How Pegged Orders Derive Prices from the Spot Order Book
Summary
The document explains pegged orders as limit orders whose working price is derived from the order book. A primary peg references the best price on the order’s own side, while a market peg references the best price on the opposite side; optional price-level offsets move the order deeper into the book. The guide covers use through REST, WebSocket, and FIX interfaces, and describes support in limit, stop-limit, and linked order lists.
Pegged pricing can update the price used when an order enters the book or, for contingent stop-limit orders, when its trigger condition occurs. The original submitted price and selected pegged price may be represented separately. Orders must satisfy applicable price and notional filters, and contingent orders can fail validation when triggered. The scope is explicitly spot trading, excludes market orders and stop orders that execute as market orders, and notes that smart order routing does not support the feature. Examples are fictional and omit commissions; the text gives mechanics rather than execution-quality results.
Key ideas
- A pegged order is a limit order whose price is selected from current order-book levels.
- Primary pegs reference the same side of the book, while market pegs reference the opposite side.
- Stop-limit pegs use the book price when the stop condition triggers, not necessarily when submitted.
- Pegged orders remain subject to applicable price and notional filters, including revalidation at trigger time.
- The guide applies to spot trading and provides no empirical comparison of fill quality or slippage.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.