6

I am not aware on any rules preventing a too high number of entries at a limit price. Nevertheless you usually have controls for each trader id. A trader cannot have too many orders in the book or send them at a too high frequency. [EDIT] Moreover, on most trading platforms you cannot have orders too far away from the mid (or a reference price like the ...


6

As Alex C. notes, OHLC bars are meant to be calculated using transaction ticks. However, you could try to make bars from bid/ask individually (or perhaps even the mean of the two as an approximation), but bear in mind that they are not the 'real thing'. But assuming you acquire transaction data, there are a number of possible methods for forming OHLC bars (...


5

We just issued a paper studying and modelling orderbook dynamics, especially the way they replenish or empty Simulating and analyzing order book data: The queue-reactive model. We disclose the way the first queue evolve with respect to the size of others (best opposite and second or third queues). Other recent papers complement ours: a theoretical one ...


4

I think this would be equivalent to having an infinitesimal tick size, since you could always improve your execution priority by increasing the price you offer.


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

Would it be fair? On the one hand, the total price paid for a security is simply the asset price + execution fee, and if one is willing to pay higher than another party then so be it, that's their edge. On the other hand the market is no longer transparent. Exchanges display bids and offers and you place your order with some inherent knowledge about your ...


2

Yes, that's fine, though I think, it's better to think in terms of minimal price increments: essentially, you're suggesting to replace 1 cent minimal increment with something much smaller. So, say, an order to buy @ 10.01 with 0.002 fee is the same as an order to buy @ 10.012. This will encourage price discovery within the one cent spread and will make the ...


2

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 ...


2

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

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 $Q_A$ is inserted at the best ask and just after that a new buy order of size $Q_B$ is inserted at the best bid how does it changes future price moves? This is ...


2

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, submitted orders and waiting for acknowledgement. When an order is added to the submitted queue, it should go through compliance checks and then be added orders which ...


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

If you don't want to deal with NYX, check out TickData. You can purchase a date range for symbols, but the minimum order is $999.


1

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


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