Fins in the glass - trying to understand what happened by the ticks - page 12

 
prostotrader:


And the MT5 Server transmits orders to the Exchange according to the Exchange's specifications, 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).

Quoted bids are also passed through auction (but are not removed, if the requested volume is lower, than the volume specified in the bid).

...

+

I think this is very clear.

Andrey Khatimlianskii:

Or randomly, at one moment, without consulting, one "brake" sent a buy-limit, and the other - sell-limit, they immediately switched off and exchange sent all information only about the fact of transaction?

This is a very possible situation. On the highly competitive markets bids go dozens per second, so there is nothing strange that the two bids were switched before forming Ask/Bid levels.

 
Vasiliy Sokolov:

Andrei, your opinion is very much in this thread. Lower your ardour, because you are broadcasting illiterate bullshit. I'm already 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.

You guys ignore all of the stock exchange documents?

Forum on trading, automated trading systems and testing trading strategies

Fins in the market - trying to understand what happened by ticks

Aleksey Vyazmikin, 2019.04.20 17:25

7.10. An application submitted to the Trading System must contain an indication of the category:

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

- a market Order allowing partial execution shall mean an Order which is 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 may be both addressed or unaddressed. Market bids can only be unaddressed.


A market order is a market order.

 
Aleksey Vyazmikin:

Do you even ignore stock exchange documents?

A market order is a market order.

Have you read them or have you seen a familiar word? From the definition you gave, it follows that the "market" order in exchange terms, is a limit order, which is executed at the time of the announcement or at the price specified in it, or at a better price. This order will be executed by placing a limit order with a price worse than the best strike price. I.e . a special order type is not necessary for market orders. Market orders can be emulated by using limit orders.

 
Vasiliy Sokolov:

Did you read them, or did you see a familiar word? Even from the definition you gave, it follows that a "market" order in exchange terms is a limit order, which is executed at the time of the announcement either at the price specified in it or at a better price. This order will be executed by placing a limit order with a price worse than the best strike price. I.e . a special order type is not necessary for market orders. Market orders can be quite emulated by using limit orders.

Then it is different. What do you see in the market glass?

 
I realise that last one wasn't addressed to me. Doesn't change the point.
 
Vasiliy Sokolov:

Did you read them, or did you see a familiar word? Even from the definition you gave, it follows that a "market" order in exchange terms is a limit order, which is executed at the time of the announcement either at the price specified in it or at a better price. This order will be executed by placing a limit order with a price worse than the best strike price. I.e . a special order type is not necessary for market orders. Market orders can be emulated with limit orders.

I have read that, which is why I pointed out that the exchange separates the concepts and it is silly to deny it.

 
Vasiliy Sokolov:

This is a very possible situation. In highly competitive markets, bids come in dozens per second, so it is not strange that two bids matched before forming Ask/Bid levels.

This one bid would have been enough to answer the original question.

 
When are you going to settle down!? What do you call it? What's in the cup is supply. What leads to a deal is demand. That's it. Call it limiters, orders, bids, call it a bald devil. Don't waste your time with useless chatter! If you want to train your brain, I suggest you formulate the concept of "Entry". Of course, for those who wish to, I'll formulate my own version... ))
 
rjurip1:
When are you going to settle down!? What do you call it? What's in the cup is supply. What leads to a deal is demand. That's it. Call it limiters, warrants, bids, call it a bald devil. Don't waste your time with useless chatter! If you want to train your brain, I suggest you formulate the concept of "Entry". Of course, for those who wish to, I'll formulate my own version... ))

Right. I click the Sell button, lot 1 contract. This action on my part eats up the volume from the bid of 1 contract.
That is, if there was a volume of 10 contracts in the bid, then their volume will be 9. This is all in the moment. If you know what I mean.
What matters to me is what is happening now, I don't think about how the bids get into the bet or who calls it what.

 
Andrey Gladyshev:

Right. I press the Sell button, lot 1 contract. This action on my part eats the volume from the bid of 1 contract.
That is, if there was a volume of 10 contracts in the bid, then there will be 9. This is all in the moment. If you know what I mean.
What matters to me is what happens now, I don't think about how the bids get into the bet or who calls it what.

That's the way it is. I, for example, enter the position with limiters. The price is guaranteed. That's all I'm interested in. If they call it limiters orders, bids - not interested ))

Reason: