Is it possible that due to high volume during the start of the day that your order does not get executed? If my algo needs to make split second decisions based on the open price of NIFTY50 and execute a order immediately when market prices are highly volatile whats the likely hood my order is accepting and executed at the exchange?
Hi @keshav,
Orders are being executed at exchange in FIFO manner. Consider a scenario, you placed an order at price limit price 100 and it reaches Exchange at 9:16 AM and there is one more order with same price at it came to exchange at 9:15AM.
Now consider someone wants to sell at same price, exchange will consider first order and not yours.
If counter order is not met then it will not be executed.
@sujith How likely is this to happen, that you miss your opportunity? If I am already in a position and I can't square of my trade in time I might be in a loss.
@keshav, This is how the system works. It will be directly proportional to volatility. You can also use SLM order wherein, once trigger is hit a market order will be placed. One of the advantages of MIS position is that RMS will square off at market price if it is still open at 3:20 PM.
@sujith can you tell me whats the rate of order rejection / unfulfilled as of now on your system. How many orders are you not able to full fill with your API due to volatility. I need to know this if am suppose to build a profitable trading strategy.
@keshav If you are placing a market order to buy/sell, order rejection will never happen (only case where market order can get rejected is there is no liquidity in the scrip). If you place a limit order, price could move by the time your order hits the exchange and orders can go pending. But again, no rejection as such.
During volatility, when a lot more orders are getting fired, response times can go up significantly. Orders/response can get into queue in multiple places - our execution management platform, leased lines connecting to exchange, or even within the exchange (NSE has capacity to handle 50,000 orders a second). Again, orders are not really getting rejected.
Btw Kite connect is not really meant if you are trying to incorporate higher frequency trades.
@sujit@nithin thank for your response, I really appreciate it. Is it possible that I make a market order at a certain price but it gets executed after the price dips while I was expecting to go long that trade?
Orders are being executed at exchange in FIFO manner. Consider a scenario, you placed an order at price limit price 100 and it reaches Exchange at 9:16 AM and there is one more order with same price at it came to exchange at 9:15AM.
Now consider someone wants to sell at same price, exchange will consider first order and not yours.
If counter order is not met then it will not be executed.
This is how the system works. It will be directly proportional to volatility.
You can also use SLM order wherein, once trigger is hit a market order will be placed.
One of the advantages of MIS position is that RMS will square off at market price if it is still open at 3:20 PM.
During volatility, when a lot more orders are getting fired, response times can go up significantly. Orders/response can get into queue in multiple places - our execution management platform, leased lines connecting to exchange, or even within the exchange (NSE has capacity to handle 50,000 orders a second). Again, orders are not really getting rejected.
Btw Kite connect is not really meant if you are trying to incorporate higher frequency trades.
You should check out stoploss market order. Once your trigger price is hit a market order is placed.
For more information check out
http://zerodha.com/z-connect/tradezerodha/zerodha-trader-software-version/stop-loss-orders-limit-market