How orders are filled
What is OANDA doing?
OANDA is changing how some orders are executed. Orders will be triggered at the top of book , always using a level 1 price, but executed down the book, potentially filling at a level 2 price using market depth. This will align us with market convention.
Although the trigger for orders to be executed will be different, they will still be filled using Volume Weighted Average Price (VWAP).
For more information about price levels and VWAP, refer to below .
The following order types are impacted by these changes (Impacted Orders):
- Stop order
- Stop loss order
- Trailing stop loss order
- Guaranteed stop loss order
- Entry Orders for buy orders which are placed above the market
- Entry Orders for sell orders which are placed below the market
These order types will remain unchanged:
- Limit orders
- Entry Orders for buy orders which are placed below the market
- Entry Orders for sell orders which are placed above the market
Old way in which Impacted Orders were executed:
Historically, orders were triggered and executed against a volume weighted average price (VWAP), down the book or using a Level 2 price.
A VWAP is used to calculate the execution and trigger a price if the requested quantity of an order is greater than the amount of units available at the Level 1 or the “top of book” price. You can view the amount currently available at the Level 1 price by opening the depth of market (DOM) for an instrument on an order ticket.
In the example below, if a client placed an order at a price of 100 for 10,000 units, the order would not be triggered with the order book illustrated below, as the VWAP is 122 for 10,000 units - ( (1000 X 100) + (1000 X 110) + (3000 X 120) + (5000 X 130) ) / 10,000= 122.
| Price level (Market Depth) | Buy price per unit | Units (Liquidity) |
|---|---|---|
| 1 | 100 | 0 - 1000 |
| 2 | 110 | 1000 - 2000 |
| 3 | 120 | 2000 - 5000 |
| 4 | 130 | 5000 -10000 |
Your order will only be executed once the VWAP hits 100.
New way in which Impacted Orders will be executed
In this new method of triggering an order, the client does not need to wait for the trigger price in the market depth, but on the Level 1 or top of book price instead.
| Price level (Market Depth) | Price level (Market Depth) | Units (Liquidity) |
|---|---|---|
| 1 | 100 | 0 - 1000 |
| 2 | 110 | 1000 - 2000 |
| 3 | 120 | 2000 - 5000 |
| 4 | 130 | 5000 -10000 |
If you want to buy 10,000 units at a price of 100, then the order will be triggered at the top of book price i.e. 100 and will be filled at the VWAP price- which would be ( (1000 X 100) + (1000 X 110) + (3000 X 120) + (5000 X 130) ) / 10,000= 122
What does this mean for clients?
Although the trigger for orders to be executed will be different, they will still be filled using Volume Weighted Average Price (VWAP).
Additionally, this will mean that we will follow market convention, to make it more familiar for clients who trade or have traded with other brokers.
Clients who use charting for risk management should benefit from the change, as we’re charting level 1 prices rather than a VWAP price- so triggers for stop orders will align better with support and resistance levels.
Still have questions? Chat with an agent.