ECN, order execution, aggregators, liquidity. - page 2

[Avals]

Rann:
This should not be the case. Stop-limits must be set, otherwise how else would you control slippage? Maybe this is the way the marketplaces increase their turnover?

I see what orders we are talking about) but these orders are not placed in the market. They are stored at the broker's and when the price reaches the specified level they are placed in the market as normal limit orders. The stop orders are the same as the stop orders (only they are triggered by the market). In a double auction and classic market it cannot be the case that a limit order is worse than the market (the buy price is higher than the best sell price and vice versa). The only exception is the pre-market but there is no trade there: the opening price of the main session is calculated using the limit order that is placed.

[Vladimir Klimanov]

Avals:

I see what I mean) but these orders do not go into the market. They are stored at the broker's and when the price reaches the specified level they are placed in the market as normal limit orders. The stop orders are similar (only they are triggered by the market). In a double auction and classic market it cannot be the case that a limit order is worse than the market (the buy price is higher than the best sell price and vice versa). The exception is the pre-market, but there is no trading - the opening price of the main session is calculated using the limit order that is placed.

In this case, a limit order will start to eat up the price beginning with the best offer and thus reach the price that is set as the limit price in it. In other words, the order may either be filled at a better price or not filled at all and the remaining amount will still be in the glass. The best way to understand this is simply to try such operations on the broker's platform.

[Avals]

over2u:
A limit order in this case will start to eat up the price from the best offer and thus reach the price that is marked as the limit price. It may be that the order fills at a better price than the one listed, or it may not fill completely and the balance will still be in the cup. The best way to find this out is simply to try these operations on the broker's platform.

A limit order does not eat anything; it is placed in the market and a market order executes it. The exchange usually supports two types of orders: limit and market. The rest are broker conditional orders, which are executed as limit and/or market orders according to a certain trigger. There are a lot of derivative orders supported by the broker, including different algo orders such as VWAP, TVAP, iceberg, etc. You can come up with and programme new types of orders yourself. So I don't know what your broker has in mind, but they come to the exchange in the form of limits and margins. Limits go into the market and marquets execute the limits.

[Vladimir Klimanov]

Your comment was"It can't be with a double auction and a classic bet that a limit order is put there worse than the market (buying above the best sell and vice versa)". My answer is "it can, if the limit orders have been stacked with your limit order and the best bank for that market is already your limit order". Question for you - can a limit order be collapsed with another limit order?

[Avals]

over2u:
Your comment was"It can't be with a double auction and a classic bet that a limit order is put there worse than the market (buying above the best sell and vice versa)". My answer is "it can, if the limit orders have been stacked with your limit order and the best bank for that market is already your limit order". Question for you - can a limit order be collapsed with another limit order?

no. But on a homemade ECN you probably can.)

[Vladimir Klimanov]

Avals:
No. But on self-made ECNs apparently it can.)

So you cannot place a limit order worse than the current market price in a non-self ECN?

[Avals]

over2u:
So you cannot place a limit order worse than the current market price in a non-self ECN?

No. It will be conditional, like a stop limit for example.

[Dmitry Rannev]

Avals:
No. It will be conditional, like a stop-limit for example.

In our homemade ECN we have a stop-limit order.

[Dmitry Rannev]

And in other (not sure if it's self-made or non-self-made?) ECNs (Carrenexes, Lmaxes, Hotspots, etc.) we easily send in limits at a price worse than the market, which cannot perform worse than the price indicated in it.

[Avals]

Rann:
And to other (not sure here, self-made or non-self-made?) ECNs (Carrenex, Lmax, Hotspots, etc.) we easily send limits worse than market price which may not perform worse than price specified in it.

do they appear immediately in the market or are they also executed as stop-limits?

Interesting to see a screenshot of the stack where there are limit orders worse than the market)) During trading, not at pre-market. Not sure if there is a pre-market mechanism on ECN (setting the first price after the break), but that's another question.

I do not understand the algorithm of order execution when limit orders may close with slippage. It is possible if they are executed as market orders and the liquidity providers are not who they pretend to be.) That is, they are not bidders who put limit orders both ways in the betting market, but ordinary dealers (like DCs) who offer their bid and ask, and you simply execute both client limits and marquets on them. PLs are multiple + client limits. In this case, if there was a gap in the PL quotes and you missed the client limit, it will be executed at the new price after the gap. In essence, it is like a market. I.e. purely DC execution on gaps. Hence, there is positive slippage in limit orders. Combination of several brokerage companies in one network + possibility for clients to trade with each other.