glossary
Basics
market
The table below displays a market of instrument CL which is type of future with id 8a4c0264-948f-4ecc-9ee5-f2245e1ea85c and contract size 10.
| LEVEL | BID QTY | BID | ASK | ASK QTY | |
|---|---|---|---|---|---|
| 0 | 1 | €99.00 | — | €101.00 | 1 |
| 1 | 3 | €98.00 | — | €102.00 | 2 |
| 2 | 2 | €97.00 | — | €103.00 | 5 |
| 3 | 4 | €96.00 | — | €104.00 | 1 |
| 4 | 4 | €95.00 | — | €105.00 | 2 |
order
Let’s imagine we submit a limit order for our instrument 8a4c0264-948f-4ecc-9ee5-f2245e1ea85c:
- BUY
- quantity: 10
- price: 97.00
What we are doing is:
We joined the market @97.00. We are bidding 10@97.00
The market looks like this:
| LEVEL | BID QTY | BID | ASK | ASK QTY | |
|---|---|---|---|---|---|
| 0 | 1 | €99.00 | — | €101.00 | 1 |
| 1 | 3 | €98.00 | — | €102.00 | 2 |
| 2 | 12 | €97.00 | — | €103.00 | 5 |
| 3 | 4 | €96.00 | — | €104.00 | 1 |
| 4 | 4 | €95.00 | — | €105.00 | 2 |
Now, let’s submit an order which makes better market than the best market.
- SELL
- quantity: 3
- price: 100.00
We have improved ask market with our order. We are asking(offering) 3 @ 100.00.
| LEVEL | BID QTY | BID | ASK | ASK QTY | |
|---|---|---|---|---|---|
| 0 | 1 | €99.00 | — | €100.00 | 3 |
| 1 | 3 | €98.00 | — | €101.00 | 1 |
| 2 | 12 | €97.00 | — | €102.00 | 2 |
| 3 | 4 | €96.00 | — | €103.00 | 5 |
| 4 | 4 | €95.00 | — | €104.00 | 1 |
Transaction
Alternatively can be referred as collision,trade,taking the position
In order to trade, there are two possibilities. One - passive, if somebody collides with our order, the other - aggressive, if we our order will collide with existing in the market.
Passive trade
Other market participant, let’s call him Joe sends a limit order:
- BUY
- quantity: 2
- price: 100.00
The following will generate a trade for Joe (his bid (2@100) will collide with our offer (3 @ 100) ):
- BUY
- quantity: 2
- price: 100.00 and for us:
- SELL
- quantity: 2
- price: 100.00
Remaining market will be as follows:
| LEVEL | BID QTY | BID | ASK | ASK QTY | |
|---|---|---|---|---|---|
| 0 | 1 | €99.00 | — | €100.00 | 1 |
| 1 | 3 | €98.00 | — | €101.00 | 1 |
| 2 | 12 | €97.00 | — | €102.00 | 2 |
| 3 | 4 | €96.00 | — | €103.00 | 5 |
| 4 | 4 | €95.00 | — | €104.00 | 1 |
Aggressive trade
Alternatively we can be aggressive side of the trade. Let’s modify our ask order from sell 3@100.00 to sell 3@98.00.
What that will do, is we will become aggressive side and will hit the market bids. Because the exchange guarantees execution at the best available price, in the current market conditions, the best price at the bid is 1@99.00. This means, we our order will generate a trade of 1@99.0, and will still have remaining 2@98.00 pending. Since we traded at 1@99.0, the level 0 disappears, and the remaining 2 of our order will be matched against 3@98.00. The following transactions are generated:
OURS:
- SELL
- quantity: 1
- price: 99.00
- SELL
- quantity: 2
- price: 98.00
JOE:
- BUY
- quantity: 1
- price: 99.00
NICK:
- BUY
- quantity: 2
- price: 98.00
Resulting market is:
| LEVEL | BID QTY | BID | ASK | ASK QTY | |
|---|---|---|---|---|---|
| 0 | 1 | €98.00 | — | €101.00 | 1 |
| 1 | 12 | €97.00 | — | €102.00 | 2 |
| 2 | 4 | €96.00 | — | €103.00 | 5 |
| 3 | 4 | €95.00 | — | €104.00 | 1 |
| 4 | 14 | €94.00 | — | €105.00 | 10 |
position
Order types:
Limit order
Limit orders include a specified price limit, and may not be executed at a price worse than that limit. These orders are used in all markets and have a duration attached to them, which defines their validity.
- Good-for-day (GFD) is also known as a day order. All orders are assumed to be GFD unless otherwise specified. The validity of a GFD order ends at the close of that day’s trading period.
- Good-till-cancelled (GTC) is also known as an open order in some markets. This order remains valid until it is executed, it is cancelled, or the contract expires. All orders are automatically cancelled one year after entry.
- Good-till-date (GTD) is similar to GTC but carries a specified date up to one year from entry on which the order is automatically cancelled.
- Immediate-or-cancel (IOC) is to be filled immediately, either completely or to the extent possible; the portion that cannot be filled immediately is cancelled.