[Trader's Handbook] Draft articles, "out of pocket" discussions - page 4
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Traders Guide: Orders, Prices, Deposits, Funds, Currencies
sergeev, 2013.05.31 07:57
Limit order execution in futures and forex
Sell Limit Order. Forex.
This order on the Forex market, always executed at Bid price and set above the current market Ask price (in our example, 1.4990).
The limit order can be placed anywhere.
Sell Limit order. Futures.
This order is always executed at Last price and is set above the current market bid price (1.5033 in our example).
Again, the limit order is placed in any place. The Last prices are the prices that have already been executed, i.e. they cannot be used in the present. There is only level2 in the present.
P.S. Bad copy-paste.
The question of whether the "sell limit on bid" is correct is simply a question of whether we consider the ordering transaction and the transactions that followed it to be atomic. ;)
True statement. If such an atomic situation is divided into smaller instances, then during the execution we will obtain completely irrelevant to the client Level2, when Ask >= Bid.
Then there will be arbitrage situations on the tick history, and it will be impossible to trade them. That is, the prices in the tick history will be unrealistic. Here lies one of the strong differences between the primitive exchange algorithm and aggregators, when, unlike the exchange in an aggregator, arbitrage on one symbol is absolutely real - can be traded.
The limiter can be set anywhere.
+ I agree. it was probably about their platform specifically (in MT4, you can't put a Limiter in a loss-making zone, either).
I will check their platform.
Even if MT4, this is incorrect:
Этот ордер на рынке Forex, всегда исполняется по цене Bid и выставляется выше текущей рыночной цены ask
In MT4 this restriction applies: SellLimit >= Bid.
Even if MT4, this is incorrect:
In MT4 this restriction applies: SellLimit >= Bid.
You didn't read it - I wrote "in MT4 you can't put a limiter in a zone that is known to be loss-making".
And why is it knowingly unprofitable?
If you send a Sellimit at a price below the current Bid, you will immediately receive a current loss on the position that is larger than the spread.
Well, it's obvious. If you send a selllimit at a price below the current bid price, you will immediately incur a current loss on the position greater than the spread.
Ideally, sending a SellLimit order at a price (let's call it the "order price") below the current Bid should result in immediate execution at the Bid price (if the required volume is there) or below, but not below the order price.
The order in the fast market should be filled at a price not lower than the order price or become a limit sell order (if the price has moved below the order price).
It's kind of obvious.