Limit orders

Discussion in 'Order Execution' started by ProgrammerGuy, Sep 14, 2007.

  1. Okay, Limit orders are first executed as I read by first price, and then time.

    This may seem like an idiot question, but when you send a limit order and you have SMART routing enabled where does that limit order go to?

    Here's the other concern I have. Because limit orders are filled according to time, could this SMART routing be changing constantly where the limit order is placed? If so, then wouldn't you loose your place in time?

  2. Hard to say, it depends on the Smart Router implementation.

    For example, SR may constantly monitors market data and submit your limit order to exchanges with enough liquidity to fill your order at the best price (NBBO) once your order becomes marketable (it can be 100 shares at NYSE, 200 shares at INET, etc.)

    Of course, the broker can submit your order say to NYSE and let the latter to route out the order (because of RegNMS you are almost guaranteed to get NBBO), but in this case NYSE will charge the broker a routing fee.

    Every exchange/ECN is different. Usually, you'll preserve your place in the queue when you use cancel/replace order.
  3. syrre


    Where do you get to keep it?
    Not saying that its not possible somewhere, but I would say that you will usually not.
    The exchanges I know of will treat this as a new entry.
    Feel free to enlighten me.
  4. I'm not a FIX expert, but I know that INET allows you to reduce the order quantity of a limit order without loosing the time priority.

  5. but if you change the price you'll lose your time spot right???
  6. Of cource, a separate queue for each price level...
  7. No, exchange floor traders can sometimes step in front of older limit orders by making new quotes at the same price.
  8. I think the right sentence is "floor traders used to step in...". Specialists violated exchange rules and PPY by allowing floor brokers to front-run customer orders.

    There is no chance to do this in NYSE Hybrid anymore - even during the slow market specialists have to step in and provide liquidity by establishing new quotes. The fast market is fully automated.
  9. wow spec... you really know a LOT about order execution
  10. trom


    Thanks. This is good to know.

    Happen to have a link?
    #10     Sep 16, 2007