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- Aggressive - These orders are matched against existing Resting orders held in the order book. Once submitted these orders typically cannot be cancelled or modified.
- Resting - These orders are submitted at price levels away from the prevailing market, i.e. buying at a price below or selling at a price above the market. Because the order will not be executed
Details of the TimeInForce values supported by Whisperer Enterprise for both categories are provided below.
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| TimeInForce | Nature | Colloquial Name | Description |
|---|---|---|---|
| IOC | Aggressive | Immediate or Cancel | The Order must be executed immediately, at least in part (Partial fills are allowed), otherwise the Order is cancelled. AKA 'Fill and Kill'. |
| FOK | Aggressive | Fill Or Kill | The Order must be executed immediately, in full (no Partial fills), otherwise the Order is cancelled. |
| DAY | Resting | Day | The Order expires automatically on close of the trading day, if it is still unfilled. |
| GTC | Resting | Good 'Til Canceled | The Order remains active until it is either executed or cancelled. NOTE: Maximum possible duration is one trading week, but is equivalent to DAY for most Venues that reset daily. |
| GTD | Resting | Good 'Til Date | Order is active until a specified time. TWAP? |
| GFT | Resting | Good For Time | Order is active for a specified duration. TWAP? |
| OPN* | At Market Opening |
Order Types
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There are three broad categories of OrderType:
- Market - these are aggressive orders that are instructions to deal immediately at the best possible price. When buying, a market order will be filled at the currently prevailing Offer price; when selling, a market order will be filled at the currently prevailing Bid price.
- Limit - these are resting orders visible to the market - hence the existence of Central Limit Order Book (CLOB) ECNs. they are instructions to deal if a market moves to a specific (more favourable) price or better. Limit orders remain open until they are either entirely filled, or the client submits an order
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- cancel request, or the order expires.
- Stop - these are resting orders that are not visible to the market and will activate once a specified Stop price has been met.
Details of the OrderType values supported by Whisperer Enterprise for all categories are provided below. or expire for GTD orders
| Colloquial Name | Description | OrdType | TimeInForce | Venue | Cancel on Disconnect? |
|---|---|---|---|---|---|
| Market | An instruction to deal immediately at the best possible price (the current rate). | Market | DAY | BME | YES |
| Limit | An instruction to deal if a market moves to a MORE favourable level. | Limit | DAY | BME | YES |
| Immediate Limit | Limit | IOC | BME, AGG | N/A | |
| Limit | GTC | AGG | |||
| Fill or Kill | Limit | FOK | BME | N/A | |
| Stop-Loss | An instruction to deal if a market moves to a LESS favourable level. | Stop Loss | |||
| Stop Loss | GTC | AGG | |||
| Stop Limit | Executes an exposure-reducing limit order when market exceeds order's price. | Stop Limit | DAY | YES | |
| Stop Limit | GTC | AGG | |||
| Stop-Trailing | The Stop Price follows the market by a specified offset. | Trailing Stop | |||
| Market Limit | Order that starts as a Market order and executes any leaves quantity as a Limit order. | Market With Leftover As Limit | |||
| Auction Price | Market | OPN* | YES | ||
| Previously Quoted | An order to hit an individual quote. To hit multiple quotes, aka sweeping, the user must submit individual orders from best to worst price. | Previously Quoted | BME | ||
| VwapSweep | An order that can hit/lift one or multiple quotes by submitting an order with the desired amount and the Volume Weighted Average Price (VWAP) of the total amount. | VWAP Sweep | CitiCoLo | ||
| TWAP | Limit | GFT/GTD | |||
| Attack | BME | ||||
| Stop limit at rise | Determined by Side? | BME | |||
| Stop limit at fall | Determined by Side? | BME | |||
| Market Maker | BME | ||||
| Limit Take Profit | |||||
| Fixing | |||||
| Pegged | |||||
| Mid |
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