金融交易与市场结构2013夏第二课.ppt

Important concepts Bid and Offer (ask) Best bid and offer Bid/ask spread Standing Orders Offer and demand liquidity Trade price Market Orders Trade with best price available Demand Liquidity/Immediacy Benefit and Cost: Guaranteed Fill Market Orders pay the spread Market Impact Execution Price Uncertainty Example：Market Order Limit order Trade with best price available with no worse than specified limit price Limit order placement: Limit Price Placement Buy Orders Sell Orders Best offer Marketable Behind the mkt =Best offer Marketable At the market Between spread In the market In the market =Best bid At the market Marketable Best bid Behind the mkt Marketable Standing limit orders as option to offer liquidity Option to trade not option contract The value of this option depends Limit price relative to the market How long will it stand Price volatility Valuable limit orders vanish fast Benefit and cost of limit order Compensation: Better price Risk of using standing limit price Execution uncertainty Buyer’s remorse Buyer’s remorse example: auction 作业 (3): 如果你要交易，你怎么选择使用market order 还是limit order Stop orders Definition Example Difference between stop orders and limit orders Stop orders and liquidity Other types of orders Market-If-Touched orders Tick-Sensitive orders Market-Not-Held Validity and expiration instructions Day-Order Good-until-Cancel Immediate-or-cancel Good-after-(some date) Market-On-Open Market-On-Close Other order instructions Spread Orders Display Instructions Substitution Orders Special Settlement Instructions Trading Sessions Continuous Markets Call Market Trading Hours Market Types Execution Systems Quote-driven dealer markets Order-driven markets Brokered Markets Hybrid Markets Order Driven Market Order precedence rules Price Priority Time Precedence Rule-based order-matching system Order routing system Order presentation system Order book 推荐阅读 金融交易与市场结构 2013年夏 第二课 This course is all about trading. The people who trade The market where they trad