9

Think of it like a forward trade on the settlement price. If you are buying with a TAS you are agreeing to go long the futures contract at the settlement price (+/- the offset), and whoever you trade with is agreeing to go short at the same price. It is guaranteed because the exchange becomes the counterparty for both traders and there is a margin deposit. ...


6

Everyone can do what HFTs do, if they spend the necessary time and money to build and run the infrastructure required. This may involve becoming a regulated broker/dealer, but it is in no way an invite-only club. Now, to your specific question, you'll find some information on Haim Bodek's site. Bodek does content that ISO's and Day ISOs are used to gain ...


6

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 when they would be executed. Then use this probability model to simulate your trading strategy. However, assuming that you want to simulate a trading strategy,...


5

In the paper Optimal split of orders across liquidity pools: a stochastic algorithm approach (2011) we present the theoretical aspect of liquidity seeking, thus you will learn how they work. There is a seminal (once again) white paper by Robert Almgren on iceberg chasing that is very informative too.


5

With respect to what you need, you have to consider different aspects of optimal trading: the Almgren-Chriss framework (cited by Anna, since Jim and Alex -amongst others- extended it) focus on obtaining an optimal trading rate, it is nice but not really what you need. You can nevertheless use it to plan / schedule your trading during the day. but what you ...


5

I have heard of several allegations in the recent days, but they are mostly baseless. However, there are a rare, few trading venues whose matching rules are most often accused of giving unfair order execution advantages to certain firms. These usually arise from violations of the standard price-time priority: IEX's broker priority rule. "All orders will be ...


5

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 Liquidity (Guéant) for practitioner who want to start implementation Algorithmic and High-Frequency Trading (Careta, Jaimungal and Penalva) for quants or young ...


4

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 and protect your profits if the price rises. Adjustable stop orders are not orders per say but they are "instructions" to change an existing order. For example: ...


4

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 order of size 10, you cancel 1 share from your limit order with the lowest priority. When a market order arrives, you adjust your limit orders depending on ...


4

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 orders. If no limit orders exist, market orders may be rejected by the exchange, or the price will be restricted to a 'volatility threshold' based on the last ...


3

To slice up an order you can use several execution strategies. TWAP which will execute small slices of your order over a time period VWAP which will spread your order over time and try to minimize slippage against the vwap benchmark for a given instrument POV which will split your order up into smaller chunks and attempt to keep your order filled as a ...


3

Most of the big players offer a suite of execution algorithms for big orders, as seen in this listing from Credit Suisse. Very generally speaking, the algorithms will have a pedigree going back to volume weighted average pricing schedules, or perhaps to the famous paper by Almgren and Chriss. They have various modifications, including use of "unusual" ...


3

Time and sales shows trades, not orders. You are most likely seeing off exchange block trades being matched in dark pools and other block crossing venues and reported to FINRAs TRF.


3

In addition to @madilyn's answer, there is one point that needs to be addressed and that is often called an unfair advantage although it is merely a competitive advantage. Take the US Equities market. There are now several venues on which the same symbols are traded. If one HFT acquires information about one symbol in one venue - e.g. due to a limit order ...


3

Look into OLF's Findur http://www.olf.com/software/financial-capital.html highly customizable trading platform, will not give you everything you mentioned out of the gate but has capability to get there with some development effort


3

IBPy + IB Gateway + TWS and you can send order to any interactive brokers, how to setup


3

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 against it, at the price of the first order. In the second case it is indeterminate and may depend on the details of how the "matching engine" works. Probably when ...


3

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 exchange did that to you where you pay 101 for all it would be completely illegal. You’re entitled to receive shares at the best available price by law in most ...


3

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 of buying subsides. To avoid this it is recommended that you have a limit on your order as well, so you control the maximum price that you are willing to pay. ...


2

So to summarize the comments given, dark pools seem to do the following: banning of specific firms by the dark pool requiring a minimum order size banning of firms by the participants flow analysis to separate different types of players To me it seems that this covers most of the reasonable actions they could possibly take and whether this is done seems to ...


2

The adopting release of Reg NMS http://www.sec.gov/rules/final/34-51808.pdf discusses the problem(s) they were looking to solve. That will provide the SEC's thought process.


2

Here is how I would approach such a calibration. Assuming we have the necessary market data one can easily construct the emprical distribution of the arrival rate. Let $\lambda_{emp}(\delta)$ be the empirical distribution. Then one can define a metric by $$ m(k,A,N)=\sum_{i=1}^N |\lambda_{emp}(i)-\lambda^a(i)| $$ After you have decided upon a suitable ...


2

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 market is trending that second as a whole for most low-volume securities. For most truly illiquid securities, execution is more dependent on the broker's ...


2

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. Typically "Alert"s just provide a notification such as an email or push notification. This is true when using IB's Web or Mobile App but in TWS, you have ...


2

No. 10 shares from Order1 have time priority. The 100 shares of Order2 will trader after 10 from Order1. The 90 hidden shares of Order1 are hidden, and therefore at the back of the queue. When they light, they get in line at the back.


2

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, submitted orders and waiting for acknowledgement. When an order is added to the submitted queue, it should go through compliance checks and then be added orders which ...


2

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 on arXiv.org. Although before digging into specific paper, I would try to find some recent review papers to get an impression on the big picture. Certainly you would see different authors have ...


2

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 $Q_A$ is inserted at the best ask and just after that a new buy order of size $Q_B$ is inserted at the best bid how does it changes future price moves? This is ...


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