Spot Pegged Orders: Pricing, Supported Order Types, and Validation
Summary
This glossary explains spot pegged orders, which derive a limit price from the order book instead of requiring a fixed price. A primary peg references the best price on the same side of the book; a market peg references the best price on the opposite side. Price-level offsets can move the chosen price further into the book. The document outlines how these instructions are represented across REST, WebSocket, and FIX interfaces, and notes that smart order routing does not support them.
It describes use with limit, stop-limit, OCO, OTO, and OTOCO orders, including when conditional orders enter the book and which order types cannot be pegged. Eligibility depends on the trading symbol's exchange information. Applicable price and notional filters are checked against the selected price, and a supplied limit price must also pass validation. Conditional and pending orders may be checked again when triggered and can then be rejected. The examples are fictional, cover spot trading only, and omit commissions; the text does not quantify execution quality or slippage.
Key ideas
- A pegged order is a limit order whose price is derived from the order book.
- Primary and market pegs reference the best price on the same and opposite sides of the book, respectively.
- Offsets can adjust a peg by moving its price level into the order book.
- Pegged instructions support several limit and conditional order structures, with restrictions by order type.
- Orders must pass applicable filters at the selected price and may be revalidated when triggered.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.