Earlier, we said that the
FIX Protocol not only increased the
speed of traders in the market, but also provided an opportunity for market participants to use
limit orders, which reduced the risks of trading. Let's take a closer look at two types of limit orders.
Let's start with the
FOK order.
Literally, its name stands for -
'Fill Or Kill'. The essence of this order is that it is
executed immediately and in
full at the stated price, or will not be executed at all, which eliminates the possibility of slippage. Thus, if your order
cannot be executed in full, then the order is
simply rejected, if the order
can be executed in full, then the
order is executed in full at the specified price. [nerd] This type of order is very
convenient for
scalping or
arbitrage strategies, as they
eliminate the risk of slippage. In fact, we can say that the
"Edward – Scissorhands" arbitrage strategy from StockSharp
eliminates risks. Below is an example of the rejection of the
FOK order in the
CME system, due to the fact that the
order size is 20, and the
book contains only 19, so the order
can not be executed completely, and the system cancels it.
The next type of limit orders are
IOC orders.
The name
'Immediate OR Cancel' means that the
order is executed in whole or in part at the set price, otherwise the order will be canceled. For example, if the
order size is 100 units, only
50 units can be sold at the set price. If we use an order of type
FOK, the system will cancel it, as it can not be fully executed. When using the
IOC limit order, the order will be
executed for 50 units, and the
remaining ones will be canceled.
IOC also has another name
FAK, which stands for
'Fill And Kill', executed and discarded the remainder.[nerd]
For example, an
IOC order will be partially executed (in the
CME system, its name is
FAK). If we
buy 15, and the book
contains only 10, then we
buy 10, and the
remaining 5 are rejected, so this order can be called partially executable:
Limit orders when working through the
FIX Protocol allow the trader to
reduce risks, and in some cases, especially when working with
arbitrage strategies to
reduce them to zero. Our company provides a range of programs to work in the market through
FIX connect, such as: designer trading strategies
Designer, trading program
Terminal. We also provide a full range of connectors for connection to trades, including FIX. Flexible system of discounts and reliability of connection, makes us one of leaders in the market. The full range of connectors and software can be found on our
website.