Automated Trade Executor

Limit orders for most situations - they control slippage. Use market orders when you need certainty of fill (e.g., urgent stop loss, highly liquid stocks). For entries, limit orders let you define your price.

Main causes: (1) Market moves between your decision and execution. (2) Crossing the bid-ask spread. (3) Your order size exceeds available liquidity. (4) High volatility. Limit orders eliminate slippage beyond your price.

After buying, place a sell stop order below your entry at your predetermined stop level. For most brokers, order type is 'Stop' or 'Stop Market'. The stop becomes a market order when triggered. Consider 'Stop Limit' for more control.

It remains open until it fills, you cancel it, or it expires (Day orders expire at close; GTC after 30-90 days). You can modify the price to be more aggressive, convert to market, or cancel if the opportunity passed.

Yes, at various levels. Basic: Use bracket orders to automate stop/target. Intermediate: Set alerts that prompt you to trade. Advanced: Use broker APIs (Questrade, IBKR) to fully automate execution based on your rules.

Options: (1) Keep order, wait for more fills. (2) Modify price to complete fill. (3) Cancel remainder. Decision depends on time urgency, signal validity, and whether the partial fill alone is worth managing.

Smart routing automatically sends your order to the venue (TSX, Alpha, etc.) offering best execution. Factors include best price, available liquidity, speed, and fees. Most retail brokers do this automatically.

Track: (1) Slippage vs expected price. (2) Fill rate. (3) Speed. (4) Compare to VWAP. Aggregate over time to see patterns. Implementation shortfall captures total execution cost vs ideal.

Limits are safer (control slippage) but may not fill in fast markets. For must-fill situations (stops, urgent exits), market orders. Use wider limit prices to increase fill probability while maintaining some control.

Break into smaller pieces executed over time. Methods: (1) Manual splitting every X minutes. (2) TWAP - equal size every interval. (3) VWAP - proportional to volume. (4) Use broker's algo if available. Goal: reduce market impact.

Components: Signal handler, validator, order manager, broker adapter, position tracker, risk monitor. Connect to broker API (IBKR TWS API or Questrade REST). Implement pre-trade checks, order lifecycle management, error handling. Test extensively in paper trading.

Pre-trade: Position limits, capital check, price validation. During: Max order rate, trading hours check. Circuit breakers: Max daily loss, error rate limits, emergency stop. Post-trade: Reconciliation, discrepancy alerts. These prevent catastrophic errors.

TCA: Measure all costs systematically. Identify patterns (time of day, order size, stock characteristics). Test changes (different order types, timing, algorithms). Implement improvements. Iterate. Execution optimization is ongoing.

FIX (Financial Information eXchange) is a low-latency protocol for institutional trading - very fast but complex. REST APIs (like Questrade) are simpler HTTP-based interfaces, adequate for retail speeds but higher latency. Choose based on speed needs.

Monitor exchange status feeds. On halt: pause new orders, cancel open orders if possible, prevent stops from triggering at reopening gap. On resumption: assess new price level, resume cautiously. Build halt detection into your circuit breakers.