Relative Order Pricing Logic
Relative Order Pricing Logic
When you submit a relative buy (sell) order, the offset amount is added to (subtracted from) the best bid (ask) price and the order is submitted as a limit order. The pricing algorithm continually monitors the market and will re-price and resubmit a relative order according to the following rules: (these rules are written from a buy order perspective. For a sell order, reverse the direction of market movement.)
NOTE: For relative orders with a "0" offset, the order is submitted as a limit order at the best bid/ask, and will move up and down with the market to continue to match the inside quote.
When the market advances beyond the current order price and the time since the last revision of the order price is less than five seconds, the order is re-priced to match the market quote.
When the market quote advances beyond the current order price and the time since the last revision of the order price is greater than five seconds, the order is re-priced to the market quote plus the offset.
When the market quote equals the current order price, and that quote is NOT issued by the current destination or by SOES, SuperSOES or SelectNet, and the time since the last revision of the order price is greater than five seconds, the order will be repriced to the market quote plus the offset.
When the market quote declines below the current order price, the current order price will stand.
For example, if the market is $50-50.25 for company XYZ and a customer enters a buy relative offset of $.10, the order would be submitted at $50.10. If the market moves to $50.11-50.36 within 5 seconds on the same exchange, the bid would be resubmitted at $50.11. If the order is not executed in 5 seconds and the market moves to $50.15-50.40, the order is resubmitted at $50.25. If the order is still not executed within 5 seconds and the market moves down to $50-50.25, the buy order is left at $50.25.