What 3 orders can be given to brokers?
market order, limit order, stop order.
What is a market order?
Client only specifies volume of shares to be purchased, no price specified.
What is a limit order?
Clint specifies volume of shares as well as price limit.
What are the two validity contraints?
Execute and eliminate, Fill or kill
What is an execute or eliminate validity constraint?
Order must be matched immediately and as completely as possible with existing orders, any remaining unexecuted volume will immediately be removed.
What is a fill or kill validity constraint?
Order must be matched immediately and in full or lese never appears in order book.
How do you get the maximum execution volume?
lowest of buy and sell cumulative volume put into auction volume and highest of that is taken.
How do you get max execution volume if there are two with same volume? (minimum surplus principle)
Take the differences of the surpluses, and lowest of those two is the answer.
How do you get max execution volume if there are two with same volume and minimum surpluses? (market pressure principle)
If on buy side, highest of two prices taken, if on sell side lowest of two taken.
How do I know whether buy/sell side?
if buy volume > sell volume = buy side and vice versa.
