A High Frequency Trader's Apologia, Part 1

Re:A High Frequency Trader's Apologia, Part 1 by tptacek on Tuesday April 17, 2012 @06:37PM (#3855402)

Huh? If Alice places a limit sell at $9.90, Bob's limit buy at $10.05 order will execute at $9.90. The limit price of the standing order is the one that prices the trade.

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Re:A High Frequency Trader's Apologia, Part 1 by Peaker on Wednesday April 18, 2012 @06:54AM (#3857353)

Oh, thanks for correcting my misunderstanding. So in general, sell "min_price" really just means sell "price"? Or are there circumstances that it would sell above that price?

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Re:A High Frequency Trader's Apologia, Part 1 by cynix on Wednesday April 18, 2012 @11:02AM (#3858257)

As explained above, if Bob's $10.05 buy order was in the order book first, then Alice's $9.90 sell order would trade with Bob's buy order at $10.05.

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