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	Forums ›› Technically Speaking ›› Order Execution ›› tricks for moving up in the order book queue?

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nocloud

Registered: Apr 2011
Posts: 68

07-25-12 07:10 AM

Does anybody know any tricks to move up further in queue on the order books? I'm facing the issue where a lot of my limits aren't getting filled. Do smart order routing strategies actually give improvement in this area?

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abattia

Registered: Dec 2008
Posts: 983

07-25-12 11:12 PM

Trade automated +
Reduce the time it takes market data to reach your signal/strategy processing hardware +
Speed up your signal and strategy processing +
Reduce the time it takes your orders to hit the market
= become an HFT player

Or, avoid strategies that involve placing limit orders at the top of the order book (where the queues are longest and the competition fiercest)

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Random.Capital

Registered: Jan 2005
Posts: 3848

07-25-12 11:33 PM

Quote from nocloud:

Does anybody know any tricks to move up further in queue on the order books?

Bid higher, if you're trying to buy.

Ask lower, if you're trying to sell.

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Jack_Larkin

Registered: Jun 2011
Posts: 492

07-25-12 11:52 PM

How badly do you want the fill?

Put your limit order out on NASDAQ OMX BX (Boston Exchange).. or one of the other free/paid to take ECNs.

or Christ man.. read the tape, hit up what's actually printing.

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JuniorCTA

Registered: Jul 2010
Posts: 335

07-26-12 01:24 AM

And even then, the 1 lot ahead of you could be an iceberg..

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Jack_Larkin

Registered: Jun 2011
Posts: 492

07-26-12 01:42 AM

Quote from JuniorCTA:

And even then, the 1 lot ahead of you could be an iceberg..

Depends on the ECN, but quite a few ECN's don't let icebergs refresh til other orders have been filled first.

Each ECN has different ways of handling order fill priority, you'll have to do some research and figure out which ECN works best in a given situation for your given strategy.

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