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hidden orders

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Market Wizard
Berlin, Europe
Trading Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
Fat Tails's Avatar
Posts: 9,798 since Mar 2010
Thanks: 4,236 given, 26,397 received

Order types

I think it is part of your homework to understand the different order types at trading venues. Particularly for stocks, you also need to explore issues like order routing and national best bid or offer.

Some stock exchanges pay large customers for orderflow or have special order types which are put on top of the order queue. High frequency trading in stocks is a rigged game, and even hedge fund managers failed to understand specific order types and then complained about it.

Suggested reading:

Barry Johnson: Algortihmic Trading and DMA (educational)
Scott Patterson: Dark Pools (easy read)
Michael Lewis: Flash Boys (easy read)
Haim Bodek: The problem of HFT (the kindle edition is cheap, the book is no fun to read)

For futures exchanges the order types are typically rather simple. However, you won't see stop orders as they are not sitting in the visible part of the order book. Also complex order types such as iceberg orders can be simulated by the broker.

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