Order Execution

Supported Order types

The following order types are available:

  • Immediate or Cancel (IOC) orders to trade immediately on the best available terms, with or without a defined tolerance.
  • Resting Limit, Market, Stop and Stop Limit orders for longer durations i.e. Day Order, Good till Cancelled etc.

Trailing Stops, where a Stop order can be specified to trail the market are supported.

All Resting Limit and Stop orders can be placed as either:

  • Day Order (DO): Valid until the official close of trading on the day the order is placed (or on the subsequent business day for orders accepted during the weekend)
  • Good till Date (GTD): Valid until the official close of trading on a date of your choice​
  • Good till Cancelled (GTC): Valid indefinitely unless or until specifically cancelled by you
​​

Market Orders

A Market order is a traditional 'at best' instruction to trade as much of the order as possible on the best available terms in the market.

Market IOC (Immediate-or-Cancel) order - An instruction to buy or sell as much of the order as possible, immediately. Immediately means the order is placed with a 3 second Time-to-Live (TTL). A Market IOC order can result in a partial fill. If the order cannot be filled in full, any remaining amount will be cancelled. Price Tolerance cannot be added to a Market IOC order, meaning that the client cannot control the execution price range.

Market order - A Market order with Day duration to buy or sell as much of the order as possible on the best available terms in the market. A Market order can result in a partial fill. If the order cannot be filled in full, any remaining amount will continue working for the set duration.​

Limit Orders

A Limit order is an order to trade at a specified price or better if it is possible to do so within a specified time.

  • Limit orders to buy can only be placed below the current market price
  • Limit orders to sell can only be placed above the current market price

Limit IOC (Immediate-or-Cancel) order – An instruction to buy or sell as much of the order as possible at the client’s specified price, or better, immediately. Immediately means the order is placed with a 3 second Time-to-Live (TTL). A Limit IOC order can result in a partial fill. If the order cannot be filled in full, any remaining amount will be cancelled.

Resting Limit order – A Limit order with variable duration (Day, Good till Cancelled etc.) that rests at Saxo Capital Markets ​at a specific price until triggered, cancelled or expired. A Resting Limit order can result in a partial fill. If the order cannot be filled in full, any remaining amount will revert to a 'resting order'.

Stop Orders

A Stop order is usually used to close a position when the market is going against it with a view to prevent further losses. It may also be used to open a position when the market moves through a chosen level. All Stop orders are triggered on the opposite side of the spread. These orders are typically filled at the stop level adjusted for the spread at the time.

A Stop order placed to Buy is treated as a Stop if Bid. A Stop order placed to Sell is treated as a Stop if Offer. This is to prevent orders from being triggered just because of a temporary large spread (maybe for a split of a second) as opposed to actual buyers and sellers being present in the market.

  • A Stop order to buy will be triggered when the bid price at which the client could undertake a transaction of equivalent size reaches the specified price level. Once triggered, the order will be treated as a Market order.
  • A Stop order to sell will be triggered when the offer price at which the client could undertake a transaction of equivalent size reaches the specified price level. Once triggered, the order will be treated as a Market order.

Saxo's order management system has certain client protection mechanisms in place that ensures that the vast majority of orders are filled on transparent prices without any slippage. Please see our historical Stop order fill statistics in the Order Driven Execution Statistics section below.

Stop Limit order – A Stop Limit order with variable duration (Day, Good till Cancelled etc.) that rests at Saxo at a specific price until triggered, cancelled or expired. Once the price is triggered, the Stop Limit order is converted into a Resting Limit order at the Stop price. A Resting Limit order can result in partial fills. If the order cannot be filled in full, any remaining amount will revert to a 'resting order'​. Trailing Stop Limit orders are not available.

Manual Order fill

Typically, only a very small proportion of orders placed with Saxo require manual intervention.

Manual intervention may occur when the order is:

  • Large in size and cannot be automatically traded
  • There are highly volatile and/or illiquid market conditions
  • In an illiquid currency pair

During illiquid market conditions there are fewer market participants and thus dealers will need to check the price and also that the desired trade amount is actually available in the market.

Partial Order fill

A partial fill may occur in the event that there is not enough liquidity available at the price and/or at the size that the client wishes to trade.

An Immediate of Cancel (IOC) order will continue working until the full amount is filled as long as it is within the 3 second Time to Live (TTL), after which time the order will expire. If an IOC order is only partially filled any remaining amount will be cancelled.

A Resting order will continue working until the full amount is filled as long as it is within the set duration (i.e. Day, Good till Cancelled etc.). If a Resting order is only partially filled, any remaining amount will revert to a ​'resting order'.


Order Driven Execution Statistics

Average slippage, price improvement and rejection rate

The table below shows the following execution statistics for Saxo Capital Markets’ most traded FX Spot instruments.

  • Average slippage
  • Average price improvement
  • Average rejection rate

The statistics are based on simulated trade attempts using a Limit IOC order based on Saxo Capital Markets’ actual market prices, trade frequency and volume for the period May 2016 to October 2016.

How to read the table:

The majority of trade attempts using a Limit IOC order were filled with positive or zero slippage. For example, 81.4% of trade attempts in EURUSD were filled with positive or zero slippage, resulting in an average price improvement of 0.0031%. For all trade attempts in EURUSD, on average only 0.8% were rejected when applying default Price Tolerance of 0.01%.

