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.
The time in force instruction may optionally be refined by the specification of order activation and expiry times:
- Activation - A specific order activation time may be specified via tag 168/EffectiveTime.
- Expiry - Order expiry may be specified as a specific time via tag 126/ExpireTime, or as a duration via tag 1629/ExposureDuration. The two representations may not be used together.
| Name | Nature | Description | 59/TimeInForce | 168/EffectiveTime | 126/ExpireTime | 1629/ExposureDuration |
|---|---|---|---|---|---|---|
| Immediate Or Cancel | Aggressive | The Order must be executed immediately, at least in part (Partial fills are allowed), otherwise the Order is cancelled. AKA 'Fill and Kill'. | IOC | Optional | - | - |
| Fill Or Kill | Aggressive | The Order must be executed immediately, in full (no Partial fills), otherwise the Order is cancelled. | FOK | Optional | - | - |
| Good For Auction | Resting | TODO | GFA | Optional | Optional | Optional |
| Good For Day | Resting | The Order expires automatically on close of the trading day, if it is still unfilled. | GFD | Optional | Optional | Optional |
| Good For Time | Resting | Order is active for a specified duration. TODO TWAP? | GFT | Optional | - | Mandatory |
| Good 'Til Date | Resting | Order is active until a specified time. TODO TWAP? | GTD | Optional | Mandatory | - |
| Good 'Til Canceled | Resting | 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. | GTC | Optional | - | - |
| At Market Open | Resting | TODO | AMO | Optional | - | - |
| At Market Close | Resting | TODO | AMC | Optional | - | - |
Order Types
There are three broad categories of order type:
- 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.
| Name | Category | Description | 40/OrdType | 44/Price | 99/StopPrice | 210/MaxShow | 110/MinQty | 389/DiscretionOffsetValue | 211/PegOffsetValue | 836/PegOffsetType |
|---|---|---|---|---|---|---|---|---|---|---|
| Limit price | Stop price | Iceberg tip size | Added to Bid or subtracted from Offer limit price to specify the allowed slippage for the order. | |||||||
| Previously Quoted | Market | An order to hit an individual quote. To hit multiple quotes, aka sweeping, the user must submit individual orders from best to worst price. | PreviouslyQuoted | Mandatory | - | - | -' | TODO | - | - |
| Market | Market | An instruction to deal immediately at the best possible price (the current rate). | Market | - | - | - | - | TODO | - | - |
| Dark Market | Market | Market | - | - | Zero | Optional | TODO | - | - | |
| Market To Limit | Market | Order that starts as a Market order and executes any leaves quantity as a Limit order. | MarketWithLeftOverAsLimit | - | - | - | - | TODO | - | - |
| Market If Touched | Market | IfTouched | - | Mandatory | - | - | TODO | - | - | |
| Limit | Limit | An instruction to deal if a market moves to a more favourable level. | Limit | Mandatory | - | - | - | TODO | - | - |
| Dark Limit | Limit | AKA "Hidden Limit", "Ghost". | Mandatory | - | Zero | Optional | TODO | - | - | |
| Limit To Market | Limit | Funari | Mandatory | - | - | - | TODO | - | - | |
| Limit If Touched | Limit | Order will be submitted to market when a specified price is reached | IfTouched | Mandatory | Mandatory | - | - | TODO | - | - |
| VwapSweep | Limit | 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??? | TODO | TODO` | - | TODO | TODO | - | - |
| TWAP | Limit | TODO | Limit | TODO | TODO` | - | TODO | TODO | - | - |
| Iceberg | Limit | TODO | Limit | Mandatory | - | Mandatory | - | TODO | - | - |
| Pegged | Limit | An order with an optional offset to the prevailing market rate. The displayed quantity will float with the market up to the limit price of the order. | Peg | Optional | - | Optional | - | TODO | Optional | Optional |
| Stop | Stop | AKA "Stop Loss". An instruction to deal if a market moves to a less favourable level. | Stop | - | Mandatory | - | - | TODO | - | - |
| Stop Limit | Stop | Executes an exposure-reducing limit order when market exceeds order's price. | StopLimit | Mandatory | Mandatory | - | - | TODO | - | - |
| Trailing Stop Limit | Stop | A Stop Limit order where the stop trigger price at a fixed amount below the market price, based on the user-defined "trailing" amount. The limit order price is also continually recalculated based on the limit offset. | - | - | - | - | Mandatory | Mandatory | - | |
| Stop limit at rise | Stop | Determined by Side? | StopLimit | TODO | TODO | TODO | TODO | TODO | TODO | TODO |
| Stop limit at fall | Stop | Determined by Side? | StopLimit | TODO | TODO | TODO | TODO | TODO | TODO | TODO |
| Stop-Trailing | Stop | The Stop Price follows the market by a specified offset. | Trailing Stop | TODO | TODO | TODO | TODO | TODO | TODO | TODO |
| Limit Take Profit | A Limit Order will be placed when the market reaches the Trigger Price | TODO | TODO | TODO | TODO | TODO | TODO | TODO | ||
| Fixing | TODO | TODO | TODO | TODO | TODO | TODO | TODO | |||
| Mid | TODO | TODO | TODO | TODO | TODO | TODO | TODO |
Treat as Alog strategies:
From QUOD(!!!)
