Understanding Order Execution
Author: Ivan Egorov
In today’s article, we have decided to cover the topic of Order Execution. What is it? How does it work at TFB? What should brokers pay attention to?
We believe that having a basic understanding of every business process is one of the keys to success. Of course, everyone knows the idea behind order execution. Still, the actual process is not always transparent, and there are a variety of ways in which an order can be filled and the time delays associated with it.
Let’s start with a definition.
Order execution is a process of filling the buy or sell order on behalf of the trader. The process can be manual or automated. The order can go to A-book or B-book, and it can also go to a pool of Liquidity Providers (LPs) or a single LP.
How does the order execution work?
1. The trader opens an order in the MetaTrader terminal.
2. The order goes to the liquidity bridge (let's take Trade Processor as an example).
3. The bridge analyses the order and sends it to the liquidity pool in accordance with the routing configuration.
4. The bridge sends the order to LP or executes it in the Market Making pool with B-book.
In the case with A-book:
LP executes the order and sends the order confirmation with a final execution price back to the bridge.
In the case with B-book:
The bridge processes the order in the Market Making pool according to the predefined execution rules and markups.
5. The bridge sends the order execution confirmation back to the MetaTrader platform.
6. The trader receives the order confirmation with the execution price, time, and volume in the MT trading terminal.
The entire process of order execution only takes a few milliseconds.
What is order execution speed with Trade Processor?
Execution speed is one of the key criteria for traders. The faster the speed, the more volumes of trading are happening. More importantly, the faster the speed, the more chances your clients have to sell or buy at the price that they have requested. Subsequently, the speed has a direct effect on the profits of traders and brokers.
The liquidity bridge by TFB — Trade Processor (TP) — has a decentralised architecture. It allows it to process orders quicker compared to bridges with a centralised structure.
Below you can find some of the statistics of execution with TP that we have gathered during testing.
Execution time of a single order in TP is approximately 1 millisecond (ms). Includes the time it takes to send the order to LP (LMAX), wait for a response, and the response time itself.
Execution time of a single order in MT5 is approximately 4-5 milliseconds. Full cycle including the time to receive the order, send it to the bridge, and execute the order within the MT5 platform.
Execution time of 60 orders opened simultaneously in МТ5 is approximately 60-70 milliseconds. Execution time for each individual order among the 60 orders varies from 1-4 milliseconds on TP and from 4-10 milliseconds in MT5.
Bridge Execution Speed is 1ms, including LP.
MT5 Execution Speed is less than 5ms, including LP.
MT5 Highload speed is 750 orders per second, including LP.
Please note that actual execution time in a client's environment can vary. It depends on multiple factors, such as server configuration and lo
That is it for today. We hope that you have found the information useful. Did you know that Trade Processor supports six types of aggregation? You can read about it in a separate blog post.
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