Skip to Content
Learn Algorithmic Trading
book

Learn Algorithmic Trading

by Sebastien Donadio, Sourav Ghosh
November 2019
Beginner content levelBeginner
394 pages
10h 31m
English
Packt Publishing
Content preview from Learn Algorithmic Trading

GTD – Good Till Day

These orders get added to the book. If they match fully against existing resting orders in the book, then they don't get added, otherwise the remaining quantity on the order (which can be the entire original quantity if there's no partial match) gets added to the book and sits as resting orders that the incoming aggressors can match against. The benefits of GTD orders are that they can take advantage of FIFO matching algorithms by having better priorities than orders that just showed up in the book, but require more complex order management in trading algorithms.

Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Start your free trial

You might also like

High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems

High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems

Irene Aldridge
Developing High-Frequency Trading Systems

Developing High-Frequency Trading Systems

Sebastien Donadio, Sourav Ghosh, Romain Rossier

Publisher Resources

ISBN: 9781789348347Supplemental Content