assignment orderbook
TRANSCRIPT
Name : Swadha Awasthi Roll no.: M127/14ORDER BOOK
Bid Volume Bid Quote Ask Quote Ask Volume
20 110 <-Match -> 110 30
40 109 111 40
50 108 112 50
300 107 113 180
4000 106 114 5000
Total 5630000 6820000
QA. What would be the order book position after the quote match indicated above.
Bid Volume Bid Quote
Ask Quote
Ask Volume
1040 109 111 4050 108 112 50
300 107 113 1804000 106 114 5000
Total
5629980 6819980
QB. Prepare status of order book after arrival of each of the following orders to the market (in a series on a particular date) where the beginning order book status is given above (assume a price time priority and allow for partial fill-up of orders).
New orders
Time Order Units Quote Special instructions
1. 10:00 am Buy 30 market order Stop loss 105
Bid Volume Bid Quote
Ask Quote
Ask Volume
20 11040 109 111 4050 108 112 50
300 107 113 1804000 106 114 5000
Total 5630000 6819970
2. 10:01 am Sell 20 market order
Bid Volume Bid Quote
Ask Quote
Ask Volume
40 109 111 4050 108 112 50
300 107 113 1804000 106 114 5000
Total 5629980 6819970
3. 10:02 am Buy 10 limit 109
Bid Volume Bid Quote
Ask Quote
Ask Volume
50 109 111 4050 108 112 50
300 107 113 1804000 106 114 5000
Total 5629990 6819970
4. 10:03 am Buy 1000 limit 109
Bid Volume Bid Quote
Ask Quote
Ask Volume
1050 109 111 4050 108 112 50
300 107 113 1804000 106 114 5000
Total 5630990 6819970
5. 10:04 am Sell 200 limit 111
Bid Volume Bid Quote
Ask Quote
Ask Volume
1050 109 111 24050 108 112 50
300 107 113 1804000 106 114 5000
Total 5630990 6820170
6. 10:05 am Short sell 5000 limit 110 Stop loss 115
6)Bid Volume Bid
QuoteAsk Quote
Ask Volume
110 50001050 109 111 240
50 108 112 50300 107 113 180
4000 106 114 5000
Total 5630990 6825170
QC. What would be the implications of Special instructions to the broker for order at 10:00 am and order at 10:05 am.?
Ans: Order at 10:00am is a stoploss order whereas the one at 10:05am is a stop loss limit order. The later has less risk of loss than the former.
In the former order, execution will happen when prices drop to 105 in the market and position will close out. Whereas order at 10:05am will get executed only when the after fall again rise to 110.