2017issue C0239-42
Ladder, trail, and average as one execution ticket
A chart ticket, a depth ladder, and an indicator-attached-order can share one live working order. That ticket has to stay consistent across visible book depth, a bounded trailing exit, and a moving-average reference.
- A chart-side ticket can hold many exits at once, set targets from trade size, and show open size, average entry, and open profit or loss.
- An indicator-attached-order can trail a moving-average line, while a trailing-stop and a modify-toward-last-price setting keep that exit from moving too far from the last trade.
- Order-book-depth on a ladder shows resting buy and sell size so the same working order can be placed and watched against visible liquidity.
- Playback and the choice of exit path make implementation-cost visible after the click, including a sale of a still-live option versus exercise.
The working order as one live object
The archive describes a chart-side order ticket, a depth-of-market ladder, and an indicator-attached-order that can stay on one live ticket.
Order-book-depth, a trailing-stop, and a moving-average reference are the three surfaces that ticket has to keep in view while the order is working.
What the chart ticket can carry
A chart-side order ticket can carry many simultaneous exits. It can set targets from trade size while it displays open size, average entry, and open profit or loss.
Chart shortcuts can submit buy-limit, buy market-if-touched, sell-stop-market, and sell-stop-limit orders. Breakeven and auto trailing stops can be drawn on the same chart.
A trailing exit bound to a moving average
An exit can be bound to a 20-period exponential moving average on a 15-minute equity-index futures chart. An optional offset above or below that average lets the order trail the line.
That binding is an indicator-attached-order: a working order whose trigger or limit is bound to a chart study rather than to a single fixed price. The moving-average is a lookback average of ordered prices that can serve as that moving reference.
A trailing-stop is a protective exit that is updated as price moves so loss or exposure stays a chosen distance from the market or from the attached reference. A modify-toward-last-price setting is described as a way to keep an indicator-attached-order from moving too far from the last trade.
Visible size on the ladder
A depth-of-market ladder can display resting buy and sell size, accept orders, and show a horizontal line when an attached indicator is touched. That display is order-book-depth: a price ladder that shows resting buy and sell size at successive prices so a working order can be placed and watched against visible liquidity.
Extra ladder columns can show unrealized profit or loss at each price versus average entry and the number of trades at that price. Resizing the window changes how many price rows appear.
Why the completed path can differ
Playback of historical or same-session data can be used to inspect why a completed trade path differed from the intended execution.
Implementation-cost is the gap between the intended economic outcome and the result after the chosen exit path is used. Closing a still-live option in the market rather than exercising it can retain remaining time value. One worked example assigned 50 points of intrinsic value and 10 points of remaining premium, so a sale captured 60 points versus 50 points after exercise and futures offset.
All readings on this track · 7 readings
- 1991Testing dealer inventory caps against a frozen order tape
- 2003Cheaper access still left a routing and cost problem
- 2006Order-book depth and passive flow for execution
- 2008Depth, close imbalances, and pairs on one clock
- 2012Checklist exits and the limits of visible book depth
- 2013Constructing forex orders from provider imbalance and book depth
- 2017Ladder, trail, and average as one execution ticket