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Questions tagged [order-execution]

Order Execution is addressing the way to interact optimally with other market participants.

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22 votes
2 answers
3k 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 ...
kyokley's user avatar
  • 323
7 votes
1 answer
10k 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 ...
lowtech's user avatar
  • 208
6 votes
3 answers
430 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?
Bobbi Bennett's user avatar
6 votes
2 answers
1k 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 ...
James's user avatar
  • 163
5 votes
0 answers
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 ...
Paul's user avatar
  • 59
1 vote
1 answer
100 views

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 ...
FoolAlex's user avatar
  • 101
0 votes
2 answers
140 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 ...
e271p314's user avatar
  • 123