| Algo | Category | Description |
|---|---|---|
| Adaptive Liquidity Seeking | Liquidity Seeking | An algorithm which reacts to market events such as market data, execution and a set of other criteria to dynamically update the decision tree to seek liquidity on lit and dark venues. |
| Adaptive TWAP | Execution | A slicing algorithm that submits equal size slices over a certain timeframe. Maximum participation rate can also be taken into account |
| Adaptive VWAP | Execution | A benchmarking algorithm that slices an order according to the historical volume reparation over a certain time horizon. Every slice benefits from the adaptive execution that takes into account the current market conditions and the aggressivity of the algorithm. |
| Arrival Price / Implementation Shortfall | Execution | An algorithm that regularly adapts its participation based on estimated market impact in order to remain within a given price band. Participation is increased when the probability of high market impact is low and decreased when the probability is high. Adaptation of the participation is based both on historical behaviour and real-time data |
| Auto-hedging | Trading | Cross-asset class rule-driven autohedger based on position and real-time market data (greeks, delta, vega) for single trades or accrued positions. |
| Participation Volume (PoV) | Execution | To execute a given percentage of visible liquidity in the market (for instance no more than 30%) in order to limit market impact |
| Pegged Order | Trading | An order to the bid or ask with, or without an offset. The display quantity will float with the bid or ask, up to the ultimate limit price of the order. |
| Pegged Order - with price | Trading | An enhanced pegged order that pegs to the BBO using an offset (in ticks or price) as defined by the users. Additional conditions such as limit price, min/max quantity or a-would-price (which for buy and Above which for sell) are available to hunt for liquidity |
| Random Distribution Iceberg | Execution | A slicing algorithm which randomly sends child orders onto the market, so it is not initially being recognised as a child order |
| Sniping | Trading | Takes a set of predefined triggers such as the bid/offer trigger price and quantity/child order slice to hunt for liquidity |
| Statistical Adaptive Liquidity Seeking | Liquidity seeking | A liquidity seeking algorithm which integrates real-time / near-time statistical analysis to enrich the adaptive decision making process |
| Synthetic OCO | Trading | Cancels an order when another one is fully filled |
| Synthetic OTO | Trading | Triggers an order when another order is fully filled |
| Synthetic Stop | Trading | A limit sell order for a given instrument which is managed by the system and triggered by falling price |
| Synthetic Take Profit | Trading | A limit sell order for a given instrument which is managed by the system and triggered by raising the price |
| Synthetic time-in-force | Trading | A Good-Till-Date (GTD) or Good Till-Cancel (GTC) order type which is held away from the market and able to execute on a range of venues meeting the trade criteria |
Instead of dedicated or overloaded fields in the Schema, use:
| 847 | TargetStrategy | The target strategy of the order |
| Component(-) | StrategyParametersGrp | Strategy parameter block |
| Repeating Group 957 | NoStrategyParameters | Indicates number of strategy parameters |
| 958 | StrategyParameterName | Name of parameter |
| 959 | StrategyParameterType | Datatype of the parameter. |
| 960 | StrategyParameterValue | Value of the parameter |
| end Repeating Group |
OrdStatus vs ExecType
| OrdStatus | ExecType | Description |
|---|---|---|
| PendingNew | PendingNew | Venue acknowledgement of receipt of Order. |
| New | New | Venue notification of acceptance of Order by it's matching engine. |
| Replaced | Venue notification of acceptance of a replacement Order by it's matching engine. | |
| PartiallyFilled | PendingMatch | Venue notification of a potential match. E.g. EBS and Reuters MAPI. |
| Trade | Venue notification of a done trade. | |
| Filled | PendingMatch | Venue notification of a potential match. E.g. EBS and Reuters MAPI. |
| Trade | Venue notification of a done trade. | |
| PendingCancel | PendingCancel | Venue acknowledgement of receipt of OrderCancelRequest. |
| Canceled | Canceled | Venue notification of Order cancellation. |
| CanceledLastLook | - | |
| PendingReplace | PendingReplace | Venue acknowledgement of receipt of OrderCancelReplaceRequest. |
| Rejected | Rejected | - |
| Calculated | Calculated | Venue notification of a Drop-copy STP trade. |
| Expired | Expired | Venue notification of the expiry of a Limit Order. |
| Error | Error | - |
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