Currency Pair Positive or Zero slippage Negative slippage Average Price Improvement* Average Rejection Rate**
EURUSD 81.4%18.6% 0.0031% 0.80%
USDJPY 79.8%20.2% 0.0042% 1.40%
GBPUSD 77.8%22.2% 0.0057% 2.40%
XAUUSD 76.1%23.9% 0.0048% 2.30%
AUDUSD 83.0%17.0% 0.0045% 1.50%
USDCAD 78.8%21.2% 0.0029% 0.80%
GBPJPY 71.7%28.3% 0.0063% 3.40%
EURJPY 75.2%24.8% 0.0036% 1.60%
EURGBP 80.1%19.9% 0.0051% 1.60%
NZDUSD 83.1%16.9% 0.0067% 1.80%
XAGUSD 83.0%17.0% 0.0116% 4.90%
AUDJPY 77.5%22.5% 0.0051% 2.00%
USDCHF 84.9%15.1% 0.0034% 0.80%
USDTRY 83.7%16.3% 0.0071% 1.60%
AUDNZD 86.3%13.7% 0.0041% 0.70%
USDRUB 86.7%13.3% 0.0047% 1.40%
TRYJPY 86.6%13.4% 0.0167% 4.50%
EURNOK 81.0%19.0% 0.0020% 0.40%
EURAUD 80.6%19.4% 0.0031% 0.90%
EURCHF 86.6%13.4% 0.0022% 0.40%

*Average price improvement for trade attempts filled with positive slippage, regardless of the Price Tolerance.
** Average Rejection Rate for trade attempts with default Price Tolerance of 0.01%.

Net Average Price Improvement and Rejection Rate by Price Tolerance

The table below shows average price improvement and average rejection rate, based on Price Tolerance of 0.00% to 0.05%. The statistics are based on simulated trade attempts using a Limit IOC order based on Saxo Capital Markets’ actual market prices, trade frequency and volume for the period May 2016 to October 2016.

How to read the table:
Lower Price Tolerance may result in higher average price improvement, however it is important to note that this comes at the expense of a higher rejection rate. For example in EURUSD, Price Tolerance of 0.00% would result in an average price improvement of 0.0007% but at the expense of an 18.6% rejection rate.

Average Price Improvement
Instrument 0.00% 0.01%* 0.02% 0.03% 0.04% 0.05%
EURUSD0.0007%0.0002%0.0001%0.0001%0.0001%0.0001%
USDJPY0.0012%0.0005%0.0004%0.0003%0.0003%0.0002%
GBPUSD0.0018%0.0009%0.0006%0.0005%0.0005%0.0004%
XAUUSD0.0015%0.0005%0.0003%0.0002%0.0002%0.0001%
AUDUSD0.0010%0.0004%0.0002%0.0001%0.0001%0.0001%
USDCAD0.0008%0.0002%0.0001%0.0001%0.0001%0.0001%
GBPJPY0.0025%0.0012%0.0009%0.0008%0.0007%0.0006%
EURJPY0.0012%0.0004%0.0003%0.0002%0.0001%0.0001%
EURGBP0.0013%0.0006%0.0005%0.0004%0.0004%0.0003%
NZDUSD0.0014%0.0008%0.0006%0.0005%0.0005%0.0004%
XAGUSD0.0025%0.0016%0.0012%0.0009%0.0007%0.0007%
AUDJPY0.0015%0.0006%0.0004%0.0003%0.0003%0.0003%
USDCHF0.0006%0.0002%0.0001%0.0001%0.0001%0.0001%
USDTRY0.0014%0.0009%0.0008%0.0007%0.0006%0.0006%
AUDNZD0.0007%0.0002%0.0002%0.0002%0.0001%0.0001%
USDRUB0.0007%0.0003%0.0001%0.0001%0.0000%0.0000%
TRYJPY0.0026%0.0019%0.0015%0.0013%0.0012%0.0011%
EURNOK0.0005%0.0001%0.0001%0.0000%0.0000%0.0000%
EURAUD0.0008%0.0002%0.0001%0.0001%0.0001%0.0000%
EURCHF0.0004%0.0001%0.0001%0.0000%0.0000%0.0000%

*Default Price Tolerance for FX Limit IOC orders.

Average Rejection Rate
Instrument 0.00% 0.01% 0.02% 0.03% 0.04% 0.05%
EURUSD18.6%0.8%0.2%0.1%0.0%0.0%
USDJPY20.2%1.4%0.5%0.2%0.1%0.1%
GBPUSD22.2%2.4%1.0%0.5%0.3%0.2%
XAUUSD24.0%2.3%0.7%0.3%0.1%0.1%
AUDUSD16.9%1.5%0.3%0.1%0.1%0.0%
USDCAD21.2%0.8%0.1%0.0%0.0%0.0%
GBPJPY28.2%3.4%1.5%1.0%0.7%0.5%
EURJPY24.9%1.6%0.6%0.3%0.2%0.1%
EURGBP19.9%1.6%0.5%0.3%0.2%0.1%
NZDUSD16.9%1.8%0.5%0.3%0.1%0.1%
XAGUSD17.0%4.9%2.2%0.9%0.5%0.4%
AUDJPY22.5%2.0%0.6%0.3%0.2%0.1%
USDCHF15.1%0.8%0.2%0.1%0.0%0.0%
USDTRY16.3%1.6%0.7%0.4%0.2%0.2%
AUDNZD13.7%0.7%0.2%0.1%0.0%0.0%
USDRUB13.2%1.4%0.5%0.2%0.1%0.0%
TRYJPY13.4%4.5%2.4%1.6%1.2%1.0%
EURNOK19.0%0.4%0.0%0.0%0.0%0.0%
EURAUD19.4%0.9%0.2%0.1%0.1%0.0%
EURCHF13.4%0.4%0.1%0.0%0.0%0.0%

The value of your investments can go down as well as up.
Losses can exceed deposits on margin products. Please ensure you understand the risks.

 
Saxo Capital Markets UK Limited is authorised and regulated by the Financial Conduct Authority, Firm Reference Number 551422. Registered address: 26th Floor, 40 Bank Street, Canary Wharf, London E14 5DA. Company number 7413871.

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