Order placing algorithm

chamith · 1 Order placing algorithm Thu May 05, 2011 9:10 pm

chamith

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Few days ago i placed a GTC order to BUY SEMB W16 at 0.50
Yesterday morning i got few 100s of shares filled. but i saw late in the evening n even on today there were some sales at 0.50 But my order didn't get filled up. Since that yesterday morning i got some 100s of shares i thought i m at the front of the queue, and if someone sell at 0.50 my order will get filled first. But it seems to me thats not the case....

Can some1 explain to me about this issue....

milanka · 2 Re: Order placing algorithm Thu May 05, 2011 9:21 pm

milanka

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I too had the same scenario few weeks ago with a GTC order.

This is what I found. Since I placed the order at 10:50 am 5 days ago , it was active for 5 days and ended on the last day exactly at 10:50 am. So I got some shares at the ordered price before 10:50am and my order became inactive with partly filled status.

chamith · 3 Re: Order placing algorithm Thu May 05, 2011 9:37 pm

chamith

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well.. anyway i had already placed another GTC order b4 the 1st one expires.
Yesterday both the orders filled up with only few 100s. And at the end of the day the older GTC order expired. But the other GTC order still remains with few 100s of shares filled in. Today also its active but nothing filled in it... its so confusing...

kuk83 · 4 Re: Order placing algorithm Thu May 05, 2011 10:04 pm

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Well, as far as i know this is like this.
Think A,B,C,D,E placed buy order for X @.50 before 9.30am.
Also F has placed a sell order for X @.50 before 9.30am.
When MKT open @ 9.30 A,B,C,D,E ll be get equal percentage from F.
But the sell orders that place after 9.30am ll be match according to priority.(if the person A is the 1st person who placed buy order @.50 his remaining quantity ll be filled 1st)

chamith · 5 Re: Order placing algorithm Thu May 05, 2011 11:03 pm

chamith

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Oh... thanks kuk83.

That explains it, do u know anywhere in CSE they state about the method ??

kuk83 · 6 Re: Order placing algorithm Fri May 06, 2011 12:01 am

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chamith wrote:Oh... thanks kuk83.

That explains it, do u know anywhere in CSE they state about the method ??

No, i dont know.once i also got same problem.Then i contact my broker and they gave me those detail.

DK · 7 Re: Order placing algorithm Fri May 06, 2011 7:08 am

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Chamith: Your order got filled at an auction. This is what kuk3 has explained, but since it is specified in 'times' it might not be apparent.

rocksan · 8 Re: Order placing algorithm Fri May 06, 2011 9:19 am

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kuk83 wrote:Well, as far as i know this is like this.
Think A,B,C,D,E placed buy order for X @.50 before 9.30am.
Also F has placed a sell order for X @.50 before 9.30am.
When MKT open @ 9.30 A,B,C,D,E ll be get equal percentage from F.
But the sell orders that place after 9.30am ll be match according to priority.(if the person A is the 1st person who placed buy order @.50 his remaining quantity ll be filled 1st)

Thnks Useful info Laughing

lokka1 · 9 Faulty order execution Fri May 06, 2011 2:58 pm

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Gentlemen of the Forum,
I too had a similar problem and today I wrote to SEC regarding it. They promised to get back to me. Here are the facts:
On May 4th during trading hours I placed an order for 3000 shares of SEMB.X0000 at 0.80 and the order was for till filled or cancelled. On May 5th 100 shares were purchased and the order says partially filled and it is still open. But the curious thing is that many orders large and small were sold at that price. So the question is why my order still remains unfilled? I would assume that I was in the front of the queue and would be in the priority position. Can somebody explain this? Thanks.
Lokka1

DK · 10 Re: Order placing algorithm Fri May 06, 2011 3:24 pm

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Hi Lokka,
It is still the same thing, you are getting traded during the auction. You cannot assume that you are in front of the queue if your order got an execution during auction.

Refer kuk83's post at http://forum.srilankaequity.com/t3333-order-placing-algorithm#22602 it will explain better.

abc · 11 Re: Order placing algorithm Fri May 06, 2011 9:27 pm

abc

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kuk83 wrote:Well, as far as i know this is like this.
Think A,B,C,D,E placed buy order for X @.50 before 9.30am.
Also F has placed a sell order for X @.50 before 9.30am.
When MKT open @ 9.30 A,B,C,D,E ll be get equal percentage from F.
But the sell orders that place after 9.30am ll be match according to priority.(if the person A is the 1st person who placed buy order @.50 his remaining quantity ll be filled 1st)

I too have come across this situation specially for penny stocks. This (KuK83's example) can explain Chamith's experience only if time stamp on GTC orders are reset at every pre-open auction. Happening so is not logical in my opinion. However, CSE.lk do not define the "time" of the order in following.

http://www.cse.lk/270808/pdf/web_ats_rules/ats_rules_and_regulations_section_05_regular_trading.pdf

Does anyone know that time mean in ATS?

Is that either order placement time or time of last pre-open auction the order participated?