Mariner Backtesting - Orders

Overview of order submission in CQ Mariner

Order Handling Accumulation Strategy Order Types

These common order types are used when position size is the priority over price.

Large size can be filled without alerting the market to the presence of a large order.

• VWAP orders - Volume-Weighted Average Pricing
• TWAP orders - Time-Weighted Average Pricing

Simple Order Types

These order types have been designed to make developing and testing of model ideas as easy as possible.

• Market Order
• Limit Order
• Stop Market Order
• Stop Limit Order
• Market On Open/Close Order
• Limit On Open/Close Order
• Market If Touched Order
• Cancel
• Replace

These order types cannot be taken into Live trading, they must be replaced with Traditional Order types and custom handling and fill logic before taking a model live.

Order Types

These order types, when used in co-operation with custom logic and fill logic are used for Live models.

• Algo_Buy (Market or Limit)
• Algo_Sell (Market or Limit)
• Market on Open
• Market on Close
• Limit
• Immediate or Cancel
• Peg