Author Topic: Limit orders in PTL  (Read 1890 times)

Stephane Benichou

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Limit orders in PTL
« on: October 01, 2014, 10:16:02 am »
Hello,
It would be intersting to fine tune the execution. <for exemple placing one leg at a limit order (say mid market) and send a market order for the other leg as soon as the first is executed.
Have you ever thing about this matter?
thank you.
Stephane

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Re: Limit orders in PTL
« Reply #1 on: October 02, 2014, 04:15:56 am »
Hello Stephane,

what exactly would you like to accomplish with this solution? Better executions/lower slippage?

The problem of this solution is that before the first order is entirely filled, the price of the second leg can already drift away and you may enter at worse z-score.

Also the implementation is a bit tricky, for instance - how long should the app wait for the first leg to be filled? What to do, if it takes too long?

But this is good question, let's open a discussion here.

(Btw for enterprise clients we have a partner providing smart execution algos for now - the Algotrader platform.)

Stephane Benichou

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Re: Limit orders in PTL
« Reply #2 on: October 05, 2014, 05:39:05 am »
Hello Karel,
I was talking about an automate which would cancel and replace orders each time the other leg moves to avoid trading with a bad zscore.
S

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Re: Limit orders in PTL
« Reply #3 on: October 06, 2014, 07:36:39 am »
Could you please provide more detailed explanation of the process in steps? I am still not sure if I understand the whole idea correctly.

Also, what is the advantage of this over just throwing market orders against the order book? (get better execution? lower slippage?).