Pegged orders vs Cancel/Replace
Pegged orders vs Cancel/Replace
Loading saved threads...
Ariel Silahian · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: Ariel Silahian
Original post: https://quant.stackexchange.com/questions/31733
License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/
Adaptation: HTML converted to plain text; contact email addresses removed.
Anyone with real experience between these two types?
Trying to use Pegged orders for an hft strategy (on forex) and wanted to know if someone could tell me advantages / disadvantages to use them instead of the common cancel / Replace
Quote
Report
rupweb · External communityPost link
External answer — Quantitative Finance Stack Exchange
Author: rupweb
Original post: https://quant.stackexchange.com/a/31769
License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/
Adaptation: HTML converted to plain text; contact email addresses removed.
I would say that generally it depends on the frequency of the orders you intend to send to your providers. If you have a cancel strategy to cancel market orders that aren't filled, as the market moves, then use market orders. If you have a lower frequency strategy where you don't intend to cancel orders, then use pegged orders, which are basically limit orders. This is to keep your providers happy with order frequencies.
Other than that I suppose a limit order allows you to specify an execution price - barring slippage - anywhere, as opposed to a market order which is either executed at market by your provider, or a bid / offer is put in the book (basically like a limit order) which may or may not be executed before you cancel.
Since a private dealer isn't legally required to make a market, then you aren't required to submit market orders... which could be an advantage depending on what your trading strategy is.
Quote
Report
Post Reply
Quoted from Forex.com.bd-Editorial External answer — Quantitative Finance Stack Exchange Author: rupweb Source score (net votes, not local likes): 1 Original post: https://quant.stackexchange.com/a/31769 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I would say that generally it depends on the frequency of the orders you intend to send to your providers. If you have a cancel strategy to cancel market orders that aren't filled, as the market moves, then use market orders. If you have a lower frequency strategy where you don't intend to cancel orders, then use pegged orders, which are basically limit orders. This is to keep your providers happy with order frequencies. Other than that I suppose a limit order allows you to specify an execution price - barring slippage - anywhere, as opposed to a market order which is either executed at market by your provider, or a bid / offer is put in the book (basically like a limit order) which may or may not be executed before you cancel. Since a private dealer isn't legally required to make a market, then you aren't required to submit market orders... which could be an advantage depending on what your trading strategy is.
Checking account access…