Mindblown: a blog about philosophy.

Of course, the main execution issue with stop orders is similar to that of market orders: the slippage with stop orders is potentially unlimited. If we send a buy-stop order, then it will be executed at any price equal to or greater than the order price. It is similar to a sell-stop order: it will be…

Essentially, a stop order is an order to buy or sell the specified amount of the asset at the specified price or worse. You may ask at this point: why on Earth would I want to buy or sell at a price worse than I’d like to? The answer is very simple: both better and worse are just references to where the order price is…

The specifiers mentioned previously are normally called time in force conditions, although, as you will see a bit later in this lesson, for some of them, it is not really obvious or intuitive. Important disambiguation More often than not, these execution method specifiers are referred to as the type of order. This can be found not only in some brokers’…

While the main execution issue with market orders is that they guarantee the execution itself but do not guarantee the execution price, the main issue with limit orders is exactly the opposite: a limit order guarantees the execution price (just by its definition) but does not guarantee the execution as such. Indeed, let’s carefully consider both cases:…

In general and brief, a limit order is an order to buy or sell the specified amount of the asset at the specified price or better. What does better mean here? This means that if I send a limit order to buy EURUSD at 1.0100, then any price below 1.0100 will match my order. On the contrary, if I send a limit order to sell EURUSD at…

Besides the liquidity and average price fills just discussed, the main issue with market orders is that such an order (if sent without a time-in-force specifier – see later in this lesson) will be executed at whatever price is currently present in the market. Yes, 99% of the time, it doesn’t cause real issues as the…

Let’s start with the most simplistic (at least at first glance) type of order: the market order. A market order is an order to buy or sell a certain amount of an asset at a market price. By market price, we normally assume the best bid or the best ask (see Lesson 3, FX Market Overview from a Developer’s Standpoint, for…

Let’s start with drafting a prototype of a general order ticket – something that is sent to a trading venue. Normally, orders are sent either as FIX messages (see Lesson 4, Trading Application – What’s Inside?) or in JSON format according to the venue’s specifications. As we also noted in Lesson 4, every venue has its own data and…

In the previous lesson, we considered a number of classical trading strategies usually employed in FX trading. All of them can be automated – that is, the decision to place a trade can be made based on quantitative data only, and placing a trade in the market can be done by an algorithm. So, we…