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 -
Bikenfly's user avatar
  • 454
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 ...
Dayton Marks's user avatar
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 ...
Serg's user avatar
  • 1,022
1 vote

How are piled-up orders matched?

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.
Sergei Rodionov's user avatar
1 vote

How do limit order prices meet?

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 ...
Sammy's user avatar
  • 131
1 vote

Pegged Orders Positioning

Pegged NBBO/MidPoint orders, each exchange has algo check documentation or contact them about time/price/Fifo and most importantly pro-rata allocations for peggged orders. Here is a doc from NYSE to ...
JBerstein's user avatar
  • 101
1 vote
Accepted

How Crypto Exchanges handle overlapping orders when self trading is disabled?

Generally in a regulated exchange, you are not allowed to skip price points. In the case you have shown, BOB's new Buy order will skip the price point at 503 and execute at $504. Therefore the order ...
Kulendra 'KJ' Janaka's user avatar
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 ...
Jan Stuller's user avatar
  • 6,098
1 vote

Does all (or any) exchange eats the positive difference between a buy order and a ask order?

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 ...
Serg's user avatar
  • 1,022
1 vote

How to perform batch-trading using Interactive Broker API?

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 ...
hui's user avatar
  • 39

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