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 ...
  • 962
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 ...
  • 10.7k
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 ...
4 votes

Order Execution Algorithms

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 ...
  • 1,349
4 votes
Accepted

Order Execution Algorithms

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 ...
  • 14.5k
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 ...
  • 3,880
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 -
  • 444
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 ...
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 ...
  • 3,880
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 ...
  • 9,657
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
Accepted

Why do I still see large orders?

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 votes
Accepted

How is the Order priority of an Iceberg order decided?

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 ...
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 ...
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 ...
2 votes

Locked or Crossed Markets

Having locked markets is bad in the sense it freezes the price formation process. Ideally we would like to have a price on as much instruments as possible so that we know their value. it prevent ...
  • 10.7k
2 votes

Locked or Crossed Markets

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.
  • 444
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. ...
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 ...
  • 682
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 $...
  • 10.7k
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 ...
  • 2,458
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 ...
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 ...
  • 962
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 ...
  • 2,770
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 ...
  • 9,657
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.
  • 7,731

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