1
Decision price
The market price when the strategy and risk engine approved the trade.
Lesson · Algorithmic and Automated Trading
Order Management and Execution
Select order types, manage open orders, control participation, and measure fill quality against the decision price and available liquidity.
Core concepts
What to understand
Keep the boundaries, state, and authority explicit.
2
Execution policy
Market, limit, time-sliced, or participation-based instructions with deadlines.
3
Fill quality
Completion rate, slippage, spread cost, market impact, and adverse selection.
Interactive lab
Execution Policy Lab
Compare market, limit, time-sliced, and participation execution under different order sizes, spreads, and market directions.
Execution Policy Lab
Deterministic synthetic educational data · no broker or live-market connection
SYSTEM MODEL
Process
Measure every execution decision
Execution policy should match urgency, liquidity, and strategy horizon.
Plan
Set quantity, urgency, price limits, participation, and deadline.
Execute
Manage child orders and broker updates without exceeding the parent intent.
Evaluate
Compare average fill and completion with the decision benchmark.
Knowledge check
Check your understanding
Select one answer for each question. Feedback appears immediately, and a wrong choice is answered on its own terms before the rule is restated.
1. A limit order primarily controls:
It can remain unfilled if the market moves away.
2. A large urgent order in thin liquidity can:
It may consume multiple price levels.
3. Execution quality should be measured against:
A benchmark connects fill quality to the original decision.
4. The decision price is $110.23 and eight time-sliced children fill at an average of $113.38. What is the slippage against the decision price?
(113.38 ÷ 110.23 − 1) × 10,000 = 286 bps. The children paid for thirty-six bars of a rising market, which is the cost of slicing an order through a trend.
Practical rules
- Define urgency and price limits before submission.
- Track parent and child quantities exactly.
- Measure completion and slippage for every order.
Common mistakes
- Using market orders without a liquidity rule.
- Replacing an order without accounting for cancel latency.
- Evaluating strategy returns without execution benchmarks.
References
Official reading
These sources cover algorithmic controls, market access, broker APIs, system operations, or security.
Alpaca · Working with Orders
Official example of submitting orders and receiving asynchronous order-status updates.
FINRA · Regulatory Notice 15-09
Official guidance on supervision, testing, controls, documentation, and monitoring for algorithmic trading strategies.