November 2019
Beginner
394 pages
10h 31m
English
Content preview from Learn Algorithmic Trading
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Order
Order management is the main functionality of an initiator. An exchange must be capable of handling the following:
- New order (35=D): This message is sent for a trading indication. This message can describe numerous types of orders, such as Limit, Fill or Kill, and Market order.
- Cancel order (35=F): This message is sent to indicate that an order's been canceled.
- Amend order (35=G): This message is sent to amend an order.
The onNewOrderSingle function is the function that handles the orders that are sent by the initiator. This function needs to get the principal order features:
- Symbol (the ticker symbol)
- Side (buy or sell)
- Type (market, limit, stop, stop limit, and so on)
- Quantity (the quantity to be traded)
- Price (the price to be ...
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