Order Execution

D

DallasCowboysFan

When we submit an order, is it always executed in the order it is submitted?
I am aware that some of the larger trading houses like GS have the ability to push their orders ahead of others.

But if I submit a day order at 4:00:0000 in the afternoon to be executed as a day order the next day, will it be executed first ahead of all the other orders that submitted an order a micro second later?

Or does it have to do with the proximity of the brokerage to the NYSE computers, or is there a pecking order for submission that I don't know about?

Thanks
 
Logic would dictate that the exchange applies the FIFO method: first-in, first-out. Ie. "the early bird catches the worm", or so :)
Such processing is analogous to servicing people in a queue area on a first-come, first-served (FCFS) basis, i.e. in the same sequence in which they arrive at the queue's tail.
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Only the offered price should decide which one gets filled first.
When multiple duplicate offers, then the FIFO method for these should decide.

Many duplicate prices can occur (also due to tick size), but its very unlikely that the computer would assign the same timestamp to more than one incoming order, ie. then FIFO would correctly be applied
(of course only if the central exchange computer is programmed correctly for doing the timestamping correctly, ie. by doing unique timestamping (nanosecond and maybe even sub-ns)). This is normally easy to solve by appending a global counter to the timestamp and saving/storing this counter together with the timestamp, and evaluating together in the compare function (the comparator)...
 
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Time/price order priority would depend on the Exchange, ECN or broker your order is sent to.
DallasCowboysFan said:
When we submit an order, is it always executed in the order it is submitted?
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No. Those order sent the day before for only market hours, are staged until the next day and do not keep any priority. The are entered the following day with other orders.
DallasCowboysFan said:
But if I submit a day order at 4:00:0000 in the afternoon to be executed as a day order the next day, will it be executed first ahead of all the other orders that submitted an order a micro second later?
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No- that has nothing to do with it.
DallasCowboysFan said:
Or does it have to do with the proximity of the brokerage to the NYSE computers, or is there a pecking order for submission that I don't know about?
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In addition, some exchanges like NYSE allow members to match with the order book. Your order to buy 1000 XYZ at 80.00 might be the first order there. There terminal can then post an order to buy shares at 80.00 too. When a seller comes in, they can do some and you would do some according to NYSE rules.
 
Since the order is submitted after RMH, then it depends on how and when the broker forwards it to the exchange computer (ie. the exchange order book), and what the exchange computer does if such a DAY order for the next day comes in after the RMH on the current day.
It's all theoretical BS, IMO, as no trade should ever be dependent on such issues :-)

RMH: regular market hours
 
2rosy said:
How?
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I recall that, about 2 years ago, there were some comments about the larger brokerages playing favs with their own trades or those of favorite customers. I believe that they were, at least accused, of stalling the trade of stocks, while they traded their own. I think it was only a second or so, but if a stock is volatile, it can mean big bucks.
 
Robert Morse said:
Time/price order priority would depend on the Exchange, ECN or broker your order is sent to.

No. Those order sent the day before for only market hours, are staged until the next day and do not keep any priority. The are entered the following day with other orders.

No- that has nothing to do with it.

In addition, some exchanges like NYSE allow members to match with the order book. Your order to buy 1000 XYZ at 80.00 might be the first order there. There terminal can then post an order to buy shares at 80.00 too. When a seller comes in, they can do some and you would do some according to NYSE rules.
More...


Thanks for the detailed response.
 
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