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Questions tagged [order-execution]

The tag has no usage guidance.

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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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0answers
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Achieving an even distribution of orders in the queue

Market Making under a Weakly Consistent Limit Order Book Model contains the following paragraph "The market maker may achieve her target execution profile by continuously adjusting her limit ...
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1answer
83 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
67 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
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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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2answers
86 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
256 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
254 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
76 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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313 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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0answers
91 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
224 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
73 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
576 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
110 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
212 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
3k 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
169 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 ...
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0answers
80 views

Settlement/Spot/(bid ask spread) ratio

Are there any studies on the average difference or ratio between Settlement (execution price) and the Spot price dependant on lot size. I'm looking for a function such as ...
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2answers
91 views

Measuring Volatility from Execution Prices

I was told of a way of measuring the volatility of a stock by looking at the reported execution prices (from Level III or Level II data.) I'm well aware of how to measure volatility by looking at the ...
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1answer
705 views

How is the Order priority of an Iceberg order decided?

Typically, markets guarantee a FIFO order of priority of execution for various orders at the same price. I want to know does this hold true for Iceberg orders? for eg Order1 = Buy 100 Quantities @ 2 ...
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3answers
251 views

Why do I still see large orders?

When analysing T&S for stocks such as AAPL, I sometimes see huge trades. These trades are in the order of 10.000 shares or more. To my knowledge, large trades are (supposed to be) executed by ...
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1answer
110 views

Order routing: correlation of having same exchange for buy and sell

I am not familiar with the technicalities of order routing so my main sources of information as of now is the sec gov trade execution info and an explanation of how SOR works. Question 1: Let's ...
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3answers
431 views

Executions deep in the Limit Order Book?

I have some Level III (message level) data for equities and I have found several cases in which I register the execution of a Limit Order at a price "worse" than the best bid or ask. For example, ...
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2answers
482 views

Locked or Crossed Markets

I don't understand why Rule 610 from Reg NMS was introduced: what was the problem with locked markets? I have read that one of the issues is that it forced a market maker (say, from Nasdaq) who ...
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3answers
541 views

What are the unfair order execution/routing advantages HFT firms apparently have?

I originally thought that you have an orderbook per stock and orders would be filled on the time at which they arrive. Arrive first and you get the best price and the qty in the orderbook is reduced ...
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1answer
855 views

How do you calibrate a poisson arrival rate process?

Many papers in the microstructure literature assume an order arrival rate of the form $\lambda^a(\delta) = \lambda^b(\delta) = Ae^{-k\delta}$ That is, an order that's placed $\delta$ away from the ...
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0answers
65 views

Estimate the effect of a buy order on stock price

If a stock is having ask = 100$ for 100 shares Ask size, and I put a buy market order for 1000 shares, is there an approach to estimate that this buy order will move up the stock price by what %? I ...
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3answers
979 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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0answers
750 views

Where do i find the trade execution priority rules for special order types on continous auction markets

I'm looking for documentation on how trade execution is ordered on exchanges with non standard order types. Especially linked/contingent/stop type orders. Any exchange that implements these with ...
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2answers
688 views

Liquidity seeking algorithms open source implementation

Are there any free online liquidity seeking algorithms? Possible an open source implementation? Not looking for anything state-of-the-art, but just to get an idea how they work.
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1answer
136 views

How does a cross trade pose a problem to the retail investor

How does a cross trade pose a disadvantage to the retail client. In this explanation It says: ...
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1answer
7k views

How do Trade-At-Settlement orders work?

Can anyone explain how Trade-At-Settlement (TAS) order on futures market actually works? I have heard that it is guaranteed execution at the settlement price (or with some offset). How can it be ...
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2answers
320 views

Market overview trading platforms (with OTC)

I am searching for a trading platform for a client. It must include control of trading limits (per user and with regard to the clients portfolio), connection to Bloomberg data, ability to value ...
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1answer
387 views

Effective anti-gaming controls in dark pools

What are some indicators that a dark pool operator has effective anti-gaming controls in place? There are some that prohibit IOCs (immediate or cancel) but is that necessary? It seems like that could ...
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1answer
1k views

High-Frequency Traders and Front Running: What order types are they using? [closed]

I often hear in the news that High-Frequency Traders can front-run incoming trades because they are faster at acquiring information and to execute trades. I also read that speed is only a necessary ...
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1answer
1k views

Why would a trader quickly flicker an order immediately preceding a tick away?

The Setup Assume the inside market is $15.15 \times 15.16$ and there is a very large bid order imbalance. For example, 30,000 shares bid across 100+ orders, 200 shares offered across 1 order; however,...
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1answer
1k views

Trade execution in HFT - role of quants

What is the role of quants in trade execution in high frequency trading? AFAIR in "normal" trading trade execution is considered a very mundane task. What role can quantitative modelling play in trade ...
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3answers
1k views

Optimal execution strategy

Can someone shed some light on optimal ways to execute medium sized orders ~2000 shares in the market? Unfortunately the execution algo I have access to is very dumb. It follows the top-of-book ...
2
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1answer
2k views

How to build an execution trading system with CQG API?

I am currently using CQG for spread trading and have a spread trading strategy in CQG chart. I am trying to automate my spread trading strategy in CQG, but CQG told me to look at CQG API samples to ...
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3answers
356 views

How does order fulfillment proceed with larger orders?

If a large sell order hits many bids from the book, is the order filled at once? Or is it filled one bid at a time with a chance for any new orders to come in between each trade?
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3answers
3k views

What is an effective way of backtesting VWAP execution?

From Optimal Trading Strategies : There are two main reasons why traders execute orders using a VWAP trading strategy. First, a VWAP strategy is the trading strategy that minimizes market ...
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2answers
352 views

Is it common to use multiple brokers for risk reduction?

Would it be considered appropriate risk-management or overkill to utilize multiple brokers to manage a given trading strategy? A couple specifics: I'm interested in what a reasonably-sized hedge ...
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2answers
432 views

How to determine if one player moved a price

I'm trying to understand what caused certain price movements (aren't we all!) in per-minute data for major NYSE stocks. In particular, I'd like to determine whether a given price movement of X% in ...
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0answers
1k views

Which CEP platform is most popular for trading systems? [closed]

I heard that trading firms employ CEP platforms such as StreamBase, Marketcetera, JBoss Drools, and etc., to implement trading systems. I wonder which one is most popular and the recent trend of ...
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2answers
2k views

How to execute a large futures order?

I am currently trading futures products on some contracts that have low volumes. More accurately, the volumes of working orders in the book are fairly light. I am trying to execute a relatively large ...