Market orders – the way to get maximum control over transactional risk
Let’s start with the most simplistic (at least at first glance) type of order: the market order. A market order is an order to buy or sell a certain amount of an asset at a market price. By market price, we normally assume the best bid or the best ask (see Chapter 3, FX Market Overview from a Developer’s Standpoint, for the explanation of the best bid and ask), and most trading strategy developers test their ideas using only the best bid/ask historical data. So, we can add another record to our order ticket prototype, and this record represents the order type:
Figure 10.5 – Specifying the order type
We already saw (see again Chapter 3, FX Market Overview from a Developer’s Standpoint) that liquidity may have a substantial impact on how orders are executed in reality and it is considered quite a frequent situation when a single large order may move...