Hot answers tagged

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 ...


8

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 exceptions you're looking for will fall into 4 categories. 1. Intermarket sweep orders (ISOs) This allows a destination trading center to execute against other orders ...


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 ...


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 ...


3

This differs from exchange to exchange but in Toronto (TSX) the rule is that the unfilled amount becomes a limit order at the last sale price. A market priced order is an instruction to trade the order at prices currently established by the opposite side of the market. Such orders have no trader defined limit on the potential trade price but these orders ...


3

You will need an entry and then a "Grouped" stop loss and take profit (one cancels other). An implementation of this exists in quantstrat in R called ordersets. Documentation and source code can be found here: https://r-forge.r-project.org/scm/viewvc.php/pkg/quantstrat/R/orders.R?view=markup&root=blotter You will unfortunately need to port this and ...


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" ...


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

Generally FOK means Fill Entirely or Cancel. IOC means "Fill what you can and then cxl the remainder"


2

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 own settings. But for a market maker, the main parameters are going to be things like routing instructions, post-only flags, pegged orders, degree of visibility (...


1

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 to buy as it translate their vision of the asset value, and they don't want to loose money. The system can match them if there is a counterparty willing to buy ...


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

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 the default, the broker operating on a best efforts basis, applies to any account you might have with them. It happens most frequently in equity markets, where ...


1

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. (But strictly speaking it is not a limit order, you might have said 'since my order is a conditional order, etc'. Conditional orders being a large category ...


1

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 exchange/broker you are using.


1

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 of orders that are currently resting and are visible in the limit order book. Depending on whether or not you believe that the information displayed in the ...


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

When an exchange (or ECN) receives an order, there is no identifier of the buyer or seller. Therefore the only place that this is available is at the broker themselves. No broker would be willing to provide this information even on an anonymized basis and it would be a violation of other laws and regulations (such as Regulation S-P). https://www.law....


1

On BATS, your market order would be rejected back to you with an error "No Liquidity".


1

If it was on Nyse or NASDAQ, could be a special order type (only if on first limit: some participants can send orders that are activated only to prevent a "trade through", i.e. if there is no other order at this price on other venues). It may also be your broker did not succeeded into counting the orders on this limit (bug, datafeed, etc), especially if it ...


1

I think you are focusing on lots when you should focus on having the API return the original orderID, that is what really matters, not LotIDs (though every API of average quality should generate a unique ID for each individual fill as well). Chrisaycock is right in saying that each fill you receive should automatically be unique. So you are by definition ...


1

you forgot to mention what broker or api you are using. AFAIK every broker/exchange provides a execution id, wich is unique for every trade on the trade session, with the execution id and your order id you can group the trades for the order sent. You could check the execution report of the FIX Protocol its based on the industry standard and the majority of ...


Only top voted, non community-wiki answers of a minimum length are eligible