Trader's Handbook: orders, prices, stack, funds, currency - page 5
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Doesn't invalidate the previous answer, maybe your bots are frontrunning, partially or completely. in any case it's interesting the number of requests per bot.
Doesn't invalidate the previous answer, maybe your bots are frontrunning, partially or completely.
Unequivocally, no. Not in any way. I just don't limit myself on the number of trade orders.
Is curious about the number of orders per bot anyway.
So the limit is for one account. The division by bots is a convention.
How are the points before the dot expressed? Gold, for example.
1919.20.
1918.15
What is the difference between these prices? 105 pips or 1.05 pips (points?) ?
How are the points before the dot expressed? For example, in gold.
1919.20
1918.15
What is the difference between these prices ? 105 pips or 1.05 pips (points?) ?
Difference = 1 dollar and 5 cents.
Difference = $1.5.
Thank you!
Execution of limit orders on the stock exchange
A correct exchange algorithm does not allow public Bid >= Ask situations in pricing. In the algorithm itself, as bids are received, a stack is formed at the initial stage, in which Bid >= Ask situations often occur. In such a situation, the executive part of the exchange algorithm is switched on, the task of which is to break this situation to the state Ask > Bid. And only after it has been solved, the already formed bet with correspondingly formed Last-data becomes public - available to everyone.
SellLimit is always executed at Bid price, BuyLimit - is executed at Ask.
But only these Bid and Ask are non-public prices of the stack formed at the initial stage, as I described above.
If you put out SellLimit - it is a desire to sell by you, which is equal to an offer for others to buy from you. For this reason SellLimit falls into Ask gangs. For example, if you put SellLimit inside the spread, the best Ask band is formed with the level and volume of your limit. I.e. by putting SellLimit inside the spread, you change the Ask price. If someone wants to buy at Ask-price, he will fill your Limit. Saying in such a case that SellLimit is executed at Ask-price or is executed without spread is a very vague wording. It's better to just understand the mechanism, like everywhere else.
Let me give you an example of execution . You have set SellLimit inside the spread, so Ask is equal to SellLimit. Now you set BuyLimit equal to Ask. In this situation (see the first paragraph) in the stock exchange algorithm it turns out that Bid is equal to BuyLimit. In other words, it turns out that Bid = Ask. That's it, the situation is being sorted out until Ask becomes greater than Bid. No one will see a correct bet until the algorithm does it. For simplicity, let SellLimit and BuyLimit volumes be equal to Vol. It turns out that both limiters collapse, Bid and Ask become equal to the next best bands in the stack, i.e. Ask > Bid. Then Last-data contains the execution price, which is equal to your SellLimit (== BuyLimit), Vol volume and BUY direction (because BuyLimit was sent later than SellLimit).
Note that if in the same situation you send BuyLimit first and then SellLimit, the result will be the same - you buy/sell to yourself, losing on double commission. But only in Last-data the direction flag will be opposite - SELL.
Returning to the question of the price at which limiters are executed:
If you look at the bars of a shallow TF on any weakly liquid symbol, you'll see that Bid bars are undercut at the bottom (BuyLimits) and Ask bars are undercut at the top (SellLimits).
Let's consider the SellLimit situation again. In the bar tester, SellLimit will be executed only when its HighBid >= SellLimit. Note that HighBid (as well as LowAsk) is practically not cut on exchanges. And looking ahead - they are not trimmed at all on ECN/STP. I.e. if you need to test a strategy with limiters, the main information for you on SellLimit execution is the value of Bid-price, or rather its High. This can be another argument in favour of the statement that SellLimit is executed exactly at Bid-price.
Digressing a bit, we can say that ZigZags with tops on Bid-data and lows on Ask-data are constructed for the same reasons. And it is on the basis of such construction that the maximum potential profitability is estimated.
P.S. I have not made a single transaction on the exchanges. Simply, the algorithm of exchange platform formation is a very special case of more complex platform-forming algorithms - decentralised markets (darkpools). I will write about it only when everything will be clear about exchanges.
thank you for the information. unfortunately, unfortunately, not everything is clear, I lack a visual representation. it would be easier with this. i would like to fully understand how everything works.