1.「Liquidation」 is implemented through a combination of APIs. It is targeted at not only orders generated in a certain quantitative strategy, but all open positions and all unfilled orders in an account.
2.「Liquidation」 will trigger a request to cancel orders or liquidate positions, but there's no guarantee that it will be done successfully. Here is how it works:
For liquidating positions only: All positions in the account are liquidated by placing opposite orders on a one-by-one basis.
For cancelling all orders and then liquidating positions: First, all unfilled orders in the account are cancelled, and then all positions in the account are liquidated by placing opposite orders on a one-by-one basis.
3. Order types for liquidation
Note: When using a limit order to close a position, the order price will be the 5th price level of opposite orders in the order book. If there are no opposite orders under the top 5 price levels each, that position will not be closed, and the system will continue to close other positions. Suppose you hold stocks of Vanke (SZ.000002). When using 「Liquidation」, the price of a sell limit order will be the 5th price level of buy orders in the order book.