Questions tagged [order-execution]
Order Execution is addressing the way to interact optimally with other market participants.
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Explanation of trade half life in Almgren-Chriss paper
In Section 2.3 of Almgren, Robert, and Neil Chriss. "Optimal execution of portfolio transactions." Journal of Risk 3 (2001): 5-40 the authors define the half-life of a trade as $\theta \...
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Calculating TWAP for Transaction Cost Analysis
I am looking to perform TCA of several orders.
I would normally look to calculate an order's VWAP/ TWAP only relative to the executions of that order.
So for instance, calculating an order's TWAP (...
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How do order books work to match trades?
I have some questions about how order matching works:
Can an order be matched if the top of the order book on the bid side is lower than the top on the ask side? I would say no since matching would ...
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NASDAQ ITCH Order Executed With Price Message
I'm building a basic feed handler with the NASDAQ ITCH sample data and I'm a little confused on Order Execution With Price.
From the decoded sample data I've pulled out message type C (section 1.4.2) ...
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Tick data - detection of price moving away
I was wondering if there are any industry methods for detecting short term rapid price movements with L1 tick data for equities. Ideally should be robust/general enough to work for a wide range of ...
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LOBSTER Execution Price
I'm using LOBSTER data to observe order execution. I'm taking the message data and grouping events by order ID to trace their life cycle.
I've noticed that, for example, if a buy order for 1000 is ...
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Reference for Aggregated Temporary Price Impact
I am wondering if someone knows relevant literature on the joint temporary price impact. The temporary price impact here refers to the difference between the best ask/bid price and transaction price ...
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Improve Trade Execution For Mid-Frequency Futures Systems
I know this is kind of a very open ended question but I am struggling with the following problem:
I have a futures trading system (operating on very liquid markets) that generates a prediction every ...
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Is this an optimal stopping problem?
I am trying to work out how to approach a machine learning problem of 'learning' an optimal liquidation time/threshold, under some conditions, from historic data. The idea is a trader armed with this ...
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If a market maker wanted to avoid filling option orders from a specific account, what information could they use?
FIX has a few fields that do or could contain identifying information for equity option orders, the “Actionable Identifier” field in particular, although the OCC states here that
“It will not be ...
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How were High Frequency Traders able to front-run in this example from Flash Boys?
I am re-reading Michael Lewis' Flash Boys book, and I have a question about how a High Frequency Trader was able to front-run an order in a particular example mentioned in the book. On page 78, ...
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Dealing with the Inventory Risk (Lehalle, Gueant, Tapia): Delta T parameter and actual order duration
Reference paper: Dealing with the Inventory Risk (Lehalle, Gueant, Tapia)
∆T is the time horizon over which you compute the intensities of aggressive orders (you get the k and A parameters)
I have two ...
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Do IOC Orders Stay on the Order Book for Any Period of Time
I'm confused on whether or not an IOC (Immediate Or Cancel) order will stay on the order book for any period of time.
For example, if I place an IOC buy limit order at \$1.00 and the ask price is $1....
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how to do hedging in global market give the time zone issue [closed]
Hi I am considering a question:
Give you have a global portfolio, consisting of U.S stocks, Euro Stocks or even Japan stocks and you have to rebalance daily according to my calculated trading signals. ...
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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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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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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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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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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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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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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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What's the optimal way to size a 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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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Competitive levels in Limit Order Books
I've been doing some research on electronic Limit Order Books (mainly equities) and I was wondering if anyone has seen a paper on how to compute competitive limit order prices. By competitive, I mean ...
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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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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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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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Probability of getting a fill of a given size
Question is quite simple, what is the probability of getting a fill for:
(i) a limit order of size - $s$
(ii) that is $\Delta$ away from the mid-price
(iii) in the next $t$ minutes
given ...
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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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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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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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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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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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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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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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