Question about market algos #853
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From my understanding of the system and reading of the documentation, the algo will allocate an order to 'market' if there is less than an hour left to trade. This check is also true if the market is closed at the time:
Since run_stack_handler checks all of this as soon as it is run (let's say for EST it runs late at night or soon after midnight to catch HK/JP market hours), then aren't all trades for EST/CST instruments (assuming trading hours start 9-10 AM) going to be allocated to market orders? Can the algo re-allocate an order to 'best' later or is it a one way thing? Thank you for your time. |
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Replies: 1 comment 1 reply
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You're absolutely right. This isn't what I intended naturally, but it's exactly what will happen. I've checked in a change - and I'm now testing - that means that we don't check to see if there is sufficient time when allocating the algo. So all orders will in principal be allocated to the 'best execution' algo. I then added a further check inside the algo, so when there is less than 30 minutes to go when the order is passed to the algo it will submit a market rather than limit order; and similarly during execution if the clock is running low it will switch to aggressive execution. Thank you so much for spotting this! Genuinely thankful - this will hopefully save me some execution costs going forward. Can the algo re-allocate an order to 'best' later or is it a one way thing? No it's one way |
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Well I'm happy to have been of some help. It feels good to contribute a tiny bit instead of take, take, take :) |
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You're absolutely right. This isn't what I intended naturally, but it's exactly what will happen.
I've checked in a change - and I'm now testing - that means that we don't check to see if there is sufficient time when allocating the algo. So all orders will in principal be allocated to the 'best execution' algo. I then added a further check inside the algo, so when there is less than 30 minutes to go when the order is passed to the algo it will submit a market rather than limit order; and similarly during execution if the clock is running low it will switch to aggressive execution.
Thank you so much for spotting this! Genuinely thankful - this will hopefully save me some execution costs g…