Questions tagged [order]
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32 questions
0 votes
0 answers
49 views
Practical approaches to order flow analysis using limited market depth data
Order flow analysis often relies on detailed level 2 or tick-by-tick data, which is usually accessible only via institutional platforms (e.g., Bookmap or CQG). For those exploring order book dynamics ...
- 9
0 votes
1 answer
172 views
LOBSTER Execution Price
I'm using LOBSTER data to observe order execution. I'm taking the message data and grouping events by order ID to trace their life cycle. I've noticed that, for example, if a buy order for 1000 is ...
- 5
0 votes
1 answer
455 views
Delta across futures markets vs respective micros
I short term trade futures markets, and I use the DOM (depth of market) and various volume indicators, like cumulative delta, and footprint charts. I used to trade MES, but I switched over to ES, and ...
- 1
0 votes
0 answers
379 views
How a trade influence the forex market?
I'm trying to program a basic forex simulator in order to test strategies. But I don't know how is influenced the market when a position is opened or closed. For example, if I open a 10 000 000 € BUY ...
- 121
0 votes
1 answer
108 views
Difference between real and expected average transaction price of an order?
This might be a really simple question but I'm quite confused. I've been given a limit order book (I don't think it's necessary to upload it for my question but I can if you want me to) and I've been ...
- 39
3 votes
1 answer
753 views
Limit Order Book disaster recovery technique
I have designed a fast limit order book, similar to the one described here. It is working and passing the unit tests. Now, I am thinking of its reliability. i.e in case of failure (e.g unhandled ...
0 votes
1 answer
412 views
Stock market simulator coding problem
I'm working on a coding problem that I was given for simulating a stock market simulator. I don't really know anything about the stock market, but the instructions state that stock market domain ...
0 votes
0 answers
111 views
Fake Order Detection
Sometimes there is a limit order inserted as the best sell/bid, but when my program sees the opportunity and places a market order immediately trying to hit it, it's canceled which causes a big ...
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1 vote
1 answer
840 views
Difference between IOC and FOK orders
I am trying to understand the difference between FOK and IOC orders. If I send a market FOK or IOC order to sell 100 shares of StockX - what would happen if the orderbook looked like this? ...
- 11
7 votes
2 answers
948 views
What are the main types of orders on an exchange?
I'm currently reading Michael Lewis' Flash Boys, which is about high-frequency trading. It was published in 2014 and it says that there are 150 types of orders on exchanges (mainly built for high-...
- 185
0 votes
2 answers
277 views
How does a Stock Exchange Provider implement a Stop-Loss Order?
If I place a stop loss order at my provider. Is this order directly forwarded to the stock exchange? Or does my provider implement this logic. If so, do they have to declare any delays that arise by ...
- 3
1 vote
3 answers
2k views
what happens when a stock price gaps over buy/sell stop order?
Example for clarification. Let's say the stock price is 50 and i am trading intraday on the 5 minute chart and place a sell stop order at 48. But then the next 5 minute candle opens at 45 and goes ...
- 11
2 votes
0 answers
106 views
What kind of ARMA-GARCH model is that?
My question is what kind of ARMA-GARCH model is the following equation and how to specify it in rugarch R module: $$r_{t+1}- r_t = \alpha_0 + \alpha_1r_t+\...
- 21
3 votes
1 answer
701 views
How to identify buy walls and sell walls from a limit orderbook?
I am trying to get notified of buy walls and sell walls from a limit orderbook and I had a couple of ideas and would appreciate some insight into these Take the mean quantity and anything above the ...
- 131
2 votes
2 answers
2k views
Order books theoretical price
Suppose we have the following bid/ask spread for a particular stock: What is the theoretical value of the stock? Now suppose we have: What is the theoretical value of the stock? Now suppose a major ...
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