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Order Definitions
Summary: All types of orders have similar definitions. The one difference between market and limit orders is that market orders do no have an Order Rate definition.
Foundations->Concept->Reusable Snippets->Note for Hierarchy Tables
Note: This page discusses the top-level information about the section of the hierarchy represented in the below table. Click on any of the nodes to get the details, including particulars on their configuration, when applicable.
Order Rate
Foundations->Node->Order Rate->Definition
The order rate node defines the rate of limit orders.
Foundations->Node->Order Rate->Content
Because the purpose of limit orders is to have control over the rate at which the order is executed, the definition of the order rate is required for all limit orders.
Note: Please, read about limit orders to complement the information in this definition.
Create Order Event
Foundations->Node->Create Order Event->Definition
The create order event controls the placement of orders.
Foundations->Node->Create Order Event->Content
Even though the decision to take a position may have been made, the user may still decide to exert additional control over the placement of orders. Such is the intent of the create order event.
An order defined in an execution algorithm will be executed only if the event evaluates
true. If you wish orders to be placed as defined immediately after the take position event has been triggered, the use the statement
true your only create order event condition. Cancel Order Event
Foundations->Node->Cancel Order Event->Definition
The cancel order event makes cancelling limit orders possible.
Foundations->Node->Cancel Order Event->Content
The cancel order event defines the market situations in which a limit order shall be canceled. When the event is triggered, the order is closed, even when the order may have been partially filled. In such a case, the size filled remains as is, and all accounts are computed accordingly, with the partial fill.
Simulated Exchange Events
Foundations->Node->Simulated Exchange Events->Definition
The simulated exchange event node allows to override the parameters set at the level of the trading session on a per order basis to determine how each order shall be simulated.
Foundations->Node->Simulated Exchange Events->Content
The offspring nodes under simulated exchange events allow setting order-specific parameters for the size filled, actual rate, and fees paid, so that each order may be simulated in a specific manner.
If either of the offspring nodes is not present or is undefined, then the parameters configured at the level of the trading session are factored in by default.
Simulated Partial Fill
Foundations->Node->Simulated Partial Fill->Definition
The simulated partial fill parameter allows simulating the partial fill of orders.
Foundations->Node->Simulated Partial Fill->Content
Upon each execution, the simulation verifies if the current candle intersects the rate set for the order. If it does, it uses the value in this parameter as a factor to determine and keep track of what percentage of the order is filled.
The same process repeats for each subsequent candle, until the order is filled.
When the parameter is not present or undefined, the simulation assumes the order is filled as soon as the rate is hit.
Simulated Actual Rate
Foundations->Node->Simulated Actual Rate->Definition
The simulated actual rate node allows setting a specific rate value for the simulation of each order, overriding the slippage parameter of the trading session.
Foundations->Node->Simulated Actual Rate->Content
The slippage parameter of the trading session allows setting a blanket slippage for all orders in the trading system. The simulated actual rate node allows control on a per-order basis, so each order may be simulated with a specific rate.
Note: If the node is not present or the parameter is undefined, the slippage parameter set up for the trading session is used.
Simulated Fees Paid
Foundations->Node->Simulated Fees Paid->Definition
The simulated fees paid node allows setting a specific fee for the simulation of each order, overriding the fee structure parameter of the trading session.
Foundations->Node->Simulated Fees Paid->Content
The fee structure parameter of the trading session allows setting a blanket fee structure (maker and taker) for all orders in the trading system. The simulated fees paid node allows control on a per-order basis, so each order may be simulated with a specific fee.
Note: If the node is not present or the parameter is undefined, the fee structure parameter set up for the trading session is used.
Trading Systems — TOC
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