9 votes

What are the main types of orders on an exchange?

As @chrisaycock mentioned, there's many permutations of parameters, especially when it comes to venue routing instructions, so it's hard to write an exhaustive list. But most of the time, the ...
databento's user avatar
  • 2,488
5 votes

Limit Order Book disaster recovery technique

For data on a given single host, a common architecture is to write the data onto a queue (could be multi-consumer or single consumer), and have an asynchronous writer that reads it off and persists it ...
databento's user avatar
  • 2,488
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
2 votes

Order books theoretical price

It is totally up to the type of use or the type of interpretation that you want to give to the theoretical price and also it depends on what are your belief about the information content of the queue ...
JCPBBT's user avatar
  • 21
2 votes

What are the main types of orders on an exchange?

I wouldn't say there are 150 order types. Maybe 150 permutations of various parameters. There also isn't going to be a single list for all exchanges because each trading venue experiments with its ...
chrisaycock's user avatar
  • 9,817
2 votes
Accepted

Difference between real and expected average transaction price of an order?

Some orders may be hidden, I guess your expected result is that you don't consider hidden orders as you can't see them in the limit order book, and the real result includes hidden orders.
1186267999's user avatar
2 votes

Difference between IOC and FOK orders

Generally FOK means Fill Entirely or Cancel. IOC means "Fill what you can and then cxl the remainder"
JoshK's user avatar
  • 2,613
1 vote
Accepted

Stock market simulator coding problem

The price is given per unit, the quantity gives you the available size or depth. The actors of the market will give you the lowest at which they are ready to sell and highest at which they are willing ...
Mayeul sgc'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

Data feed that shows individual orders

(I assume you're referring to US equities.) Most normalized, vendor data feeds that you see are sourced from the CTA/UTP SIPs, which don't provide breakdown of individual orders. To see the ...
databento's user avatar
  • 2,488
1 vote

what happens when a stock price gaps over buy/sell stop order?

Generally speaking, you are correct. The broker will usually close at the first opportunity at or beyond the critical level. But beware the generalities! You need to check the T&Cs to make sure ...
demully's user avatar
  • 5,061
1 vote

what happens when a stock price gaps over buy/sell stop order?

You wrote 'since my sell stop order is a limit order it will get hit and then change into a market order to be filled at the "best available price" '. That's generally correct, about what will happen....
Alex C's user avatar
  • 9,372
1 vote

what happens when a stock price gaps over buy/sell stop order?

It's not a limit order, a stop market is a market order placed on a price trigger. The actual rules for how they are triggered is exchange/broker dependant, so you should seek an answer from the ...
wildbunny's user avatar
  • 629
1 vote

How to identify buy walls and sell walls from a limit orderbook?

I suggest to get inspiration from Huang, Weibing, C-A L, and Mathieu Rosenbaum. "Simulating and analyzing order book data: The queue-reactive model" Journal of the American Statistical ...
lehalle's user avatar
  • 12.1k

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