I would like to propose a feature to show previously executed limit orders. And I mean separated (non cumulative) limit orders, just like market orders are shown.
This can show individual big limit orders that have been executed.
Executed Limit Orders Data
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Andry API support
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Re: Executed Limit Orders Data
Hi,
This is relevant only for MBO data where individual limit orders may be distinguished. Bookmap shows executions. Even market orders are typically executed in chunks, you can see it if zoom in. But it typically takes a moment for a market order to be executed.
For large limit orders, if executed in chunks, the complete execution of a limit order may take time, as long as they reside in the orderbook until executed completely. And their executions may be stretched over a some time period. Can you please clarify what would you like these limit orders executions to look like.
This is relevant only for MBO data where individual limit orders may be distinguished. Bookmap shows executions. Even market orders are typically executed in chunks, you can see it if zoom in. But it typically takes a moment for a market order to be executed.
For large limit orders, if executed in chunks, the complete execution of a limit order may take time, as long as they reside in the orderbook until executed completely. And their executions may be stretched over a some time period. Can you please clarify what would you like these limit orders executions to look like.
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aregamirkh
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Re: Executed Limit Orders Data
I would like to be able to see executed Limit orders, even if partially filled ones, it should show the
executed amount which belongs to the same unique id of the limit order.
Scenario one:
There is a 100 contracts of Buy Limit Orders at one price, of which 40 contracts belongs to a one trader,
other parts are smaller, average of 7 contracts. And the 40 contracts order type is "Fill or Kill".
When price moves to that price 60 contracts Market Sell order hits the limit orders. Also in the bookmap we've filtered
indicator to show minimum of 20 contracts limit orders. In this case bookmap indicator should show executed one
40 contracts buy limit order.
Scenario two:
Everything is the same as in first scenario, but here instead of on 60 contract sell market order,
there is a only 20 contract sell market order and the Buy limit order of 40 contracts order type is not "Fill or Kill",
so it is partially executed for 20 contracts and 20 left pending, and other part is executed 1 hour later when price
back to it again. in this case the bookmap indicator should show 2 separate 20 contracts executed buy limit orders.
executed amount which belongs to the same unique id of the limit order.
Scenario one:
There is a 100 contracts of Buy Limit Orders at one price, of which 40 contracts belongs to a one trader,
other parts are smaller, average of 7 contracts. And the 40 contracts order type is "Fill or Kill".
When price moves to that price 60 contracts Market Sell order hits the limit orders. Also in the bookmap we've filtered
indicator to show minimum of 20 contracts limit orders. In this case bookmap indicator should show executed one
40 contracts buy limit order.
Scenario two:
Everything is the same as in first scenario, but here instead of on 60 contract sell market order,
there is a only 20 contract sell market order and the Buy limit order of 40 contracts order type is not "Fill or Kill",
so it is partially executed for 20 contracts and 20 left pending, and other part is executed 1 hour later when price
back to it again. in this case the bookmap indicator should show 2 separate 20 contracts executed buy limit orders.
Re: Executed Limit Orders Data
Hey aregamirkh ! Thank you for the feature request. Please describe the use case, what is the value of such a feature?