The life of an order

• Instrument: what is traded, a futures contract, a share, an option. The exchange identifies it by a number or a symbol.
• Bid and ask (or offer): the prices at which someone is willing to buy and sell. The best bid and best ask are the top of book; the gap between them is the spread.
• Tick size: the minimum price increment, fixed per instrument. Prices are always a whole number of ticks (Module 10).
• Limit order: buy or sell a quantity at a given price or better. If it cannot trade at once, it rests in the book.
• Market order: trade immediately at whatever prices are available. Rare in professional trading, because the price is unbounded.
• Time in force: how long an order lives. Day orders rest until the session ends; IOC (immediate or cancel) trades what it can at once and cancels the rest; FOK (fill or kill) trades in full at once or not at all.
• Fill (execution): a trade against the order. An order can be filled in several partial fills.
• Maker and taker: the resting order provides liquidity (maker); the order that trades against it takes it (taker). Exchanges often charge them different fees.

1. Intent. The strategy decides to buy 10 at 100.25.
2. Risk checks. The gateway checks the order against limits (lesson 4). A failure stops it here.
3. Send. The order gets a client order id, is recorded as pending new, and is encoded and sent on the session.
4. Acknowledgement. The exchange accepts it and assigns its own order id: the order is new (live, resting). Or it rejects it: invalid price, closed market, risk limit at the exchange.
5. Fills. Each fill reports price and quantity. The order becomes partially filled, then filled when its quantity is exhausted.
6. Changes. The strategy may cancel the remainder or replace it (change price or quantity). Each request is pending until the exchange confirms it.
7. End. Filled, cancelled, expired or rejected. The order is done; its fills feed the position and profit and loss.

What makes order management hard is that requests and events cross in flight:

• Fill during cancel. The strategy sends a cancel; before it reaches the exchange, the order trades. The exchange sends a fill, then rejects the cancel because the order is already filled ("too late to cancel"). The system must count the fill and not assume the cancel worked.
• Replace and priority. On most venues, reducing quantity keeps the order's place in the queue, while changing the price or increasing quantity loses it, because the order is effectively new.
• Acknowledgement after fill. On some protocols, an aggressive order's fills may be reported before or in the same message as its acknowledgement.
• Unknown state. After a disconnect, the system does not know what happened to orders in flight. Session protocols resend missed messages on reconnection; until reconciled, those orders count against risk as if they might all fill.

So the position used for risk is not just filled quantity: it includes open quantity that could still fill, and pending requests are treated pessimistically.

For each order: client id, exchange id once known, instrument, side, price, original and remaining quantity, filled quantity and average price, state, and pending requests. Lookups are by client id (for the strategy) and by exchange id (for incoming messages), usually hash maps into an order pool with stable handles (Modules 2 and 3).

For the account: positions per instrument, both filled and including open orders; P&L; and counts against rate limits.

Independently, a drop copy from the exchange or broker (a separate feed of all the firm's executions) is reconciled against the system's own record, catching any discrepancy.

Walk the states in order, and then spend the time on the races and the bookkeeping. Interviewers ask this to see if you understand that the trading system's view of an order is always slightly behind the exchange's, and that the code must be correct in that gap.