15

Order Cancel-Replace might save you from losing priority in the book (for instance when cancelling some of the remaining shares - check the venue rules!). The communication overhead is very significant - it halves the round trip time (otherwise you have to cancel; wait for confirmation; re-send -- if you don't wait you risk getting double fills). At any ...


8

Approaches like FIFO and LIFO are most useful for tax accounting. If you don't have a tax accounting reason to do them, I'd recommend avoiding them, as they don't reflect actual realized gains (it's very rare for a position accounting system to move cash in and out of your account based on FIFO or LIFO). I'm going to discuss everything here in Gross of ...


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

I'll add my own experience here based on what we do at our firm, simply to provide more support for what Brian said in his answer. Fills that move a position further away from 0 contribute to the average price of the position. Fills that move a position closer to 0 "book profits" against the average price of the position to that point in time. Any fill ...


4

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 -


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

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

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

If I understand correctly the TCP roundtrip time can be used as a posteriori proxi for the order entry gateway delay. So assuming the roundtrip time is composed of gate delay and independent other delays $RTT_g(t) = dT_g(t) + d_g(t)$ with assumed $Cov(dT_g,d_g)=0$ and $Cov(d_i,d_j)=0$. Minimizing the this combination of gate delay and other delays is ...


2

Yes. You're right that queue position is less important in a pure pro-rata market. But in a market that is very deep, such as Eurodollars, the cost of getting adversely selected ("catching a falling dagger") is huge (very large bid/ask spread). So it is critical to cancel any open orders quickly when the price is about to move.


2

For most traders they wouldn't have a need to use ISO orders. It tells the exchange to fill the order completely at the exchange, assuming the required volume and price are met without routing the order to another exchange. It was introduced when RegNMS came in as otherwise once an exchange filled the order at the top price level it would have to send the ...


2

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 either by your broker (on the "server side") or maybe by your trading platform (on the "client side"). If the exchange supports Stop orders, then still you need 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.


1

If timestamps are the same, the orders will be processed based on order number, a unique identifier assigned by the exchange at the time each order is added to the queue.


1

I am answering your question based upon a US market equity scenario in an NMS security and not at the opening or the close (as they may have auction like processes that occur). The answer does depend on a couple of additional factors. One being the sequencing of when events occur at the executing venue. The other being the NBBO. If the inside NBBO is 1....


1

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 after you enter them with your broker. The orders then sit in the order-book and wait there until they get "hit". Imagine the price is 100 and you want to buy at ...


1

Bob pays 100 * 5 + 101 * 5. Each exchange has strict matching rules, it's called Matching Algorithm (MA). MA can be different for different markets and exchanges. But as far as I know, it's always available publicly (I doubt that traders would trade otherwise). There is a large variety of how different MA set priority for orders at the same price. Suppose, ...


1

Interactive Brokers posted a webinar on Dec 13 2016 about using IBridgePy to connect to IB's API. https://www.youtube.com/watch?v=hogXB07OJ_I. It is pretty easy to solve the problem you mentioned. You may check out the website of IBridgePy at www.IBridgePy.com To learn how to use it, you may refer to its documentation.


1

Let's say you have an order with 10 shares open. Now you want to cancel it down to 6 shares. If you send just the open quantity you can have the following scenario: Reduce to 6 sent 3 shares got executed by the exchange while the reduce above was in-flight The exchange finally receives and processes the reduce, bringing the open quantity now to 6 The ...


1

I agree that it is important to correct your question in that you are seeing actual trades and not orders. Near the opening you are likely seeing the crossing of the opening Spins of NYSE and Nasdaq. You will see the same occur after the close with the closing NYSE Exchange spin. During the day it is also possible that large prints are the flip out of an ...


1

Three possible explanations, 1) From a recent PhD thesis, this could be part of an aggressive HFT strategy that tests how the market reacts to such large orders. See Adam Clark-Joseph's exploratory trading paper. 2) If the order is in a Large Cap Stock or liquid ETFs, it could be a large fund filling a block trade. Think about it if your a fund manager, if ...


1

It depends on the smart order router that you've chosen. Generally no. However in your example it appears that you are referring to passive execution on both ends, and there are smart order routers that preference the highest rebate, in which case you might find high correlation - note this doesn't mean that the venue where the entry leg is executed causes ...


1

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 investors to buy (or sell) it and thus adds frictions, transaction costs, etc. We would like to enable investors to buy or sell when they need/want, to let the ...


1

Optimal value of n should be calculated based on how much amount you want to invest in that decision, that can be for example 200 000 of base currency, and minimum order size is 10 000 of base currency then you should have 200 000 / 10 000 = 20 orders in my opinion that are targeted at hotspots where is most single price points inside interval. EDIT: When ...


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