Fins in the glass - trying to understand what happened by the ticks - page 11

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Andrey Gladyshev:

As far as I know, limiters are not paired with limiters. Limiters are always matched to Market.

Well that's a load of nonsense. Market' is an artificial concept for laymen, in reality all bids come to the exchange at some price and either are summed immediately, if there is a matching counter bid, or put in the stack, ie delayed execution.
Learn the basics and use the correct terms:
- A 'market' is, as colleagues correctly pointed out above, a limit order with a maximum/minimum allowable price, which is usually automatically set by the terminal to make the trader's job easier,
- Limit orders which, after entering the exchange, are not immediately placed and are placed in the market are called pending limit orders.
 

I read about indicative quotes here- it became clearer, in general this is a separate type of trading, i.e. not our case - we exclude it for now.

Citizens, why argue about order types (categories) when everything is clearly written in the rules?

7.10. An Order submitted to the Trading System must contain a reference to a category:

- Limit Order - an Order that provides for the execution of a Futures Trade at the price / value of the spread specified in the Order, or at the best price / value of the spread, and allows for partial execution. The unexecuted part of the Order remains in the queue as a separate Active Order and retains the time parameters of its initial placement in the Active Order queue;

- a market Order allowing partial execution shall mean an Order executed at the moment of announcement at the price / spread value specified in the Order or at the best price / spread value in the Order volume (if the Order volume is less or equal to the total volume of matching Active Orders with the price / spread value not worse than the price / spread value specified in the Order) or in the volume of the specified Active Orders (if the Order volume exceeds the volume of the specified Active Orders). The unexecuted part of the Order shall be immediately deleted by the Exchange from the Trading System;

- a market Order not allowing partial execution shall mean an Order executed at the moment of announcement at the price / spread value specified in the Order or at the best price / spread value in the Order volume (if the Order may not be executed in full it shall be immediately deleted by the Exchange from the Trading System).

If at the moment of announcement of a market Order allowing for partial execution among counter Active Orders with the price not worse than the price specified in the Order there is an Order / Orders with the same TIN (or code replacing it) as in the specified market Order, then the specified market Order shall be executed in the volume not exceeding the total volume of counter Active Orders which are the best in relation to the best counter Active Order with the same TIN (or code replacing it).

Limited bids can be either targeted or untargeted. Market bids can only be unaddressed.

 
Do your well-being depend on the way the deals are executed? I guess not. Talk less and think more about yourself ))
 
Andrey Gladyshev:
Information about the types of stock exchange orders.
Call things by their proper names. I'm not talking here about orders that are stored on MQ servers,
I'm not talking about orders which are stored on MQ's servers, just stock orders. At the end of the day, the stock comes together with the market. And no matter how
it's like a terminal station. This is followed by a line which shows the result
of the market orders and the limit orders in the market cup.

MT5 is not the original source of the order type names, MQ have named them as they see fit.

And the MT5 Server transmits orders to the Exchange according to the specifications of the Exchange, namely

namely:

1. Quotation order

2. Counter bid

3. Fill-or-Kill bid

There are no other order types in the FORTS core!

And we (and all market participants) see only the quotation bids in the tumbler.

Because the other two types are immediately passed to the auction (lead to a deal, or are immediately rejected).

Quotation bids also pass the auction (but are not removed, if the demanded volume is less than the volume specified in the bid).

Starting with version 5.0 of ASTS Spectra, auction in exchange core is held with NANOSECKUND accuracy, priority - first come-first served in the auction.

And then there's type, price, volume.

But the auction is not held every nanosecond, but a longer period of time (SREZ, I do not know exactly what), hence

all the "confusion" in the quotes and transactions.


P/S And I think it's time to stop this unnecessary argument, because no one (including me)

does not know exactly how the FORTSASTS Spectra5.0 core worksand how MT5 server sends to the terminal

streams of impersonal orders and trades. Especially since only milliseconds are available in MT5....

 
prostotrader:

P/S And I think it's time to stop this unnecessary argument, because no one (including me)

does not know exactly how theASTS Spectra5.0 kernel worksand how MT5 server sends to the terminal

streams of impersonal orders and trades. Especially since only milliseconds are available in MT5....

It can be assumed that the broadcasting of the stack is less frequent than the execution of trades, which contradicts the rules of the exchange.

 
prostotrader:


P/S And I think it's time to stop this unnecessary argument, because no one (including me)

does not know exactly how theASTS Spectra5.0 kernel worksand how MT5 server sends to the terminal

streams of impersonal orders and trades. Especially since only milliseconds are available in MT5....

Right, just use what you can see and touch.
Which is what I do.

 

It is strange that the topic has gone so far into the wilderness, although the question is simple and purely technical.


Sergey Lebedev:
To recap: the arrival of a limit order from a non-hft trader to the exchange to sell at 65822 was detected by the hft market analysis strategy, and a counter limit order was generated for it, which resulted in the first frame of the 12th second to be noted and registered. Without putting it in the betting market!

So the exchange broadcasts the information about the limit order of a "retarded client" to the hft trader and does not broadcast it to the broker? This is not forbidden?

It is not about the speed of reaction to this order, but the fact that there is no order at all - the information about the transaction already made was sent to the terminal.
Or randomly, at one moment, without consulting, one "brake" sent a buy-limit, and the other - a sell-limit, they immediately switched off and the exchange sent all information only about the fact of the deal?

Both sound dubious.

 
Andrey Khatimlianskii:

It is strange that the topic has gone so far into the wilderness, although the question is simple and purely technical.


So the exchange broadcasts the information about the limit order of a "retarded client" to the hft trader and does not broadcast it to the broker? This is not forbidden?

We are not talking about the speed of response to such an order, but that there is no order at all - the terminal has received information about a trade that has already taken place.
Or randomly, at one moment, without any agreement, one "brake" sent a buy-limit, and the other - a sell-limit, they immediately switched off and the exchange sent all information only about the fact of a deal?

Both sound dubious.

In principle, they could not technically bargain, because the bids are priced differently. Even if that were possible.
Many people have a very lofty and fuzzy concept of HFT.

 
Andrey Gladyshev:

They basically, technically, couldn't bargain...

Andrei, your opinion is very much in this thread. Lower your ardour, because you are broadcasting illiterate bullshit. I'm tired of reading all your extensions. And the market orders are matched only with limit ones, even though on Forts there are no market orders at all, and the matching cannot happen, because the prices are different. And there's a lot more, I'm going to get tired of listing it. In short, wrap it up.

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