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Orders, Execution & Market Structure

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Orders, Execution & Market Structure

Iceberg Order

A large order that reveals only a small portion to the order book at a time, refreshing as each slice is filled.

Test: total quantity exceeds the disclosed quantity, and a fresh slice enters the book only after the previous one is fully executed qualitative Orders, Execution & Market Structure

Immediate-or-Cancel Order

An order that executes whatever quantity is available at once and cancels the remainder rather than resting in the book.

Test: any unfilled quantity is cancelled immediately on submission instead of joining the order book qualitative Orders, Execution & Market Structure

Impact Cost

The cost, expressed as a percentage, of executing a stated order size against the current order book relative to the mid price.

Impact Cost % = (Actual Execution Price - Ideal Mid Price) / Ideal Mid Price x 100 %