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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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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
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16 votes
3 answers
2k 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 ...
silencer's user avatar
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11 votes
3 answers
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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 ...
ali_bahoo's user avatar
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10 votes
2 answers
490 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 ...
G__'s user avatar
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9 votes
1 answer
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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,...
Louis Marascio's user avatar
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 ...
cowmoo's user avatar
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8 votes
1 answer
255 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 ...
Sammy's user avatar
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8 votes
1 answer
2k 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 ...
Thomas Johnson's user avatar
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
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, ...
emcor's user avatar
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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
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6 votes
2 answers
406 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 ...
G__'s user avatar
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6 votes
2 answers
6k 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)...
Gascoyne's user avatar
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5 votes
1 answer
2k 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 ...
quant_dev's user avatar
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5 votes
1 answer
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 ...
CharlesM's user avatar
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5 votes
1 answer
911 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 ...
David Addison's user avatar
5 votes
1 answer
689 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 ...
Serg's user avatar
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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
4 votes
2 answers
420 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 ...
Comp_Warrior's user avatar
4 votes
3 answers
544 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 ...
Jean-Paul's user avatar
  • 333
4 votes
3 answers
474 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 ...
nimbus3000's user avatar
4 votes
3 answers
724 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, ...
g_puffo's user avatar
  • 415
4 votes
1 answer
865 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 ...
xxen0nxx's user avatar
4 votes
0 answers
1k 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 ...
Thomas Bosman's user avatar
3 votes
3 answers
963 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.
olivia's user avatar
  • 209
3 votes
2 answers
578 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 ...
g_puffo's user avatar
  • 415
3 votes
5 answers
870 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 ...
vandelay's user avatar
  • 133
3 votes
3 answers
383 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 ...
Nivvii's user avatar
  • 31
3 votes
1 answer
183 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 ...
Den's user avatar
  • 175
3 votes
1 answer
527 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 ...
grayQuant's user avatar
  • 131
3 votes
0 answers
213 views

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 ...
Zac's user avatar
  • 207
3 votes
0 answers
640 views

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 ...
nz_'s user avatar
  • 305
2 votes
3 answers
777 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 ...
intrigued_66's user avatar
2 votes
2 answers
1k 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.
Victor123's user avatar
  • 1,404
2 votes
1 answer
424 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 ...
nz_'s user avatar
  • 305
2 votes
2 answers
243 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 ...
wildbunny's user avatar
  • 629
2 votes
2 answers
128 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? ...
Helin Wang's user avatar
2 votes
1 answer
365 views

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, ...
Hamish Gibson's user avatar
2 votes
3 answers
283 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 ...
Alexander Chervov's user avatar
2 votes
1 answer
1k 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 ...
decoder's user avatar
  • 23
2 votes
1 answer
800 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 ...
BGa's user avatar
  • 169
2 votes
1 answer
394 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 ...
StackG's user avatar
  • 3,046
2 votes
2 answers
136 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 ...
g_puffo's user avatar
  • 415
2 votes
2 answers
3k 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 ...
user948950's user avatar
2 votes
0 answers
73 views

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. ...
coco's user avatar
  • 21
2 votes
0 answers
126 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?...
Tom Weston's user avatar
2 votes
0 answers
237 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 ...
pSrIoGcNeAsLs - bye stackGPT's user avatar
2 votes
0 answers
184 views

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 ...
New quant's user avatar
2 votes
0 answers
109 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 ...
FriedPanda's user avatar