I am looking to implement FOK order handling in the order book. I know that FOK orders should be completely filled or canceled. I have two questions:

  1. If we have following state of the order book where we have two buy side orders sitting in the orderbook and a SELL FOK (Qty=150, Px= 10.11 or MKT) order comes in, then should it match with the first two buy orders or does there have to be one buy order with qty at least 150 for cross to happen?
Price Qty
10.12 100
10.11 100
  1. If we have no buy side orders in the book and a sell FOK (Qty 150) order comes in. Do we keep this order in the order book on the sell side for the whole day? Or do we cancel the order back immediately?
  • You didn't specify the price of the incoming order. Market Order is essentially an implicit Fill or Kill Order without a price.
    – base64
    Feb 17, 2022 at 13:28
  • I added the limit price for the sell FOK order.
    – SMA
    Feb 17, 2022 at 13:30

1 Answer 1

  1. As long as those 2 Buy orders are already inside the book, and that the 1st or 2nd Buy order does not have "All-or-None" attribute, the entire incoming Fill or Kill Limit Order to sell will be executed.

  2. An order that is not executed, or just partially executed, will not remain in the Order Book. It is the inherent definition of Fill or Kill.

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