Order (exchange) - Time in Force

Time in Force

A day order or good for day order (GFD) (the most common) is a market or limit order that is in force from the time the order is submitted to the end of the day's trading session. For equity markets, the closing time is defined by the exchange. For the foreign exchange market, this is until 5pm EST/EDT for all currencies except NZD.

A good-til-cancelled (GTC) order requires a specific cancelling order. It can persist indefinitely (although brokers may set some limits, for example, 90 days).

An immediate-or-cancel order (IOC) will be immediately executed or cancelled by the exchange. Unlike a fill-or-kill order, IOC orders allow for partial fills.

Fill-or-kill orders (FOK) are usually limit orders that must be executed or cancelled immediately. Unlike IOC orders, FOK orders require the full quantity to be executed.

Most markets have single-price auctions at the beginning ("open") and the end ("close") of regular trading. An order may be specified on the close or on the open, then it is entered in an auction but has no effect otherwise. There is often some deadline, for example, orders must be in 20 minutes before the auction. They are single-price because all orders, if they transact at all, transact at the same price, the open price and the close price respectively.

Combined with price instructions, this gives market on close (MOC), market on open (MOO), limit on close (LOC), and limit on open (LOO). For example, a market-on-open order is guaranteed to get the open price, whatever that may be. A buy limit-on-open order is filled if the open price is lower, not filled if the open price is higher, and may or may not be filled if the open price is the same.

Regulation NMS (Reg NMS), which applies to U.S. stock exchanges, supports two types of IOC orders, one of which is Reg NMS compliant and will not be routed during an exchange sweep, and one that can be routed to other exchanges. Optimal order routing is a difficult problem that cannot be addressed with the usual perfect market paradigm. Liquidity needs to be modeled in a realistic way if we are to understand such issues as optimal order routing and placement.