Disclosed Quantity and Order Priority

[bpr]

but it makes perfect sense ...
If you have buy bid of 1000 qty and only 100qty disclosed is shown on DOM
say assume another 5 persons has similar bid as yours
then it shows 500 on DOM and your priority was 1.
The first time price touches the bid may be 100 qty is executed and 400 qty of others is still there on the DOM and the newly released 100 qty is released from your quota but this time the bid will show 500 qty but your priority will be 5.
Your non disclosed qty will have lesser priority than others disclosed qty.
Or in other words as long as the qty is not disclosed those orders are never live.
and whenever its disclosed they are live they are shown on DOM and gets prioritized at that instant.
Thanks for bringing this up good to know such issues.

 

[mathewscherian]

Sudris, thank you for your note.

I was under that impression too.. going by the explanation given in the NSE site :

"Disclosed Quantity (DQ)- An order with a DQ condition allows the Trading Member to disclose only a part of the order quantity to the market. For example, an order of 1000 with a disclosed quantity condition of 200 will mean that 200 is displayed to the market at a time. After this is traded, another 200 is automatically released and so on till the full order is executed. The Exchange may set a minimum disclosed quantity criteria from time to time."

Just like what Anurag has mentioned, I have experienced that after the buy of the initial disclosed quantity, the remaining quantity gets pushed back, most of the time the buy happens for the remaining quantity only if the price is going further down, resulting is loss of time and opportunity. I have checked with the broker, since there is no write up on how the matching criteria is carried out for undisclosed quantity, mostly every one is unsure. One member at the NSE NOW support team also shared the view that Undisclosed quantity gets cyclically pushed back in queue during automatic release.

I was further told that Team at NSE Exchange trading Dept. will be the best to confirm on this. Since I have witnessed interim trade happening for others (Observed in Snap window) while my order is pending after partial execution of the buy ordrer at same price, I think we need to consider that yes there is a definite push back in queue for undisclosed quantity on every automatic release.

 

[mathewscherian]

Thank you BPR, I think thats exactly how the system is working. One gets to understand this only through experience. NSE should have mentioned this critical information in its site.

 

[sudris]

bpr's explanation makes sense but don't you guys think it is contradicting the queue priority mechanism?

if the remaining DQ once released gets placed at the end of the queue then it have to have a separate order no. which, I guess, is not the case with DQ orders as their order no. remain unchanged.

I'd still request you to take up the matter with NSE trading dept if you have the log/records of your order and trades. it will help us all.

 

[anuragmunjal]

bpr's explanation makes sense but don't you guys think it is contradicting the queue priority mechanism?

if the remaining DQ once released gets placed at the end of the queue then it have to have a separate order no. which, I guess, is not the case with DQ orders as their order no. remain unchanged.

I'd still request you to take up the matter with NSE trading dept if you have the log/records of your order and trades. it will help us all.

I'll give u a simpler way, put in two orders to buy 1000 shares one after the other 2-3 ticks below the mkt price,
disclose 100 qty in the first order and do not disclose the 2nd order.. now u have the results in front of u.. u also have the log/records of ur orders and trades. pls take up the matter wid nse trading dept. and enlighten us all here..

 

[anuragmunjal]

if a person puts in a disclosed order.. what is his intention..he wants to fool the counterparty, in an attempt to get a better execution for himself..
on the other hand, if another order comes on the same rate, he will get a poorer execution... a simple matter of give & take..

 

[rvm123]

instead of putting disclosed qty at 10% level, give at 80% level. I think 80% is the max level accepted. In the software, I am using 80% is allowed. Hence if order Qty is 1500, disclosed qty may be put at 1200 instead of 150 as mentioned.