Disclosed Quantity and Order Priority

M

mathewscherian

New Member
#1
#1
Dear All,

Need your assistance in understanding the following.

my query is on "Disclosed quantity" and whether it has an impact on the priority queue of trade in the event of a partial execution.

For eg. I have placed an order for buying 1500 quantity of a share and disclosed the quantity as 150 (as per Min requirement 10%) at a price of Rs.12:55.

I could get 150 quantity executed and the rest 1350 was Pending as the share price went up to 12:60. After a while the share price returned to 12:55 but no execution took place even though I could observe multiple trades happening at Rs.12:55.

As per my understanding partially executed lot stands the first priority over others orders by "time priority". Please share your thoughts on whether one has a disadvantage on order execution priority by disclosing partial quantity.
 
A

anuragmunjal

Well-Known Member
#2
#2
If u disclose ur order, once ur disclosed part is filled, u will be automatically be pushed to the back of the que..as in ur case, once 150 out of 1500 gets filled, u will get the next fill once all the other orders at that rate get filled, unless ofcourse, a few other orders are 'discolsed' too..

regards
 
yusi

yusi

Well-Known Member
#3
#3
As a corollary to what anuragmujal has said, it should not be possible for the LTP to have gone to 12.60 without your order being fully executed.
 
M

mathewscherian

New Member
#5
#5
yusi said:
As a corollary to what anuragmujal has said, it should not be possible for the LTP to have gone to 12.60 without your order being fully executed.
Click to expand...
Thank you for your response Yusi, trying to understand with an example... did you mean to say at
Best Bid Price -12:55; Best Selling Price 12:60

Ex. My buy order is for 1500 @ 12.55, Quantity Disclosed 1500, will get fully executed first, without interruption even if some one puts a buy order higher that the best bid price?? say at Best Selling Price - 12:60
 
A

anuragmunjal

Well-Known Member
#6
#6
mathewscherian said:
Thank you Anurag. Really appreciated. Is there any place where this rule is specified for reference.
Click to expand...
hi

Sorry, no idea where this rule is specified..try checking nse's website....
practically, I faced this a few times many yrs back..

regards

ps. one practical piece of advise.. never put a buy or sell bid on 'freeze rate' with a disclosed qty.
 
yusi

yusi

Well-Known Member
#7
#7
LTP = Last Trade Price. In your first post, you mention that the price went up to 12.60. I assume that this refers to the traded price (as different from ask / selling price). A trade at 12.60 could not have taken place, so long as there were sellers at 12.55 irrespective of the disclosed quantity.

This means that you could not have seen a bid price of 12.55 unless your order was fully (1500) executed. The disclosed quantity may affect the priority in which the buyer/seller is matched but not the outcome.

If someone puts in an order at 12.60 or higher, and there are sellers at 12.55, the quantity available at 12.55 will be sold first (at a price of 12.55). If the order is larger than the total quantity at 12.55 (not disclosed quantity), then only will the trade take place at 12.60 or higher.

If you mention your scrip/time of order, perhaps it would be possible to check.
 
A

anuragmunjal

Well-Known Member
#8
#8
yusi said:
LTP = Last Trade Price. In your first post, you mention that the price went up to 12.60. I assume that this refers to the traded price (as different from ask / selling price). A trade at 12.60 could not have taken place, so long as there were sellers at 12.55 irrespective of the disclosed quantity.

This means that you could not have seen a bid price of 12.55 unless your order was fully (1500) executed. The disclosed quantity may affect the priority in which the buyer/seller is matched but not the outcome.

If someone puts in an order at 12.60 or higher, and there are sellers at 12.55, the quantity available at 12.55 will be sold first (at a price of 12.55). If the order is larger than the total quantity at 12.55 (not disclosed quantity), then only will the trade take place at 12.60 or higher.

If you mention your scrip/time of order, perhaps it would be possible to check.
Click to expand...
hi

what he possibly means is...he had a buy bid @ 12.55, 150 shares out of 1500 got filled...subsequently the price moved to 12.6...later on it came back to 12.55, stocks were traded @ 12.55 again, but he did not get a fill..

regards
 
sudris

sudris

Well-Known Member
#9
#9
@mathews, I'm not sure if what other fellow members are saying is true or appropriate but as per my understanding, once your 150 gets filled, another 150 (from remaining 1350)shows up in the marketdepth window (in the bid stack in your case. i.e. buy case)

below is the quote from NSE.

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.
Click to expand...
based on the above you can say that your order stands first in the queue @price 12.55 unless all 1500 filled, if there happen to be more "fresh or new" bids at same price 12.55. in short new bids @ 12.55 would get queued behind your order till it is completely filled/cancelled/modified.

you better check with your broker in this regard if you are sure that trades did happen at 12.55 and you got fill no more than the initial 150 provided, your order wasn't cancelled/modified from either your or his end.

and do update us here about the outcome.
 
You must log in or register to reply here.
Thread starter Similar threads Forum Replies Date
S How to Buy or Sell One Extra quantity, when Stoploss is triggered in Amibroker AFL? AmiBroker 0
A FYERS API- Disclosed quantity feature in Bo/Co Algo & Automated Trading 1
R EOD with Deliverables Quantity End of Day 0
M Trade Order Execution Priority & Disclosed Quantity General Trading & Investing Chat 1
P Please explain what is Disclosed Qty? Beginners Guide 6

Similar threads