Tiki in real time - page 25

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Aleksey Mavrin:

I don't care :) Have you decided whether two market bids can converge or not?)

They will, if there is liquidity.

But you cannot buy/sell on your own.
 
Roman:

There are no market orders in the core of the exchange, in the core everything is executed by limit orders.
Either a limit order at the best price (which goes into the order book first)
or a limit order at the worst price, which is executed immediately at the nearest available price.
That is all, there are no market orders. All that they write that the order is market, market, etc. is slang for easier understanding of the order.
Market, market, etc. means that you have sent a limit order at a worse price and it will be executed immediately and the system recognises this and gives you a market order.
A sign zero is a hidden order, somewhere in the backend of the system.


Where did this information come from? From the developers of the core of the Moscow Stock Exchange?

 
Vladimir Mikhailov:

Where did this information come from? From the developers of the Moscow Stock Exchange core?

From an acquaintance who used to work in a brokerage company, in the algorithmic department.

And in the structure of the request, you also specify the sign of the nearest price.

req.volume       = 1;
req.symbol       = _Symbol;
req.price        = SymbolInfoDouble(_Symbol, SYMBOL_ASK);   <<<
req.sl           = 0;
req.tp           = 0;
req.deviation    = 10;
req.type_filling = ORDER_FILLING_RETURN;
req.action       = TRADE_ACTION_DEAL;
req.type         = ORDER_TYPE_BUY;   <<<
req.magic        = 2020;        

Inside the exchange system, a limit order is still sent, I don't know where, to the bar probably, but its status will be market.
That is, in any squeeze, it won't get to the market as a limit order. In short, the algorithm of the exchange system.
How does your market bid know the nearest available price with any squeeze? :))

 
Roman:

How does your marching bid know the nearest available price, at any size of squeeze? :))

Market bid does not know the best price. The exchange does.
The market order will be executed at the last best price last.
Best price guarantee rule.

 
Vladimir Mikhailov:

The marketplace does not know the best price. The Exchange does.
The market order will be executed at the last best price last.
Best price guarantee rule.

This means that when you submit a market order, your order will always find the next best price to be filled.
Naturally, this is provided by the system of the exchange, and in order to satisfy your order, it must somehow calculate the nearest price.
From what indicators will it calculate? Most likely from the bar to the current worst price.

!!! The market order will be filled at the nearest bid or ask, which will set the price last.
Or execute on a counter bid.

 
Roman:

What I meant was that when you send a market order, your order will always find the closest price to be executed.
Naturally, this is provided by the system of the exchange, and in order to execute your order, it must somehow calculate the nearest price.
From what indicators will it calculate? Most likely from the bar to the current worst price.

!!! The market order will be filled at the nearest bid or ask, which will set the price last.
Or execute on a counter bid.

That's right. It's the same eggs, only in profile.

 
Vladimir Mikhailov:

That's right. It's the same eggs in profile.

Not the same!
Let us simulate the situation.
Let's imagine that for some period of time not a single trade has taken place, i.e. the price has been on one mark for a long time.
It often happens with illiquid instruments or at night time (not necessarily on the Moscow exchange).
During this period of time the bid ask prices have moved up by 100 points. Can you imagine the situation?
The last price was 100 points down from the current bid ask.
Vasya Pupkin looks at the chart and the price last, he is scratching his head and thinks let me buy it, the last is OK :))
He shouts to his broker to buy on the market! I'm sorry...
Vasya is perplexed by a 100 point squeeze, he is scratching his head and thinks what the hell is going on, I bought by last :)))

 
Vladimir Mikhailov:

Where did this information come from? From the developers of the core of the Moscow exchange?

From the specification of MOEX gateway Plaza II (FORTS)


 
Roman:

Not the same!
Let us simulate the situation.
Let's imagine that for some period of time not a single trade has taken place, i.e. the price has been on one mark for a long time.
This often happens with non-liquid instruments, or at night (not necessarily on the Moscow exchange).
During this period of time the bid ask prices have moved up by 100 points. Can you imagine the situation?
The last price was 100 points down from the current bid ask.
Vasya Pupkin looks at the chart and the price last, he is scratching his head and thinks let me buy it, the last is OK :))
He shouts to his broker to buy on the market! I'm sorry...
Vasya is perplexed by a 100 point squeeze, he is scratching his head and thinks what the hell is going on, I bought by last :)))

That's right.

 
prostotrader:

From the MOEX specification of the Plaza II gateway (FORTS)


Not really relevant at all.

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