सभी किताबें

पेशेवर

ऐप्स परिचय Coach लॉग इन पढ़ना शुरू करें

Quantitative Finance · शब्दावली

Cancel-replace क्या है?

Definition 10.3 Market Making and High-Frequency Trading · अध्याय 10 — The Quoting Engine

A cancel-replace changes a resting order’s price or size in one message, the venue cancelling the old order and entering a new one; under the usual venue rule the order keeps its place in the queue only if its size is reduced at the same price, and goes to the back for any other change.

The engine’s states for one order. Solid arrows are the engine’s own actions and the venue’s acknowledgements; dashed arrows are fills, which can arrive in any state; a fill received while a cancel is in flight is counted as a race. An increase in size is never an amendment: it is a new order at the same price. Source: firm.quoteengine.
Figure 10.1. The engine’s states for one order. Solid arrows are the engine’s own actions and the venue’s acknowledgements; dashed arrows are fills, which can arrive in any state; a fill received while a cancel is in flight is counted as a race. An increase in size is never an amendment: it is a new order at the same price. Source: firm.quoteengine.
अध्याय में पढ़ें →