Exchange Order Types Depend on Venue Rules and Matching

Summary

The document explains why electronic order behavior cannot be learned from one universal description. Exchanges differ in the order types they support and in their matching rules, which determine matters such as queue priority and the effects of order changes. Topics raised include hidden orders, partial cancellations, fills, and book uncrossing, with the question seeking a consolidated introduction beyond protocol specifications.

The answer recommends exchange materials as learning references, including an NYSE overview of order types and Brazilian exchange operating regulations. These sources illustrate venue-specific mechanics rather than defining rules that apply across all markets. The note itself does not detail how any particular order type behaves, compare the cited venues, or discuss latency and implementation; readers must consult the relevant venue documentation for current rules.

Key ideas

• Electronic order types and matching rules vary by exchange.
• Queue position can depend on venue-specific rules and order modifications.
• Hidden orders, partial cancellations, fills, and book uncrossing are useful topics for studying order behavior.
• Exchange factsheets and operating regulations can introduce venue mechanics.
• Venue documentation is needed to determine the rules that apply to a specific market.

Tags

# What is a good source to learn the different nuances of electronic orders and their nature?


# What is a good source to learn the different nuances of electronic orders and their nature?












Today I was speaking with someone involved in high frequency trading. They were mentioning hidden orders, queue positions (which can be lost in the orderbook based on certain order modifications), partial cancels, fills, uncrossing the book. What would be a good hopefully consolidated source to learn about all of this short of trying to read the Pitch/Itch protocol specs?

## Answer by kurast (score 5, accepted)

https://quant.stackexchange.com/a/3605

Each venue will allow diferent order types, and will have different matching rules (the queue positions you mentioned), so this is not general to the whole market, but this is a paper from Nyse that is pretty much explains most of the order types I have heard of:

http://www.nyse.com/pdfs/fact_sheet_nyse_orders.pdf

Also, one factsheet/regulation from the BMF&Bovespa (Brazilian exchange):

http://www.bmfbovespa.com.br/en-us/rules/download/Operational-Regulations-Chapter13.pdf

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.