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04 · Order types, cancels and amends

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Markets, lesson 4

Order types, cancels and amends

Rules you attach to an order, and when changing it costs your place.

You know how matching works: an order that crosses the spread trades, walking the book if it must, and the rest rests at its limit.

Part 1. Change your mind

Your bid for 500 waits second in line at 100. Change it a few ways and watch where you end up.

Your order in the queueLive

Shrinking kept your place, because it can't hurt anyone behind you. Growing sent you to the back. Without that rule you could hold a place with 1 share and grow it to 10,000 once the line looked good. A new price is a different queue, so moving joins its back. And the sell that was already on its way beat your cancel.

Amend

Changing an order that's already in the book. Some exchanges call it a modify, or a cancel/replace. The usual rule: cut the size and keep your place; change the price or add size and go to the back.

Your turn

You're first in the queue at 100 with 400 shares. Which change keeps you first?

Only shrinking keeps your place. A new price is a different queue, and you join it at the back. Growing to 500 puts you at the back of this one.

Part 2. First message wins

Keep going with Pro

You've done the first part. Pro opens the rest of this lesson, and every other one.

Still to come
  1. First message wins
  2. Say what happens to the rest
  3. A worked problem
  4. The same thing, for real
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Next lessonData feeds and rebuilding the bookEvery change goes out as a numbered message, and you rebuild the book. Start lesson 5

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