The Lab

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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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TimeInForceNatureColloquial NameDescription
IOCAggressiveImmediate or CancelThe Order must be executed immediately, at least in part (Partial fills are allowed), otherwise the Order is cancelled. AKA 'Fill and Kill'.
FOKAggressiveFill Or KillThe Order must be executed immediately, in full (no Partial fills), otherwise the Order is cancelled.
DAYRestingDayThe Order expires automatically on close of the trading day, if it is still unfilled.
GTCRestingGood 'Til CanceledThe 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.
GTDRestingGood 'Til DateOrder is active until a specified time. TWAP?
GFTRestingGood For TimeOrder 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 NameDescription OrdTypeTimeInForceVenueCancel on Disconnect?
MarketAn instruction to deal immediately at the best possible price (the current rate).MarketDAYBMEYES
LimitAn instruction to deal if a market moves to a MORE favourable level.LimitDAYBMEYES
Immediate Limit
LimitIOCBME, AGGN/A


LimitGTCAGG
Fill or Kill
LimitFOKBMEN/A
Stop-LossAn instruction to deal if a market moves to a LESS favourable level.Stop Loss




Stop LossGTCAGG
Stop LimitExecutes an exposure-reducing limit order when market exceeds order's price.Stop LimitDAY
YES


Stop LimitGTCAGG
Stop-TrailingThe Stop Price follows the market by a specified offset.Trailing Stop


Market LimitOrder that starts as a Market order and executes any leaves quantity as a Limit order.Market With Leftover As Limit


Auction Price
MarketOPN*
YES
Previously QuotedAn 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
VwapSweepAn 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
LimitGFT/GTD

Attack


BME
Stop limit at riseDetermined by Side?

BME
Stop limit at fallDetermined by Side?

BME
Market Maker


BME
Limit Take Profit




Fixing




Pegged




Mid




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