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Immediate-or-Cancel Orders Do Not Rest on the Order Book

Article Quant Q&A · Author: Bob Marshall
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Summary

The note clarifies the time-in-force behavior of immediate-or-cancel orders. An IOC order attempts to execute immediately against available liquidity, and any unfilled quantity is canceled rather than left resting on the order book. In the example, a buy limit below the current ask would not execute and would be canceled.

To keep an order active for a period, a trader must use a different time-in-force setting or cancel it manually later. The answer addresses the basic order-lifetime question, but does not discuss venue-specific rules, partial fills in detail, or how IOC behavior interacts with different matching systems.

Key ideas

  • An IOC order does not remain on the order book after its immediate execution attempt.
  • Any quantity that cannot execute immediately is canceled.
  • A buy limit below the available ask will not execute in the stated example.
  • Use a different time-in-force setting or manually cancel later to keep an order active.

Tags

ExecutionMarket microstructure
Full text
# Do IOC Orders Stay on the Order Book for Any Period of Time


# Do IOC Orders Stay on the Order Book for Any Period of Time












I'm confused on whether or not an IOC (Immediate Or Cancel) order will stay on the order book for any period of time.

For example, if I place an IOC buy limit order at \$1.00 and the ask price is $1.01, is this order immediately cancelled? If so, do IOC limit orders always have to be at or above the ask when buying, or at or below the bid when selling in order to get executed?

If they do go on the book, is there some set duration of time they remain active?

## Answer by Bob Jansen (score 2, accepted)

https://quant.stackexchange.com/a/69630

They will not stay and therefore your conclusion is correct.

The behaviour you describe can be achieved by setting a time in force on the order or manually canceling after some time.

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.