Questions tagged [order-handling]

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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 ...
2
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2answers
88 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? ...
2
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1answer
420 views

How to perform batch-trading using Interactive Broker API?

My definition of batch-trading: Given $N$ BUY orders, $M$ SELL orders and $O$ ($O < N$) as the max number of open positions to be held. Batch-trading should monitor the orders and when $O$ BUY ...
1
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1answer
66 views

Purpose of ISOs

Why was ISO (Intermarket Sweep Order) introduced? I read that it was introduced to help fill large orders. Some explanation is here: http://tabbforum.com/opinions/why-hfts-have-an-advantage-part-3-...
1
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1answer
103 views

Why some exchanges enforce that you send the total quantity (fill qty + open qty) when changing the order size?

Is it to protect against overfills? Can anyone explain in simple terms?
2
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2answers
459 views

why is there a cancel/replace message in FIX?

Couldn't we just cancel existing order and enter new order? Is there any other reason apart from a communication overhead that now we need to send 2 messages vs just 1 message to cancel replace?
4
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3answers
255 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 ...
0
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1answer
114 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 ...
2
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2answers
486 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 ...
2
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3answers
546 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 ...
3
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2answers
204 views

Mitigating gateway delay

A trading system has $n$ colocated uplinks to TCP order entry gateways $g_1, \dots, g_n$ on a given exchange. Each gateway $g_i$ has a different order entry delay function $d_i(t)$ as a function of ...
1
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1answer
90 views

Implementing Orders with Interval Estimates

There's a better chance that stock price reaches an interval, say between \$16.91 and \$16.97, then a single price, say \$16.95. Hence, I generate an interval for a target price, instead of a single ...
4
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3answers
1k views

How do Order Management/Matching Systems match/allocate orders (and filled prices)?

I am working on an improvement of my company's order allocation system. We run a central Order Management System (OMS) but currently performance attribution from filled orders leaves room for ...
7
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1answer
1k views

Profiting from price discrepancies between stock exchanges

Here is an interesting video by Nanex: http://www.youtube.com/watch?&v=rB5jJuMP84E Perhaps some of you have already seen something similar. It is an animation of the order routing. It shows 1/2 ...
5
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3answers
1k views

Is it worth preserving orderbook structure when building it from individual orders?

Say I'm building an order book and two bids come in at price $p$ and volumes $v_1$ and $v_2$. Which option is better To store the order as $\{p, v_1+v_2\}$ or To store the order as $\{p,v_1\}$ and $\{...
2
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0answers
217 views

Looking for FpML best practices

We want start using FpML within our organisation; where message will be sent using FpML. What are best practices to do this ? If anyone who have used Tools as well as; i want to use FpML for ...
7
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4answers
1k views

Does HFT make sense in a pro-rata market?

If orders are filled pro rata, is there still incentive to engage in HFT? Because pro rata nullifies the time precedence rule, my intuition is no, but I figure there could be other aspects to it I'm ...
5
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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 ...
13
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4answers
2k views

What approaches are there to order handling in automated trading?

I am currently developing a commercial automated trading program in which users can write their own proprietary code and develop strategies, like in NinjaTrader, MetaTrader etc. Right now I am working ...