8
votes
Accepted
How can one effectively approximate the fill portion of a limit order in a FIFO order book given it's recent state?
In my opinion, instead of developing an analytical model, it's better to evaluate this probability directly from the data. Place your simulated orders at different price levels, and check whether and ...
- 1,012
5
votes
Accepted
Algorithmic Execution Literature/References
You now have four reference books for algo trading
Market Microstructure in Practice (L and Laruelle) for an introduction and microstructure related aspects
The Financial Mathematics of Market ...
- 11.5k
4
votes
Send TRAIL STOP order when price hits a certain level, with IB TWS
I think what you are looking for is an Adjustable Stop Orders (https://www.interactivebrokers.com/en/index.php?f=574).
Using adjustable-stop-order you can limit your losses in case the price falls ...
- 179
4
votes
Accepted
Achieving an even distribution of orders in the queue
Suppose your target participation rate is 1/11 ~ 9%. At each price level, whenever someone puts a limit order of size 10, you put a limit order of size 1 right after him. Whenever someone cancel an ...
- 56
4
votes
How is market buy order executed when meeting both market sell order and limit sell order?
Two (or more) orders arriving at the same time makes no difference for an exchange's matching engine, the buy orders execute against sell limit orders, and the sell orders execute against buy limit ...
- 4,738
4
votes
Accepted
How are piled-up orders matched?
Each exchange is a bit different, especially the listing exchange vs others, so no one answer. This should add a bit of color on the Nasdaq opening auction -
- 464
3
votes
Accepted
Does all (or any) exchange eats the positive difference between a buy order and a ask order?
What your describing is a simple limit-order book. Bob submits a limit order to buy 10 shares at \$101 so he will get filled for 5 @ 100 and 5 @ 101 and have a VWAP of \$100.5.
If a broker or ...
- 56
3
votes
Optimal execution of illiquid securities
Please note that my answer is primarily opinion/experience based. If it is not appropriate I will take it down or edit accordingly.
How should I begin to think about optimal execution given a choice ...
- 4,738
3
votes
Accepted
Fill prices on limit and market orders
In the first case it is a "race condition": whichever order is received first (even if it is only one microsecond before the other) will populate the Book and the second limit order will execute ...
- 10.9k
3
votes
Accepted
Python everywhere but where do they execute orders?
IBPy + IB Gateway + TWS and you can send order to any interactive brokers, how to setup
3
votes
Order Replacement Trade-off for a Market Maker
they are now plenty of academic resources to address the point of interacting with liquidity via limit orders:
Stochastic control is the best way (it's optimal!) but you need a model of liquidity ...
- 11.5k
3
votes
Accepted
Exchange order matching system/core for local testing
I am not aware of any such service but simulating exchange behavior for backtest is very challenging given irregular order arrival and their impact and hidden orders. Even the paper trading service’s ...
- 444
3
votes
Accepted
Determine market and ice-berg order types from live trade and quote data
In general you cannot determine this information from the public data feeds- the purpose of Iceberg orders in particular is to be hidden and difficult to detect. Also, there isn't really a ...
- 221
3
votes
What is meant by "a stop order may trigger another stop order?"
If a stop order triggers (let's say a stop sell order) it adds an additional sell order which, if executed, can push the price down which can trigger more stop sell orders.
There is no possibility ...
- 131
3
votes
Accepted
How were High Frequency Traders able to front-run in this example from Flash Boys?
Michael Lewis is either being disingenuous here or exercising creative license with this story.
Spreads are wider than the edge of absorbing wholesale customer flow. Even if we take this to a further ...
- 272
2
votes
Accepted
What approaches are there for keeping local and remote order books in sync?
My 3 points for you:
Earlier checks like pre-compliance checks for orders are usually performed.
Three different types of orders are correctly recognized - i.e. proposed orders but not routed, ...
- 80
2
votes
Execution quality for illiquid securities
You would need intra-day bid-ask and volume data, otherwise this would be difficult to analyze. Even with large spreads, your trade can execute on either end of the spectrum just based off of how the ...
- 341
2
votes
Send TRAIL STOP order when price hits a certain level, with IB TWS
You would create an "Alert" in TWS that submits the trailing order when some set of market conditions are met.
It's confusing because this is really a trigger, but IB calls it an alert.
...
- 21
2
votes
Algorithmic Execution Literature/References
I think that among others, Empirical Market Microstructure is a good book to start with. For more recent theories, you can find articles from q-fin.TR subsections ...
- 702
2
votes
Question about order book and single player interference
This is a complex question. First of all, you need to know that orderbook manipulation is illegal. That being said, I can rephrase you question as:
given an orderbook
say a new sell order of size $...
- 11.5k
2
votes
Accepted
How does a Stock Exchange Provider implement a Stop-Loss Order?
It depends:
Does the exchange support Stop orders? Some do, some don't. You can find it in exchange's documentation. If the answer is "no" but your broker offers it, then Stop orders are managed ...
- 1,012
2
votes
Accurate model but execution in backtesting is losing money
Can I ask what type of backetest you are using? Is it an event-driven backtest or a simple for-loop backtest. Depending on whether you wrote your own or are using a library for it, try and analyse a ...
- 647
2
votes
Market makers order execution on the order book
Owen, designated market makers in general are required to send in a two sided market (a bid and and offer) within a certain width for a certain percentage of the time. There's no obligation to cross ...
- 2,588
2
votes
Difference between Order Expire and Order Done for Day (DFD)
Order expired may be sent when a Good Til Date (GTD) order reaches its expiration date or a Good Til Cancel (GTC) order reaches its maximum age. That maximum age may be broker-specific and even ...
- 2,880
2
votes
Why does Canada allow merely 9% spread between the trailing stop price and its limit offset?
Stop buy orders are dangerous: you can overpay for a stock when it spikes up (partly from your and others' stop orders all kicking in at the same time), only to have it come back down when the flurry ...
- 10.9k
2
votes
Execution Strategies
What are some of the ways one can improve execution model of a market making strategy?
If your market making strategy is delta-neutral two-sided passive quoting, then your execution quality is really ...
- 103
2
votes
Accepted
Do IOC Orders Stay on the Order Book for Any Period of Time
They will not stay and therefore your conclusion is correct.
The behaviour you describe can be achieved by setting a time in force on the order or manually canceling after some time.
- 8,438
1
vote
How does a Stock Exchange Provider implement a Stop-Loss Order?
It is important to note the difference between "regular" buy / sell orders and "stop-loss" orders in terms of how they enter the order book.
Regular buy/sell orders enter the order book immediately ...
- 5,998
1
vote
Translating Order books accounting for fees
When fees are not symmetric, to take fees into account on orderbook needs to know if you want to provide or consume liquidity: you have in fact two different views (ie two ranking) on the same ...
- 11.5k
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