'm assuming that "limit offset" just means "limit price". Help & How-to | Questrade There is no maximum allowable spread between the limit offset and the trailing stop price ...
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50 views

Optimal trading given frequently delivered directional forecast

I am interest in trading by optimally exploiting a directional forecast given by an oracle. The oracle predicts directionally the price of an asset (higher or lower than at the moment of forecast ...
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1answer
852 views

Difference between Order Expire and Order Done for Day (DFD)

Whats the difference between Order Expire and Order Done for Day (DFD) ? In general and from FIX protocol point of view.
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220 views

Market Making Formulation

I'm developing a deep reinforcement learning based approach to market-making. In order to implement this, I need to define the appropriate actions and define environmental steps. While doing some ...
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1answer
104 views

Do Institutions (large trading firms) use market orders?

It is well known that Institutional traders (Large trading firms, market makers) most of the time use LIMIT orders or Hidden limit orders. My question is, do they ever use market orders in their ...
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2answers
102 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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36 views

Best practice to optimize trading price, once I've already decided to sell or buy in next few days

I'm investing in long term. By different means not related to this question, I've already decided that I want to buy or sell a particular instrument, but I'm not in such a hurry: I'm still allowing a ...
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1answer
228 views

Accurate model but execution in backtesting is losing money

I have a binary classification model that predicts BUY (1) and SELL (-1) with an out of sample F1 score of 71% (precision is 65% and recall is 80%). The model's output is a probability of a BUY label ...
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1answer
242 views

Market makers order execution on the order book

If a market maker is required to always have at least one order on a certain side of the order book (buy or sell), if there's no one else in the market and just market makers left on the book, will ...
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3answers
713 views

How is market buy order executed when meeting both market sell order and limit sell order?

Currently, we all know how market buy order is executed when meeting only limit sell order for time-priority rule.
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1answer
80 views

Translating Order books accounting for fees

I am trying to understand how fee structure plays into how I should best execute a trade. Say there are two exchanges with the following order book: Exchange A: Bid Qty | Bid Price | Ask Price | ...
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0answers
79 views

Why not to maximize Sharpe Ratio directly when computing optimal allocation of an order?

I was reading the following paper of Engle about balancing transaction costs performance and risk: https://www.nber.org/papers/w12165.pdf He deals with finding the optimal placement of the child ...
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2answers
277 views

How can one effectively approximate the fill portion of a limit order in a FIFO order book given it's recent state?

What methods could one use to find the step wise probability of a partial or full fill of an order in the best ask/bid level of a limit order book given the historic best ask and best bid quantities ...
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0answers
113 views

Standard ways of simulating order books

What are some standard simple ways of simulating an order book? I have found this paper, but it is missing the implementation details. And more importantly, it appears that it ignores the size of the ...
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0answers
43 views

how to test OMS functionality via FIX?

Has anyone done app dev that tests OMS functionality ( FIX ) ? Do any brokers or other financial entities make test apis available ?
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1answer
153 views

Achieving an even distribution of orders in the queue

Baron Law, Frederi Viens: Market Making under a Weakly Consistent Limit Order Book Model contains the following paragraph "The market maker may achieve her target execution profile by ...
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1answer
289 views

Algo trading execution simulation

Disclaimer: Brand new to high frequency algo trading. Background:I have tick-by-tick trade data for stock A and I have joined the price and volume data for each trade with the previous snapshot of ...
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2answers
89 views

Difference between Stop sell and limit sell

Currently studying Market Microstructure. A proposition says that for liquidating a position, we never set a limit sell order, but a stop loss. Practically, shouldn't these be the same (stop loss ...
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0answers
42 views

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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2answers
105 views

Does all (or any) exchange eats the positive difference between a buy order and a ask order?

Say Alice asks for 100 for 5 stocks, Rob asks 101 for 5 stocks. Bob really wants to buy the stocks, so he bids $101 for 10 stocks. Does Bob actually pays 100 * 5 + 101 * 5 + fee, or 101 * 10 + fee? ...
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1answer
625 views

Optimal execution of illiquid securities

I am using an API to direct orders based on some proprietary buy/sell signal. I am trying to frame a thought process which outlines the slippage/impact risks versus execution risks given the option to ...
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1answer
720 views

Best way to buy and sell large volumes of crypto

I had a few questions about how to properly execute a large order of crypto currency without moving the price much. I know a lot of funds employ a TWAP/VWAP algorithm to liquidate or purchase a large ...
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1answer
100 views

Question about order book and single player interference

Let us suppose I have 1 Million US Dollars, and I am given an ask value of 0.45 USD per share in a given share. Let us call it MRD3. If I place an order of the type bid, in which I offer only 0.01 USD ...
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0answers
504 views

What is the proportion of aggressive orders vs passive orders executed by different types of traders?

It's clear that each aggressive order (or market order or limit crossing BBO) is matched against the same volume of resting limit order(s). I'm interested in statistics per different types of ...
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135 views

Investment Bank VWAP Execution ranking

Is there a ranking of Investment Banks institutional VWAP execution algorithms anywhere (who beats the benchmark price most consistently and by how much)? Thanks
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2answers
350 views

Algorithmic Execution Literature/References

I am going to join the equity execution arm of an investment bank soon. I have minimal exposure to algorithmic execution, and am looking to increase my knowledge on the topic. Can someone provide a ...
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2answers
102 views

Fill prices on limit and market orders

Suppose the book of ticker X is empty. Simultaneously trader A sends a limit buy order for 1 unit of ...
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5answers
796 views

Python everywhere but where do they execute orders?

About every introduction I've read about automatic trading writes about how well python is suited for the task. But looking around, I've been able to find just one brooker, Oanda, which has a python ...
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1answer
138 views

What approaches are there for keeping local and remote order books in sync?

Scenario: developing a custom application which defines a structured workflow for manual order submission to Bloomberg EMSX; it should minimize own persisted state and rely on the remote order book as ...
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1answer
222 views

Execution quality for illiquid securities

The SEC's execution quality statistics measurements (Rule 605) arguably does a poor job at measuring the execution quality of ...
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2answers
5k views

Send TRAIL STOP order when price hits a certain level, with IB TWS

Posting here after searching around and not finding any responses to basically the same question that I saw on EliteTrader, with another variant posted 10 years ago (update: the same question on Money)...
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2answers
2k 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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3answers
210 views

Impact of big order on price

What is known about the question: If someone buys or sells a huge amount of some asset how the price would change ? Of course, it depends on the kind of assets and other context. My main interest is ...