Table of Contents

Aggressive vs Resting Orders

Orders may be:

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.

Time In Force

Details of the TimeInForce values supported by Whisperer Enterprise for both categories are provided below.

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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 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.

When matched in a CLOB ECN, Limit orders are said to be 'aggressed' by Market orders.

Details of the OrderType values supported by Whisperer Enterprise for all categories are provided below.

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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
		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

OPN - At Opening

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Treat as Alog strategies:

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