F# for Quantitative Finance

Understanding order execution

Let's look at order execution and order flow for a moment. Order execution is where the orders are executed, typically at an exchange. For algorithmic trading, the buy side (trader) will often have their own order management system or order execution engine at the exchange, close to the exchange's trading servers. The orders at the exchange are typically limit orders; there are other types too. All other order types are considered to be synthetic orders or non-native orders. If you use a broker, you will never see this. But for high frequency trading, limit orders are considered to be the only native type. Market orders are simply limit orders with the current market price (from the top of book).

The following illustration ...