Bid / Ask on ES

Quote from Banjo:

Everything on globex is a limit order. If you are using market orders then your broker is holding them on their server and sending them to globex when the price is hit. This places you further back in the que than the person who entered a limit order which was sent directly to globex and is already in the que by the time your mkt ordered is triggered. Globex does not accept mkt. orders.
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What??

A Market order to buy will get an immediate fill at the ask. A market order to sell will get an immediate fill at the bid.

Limit orders are held until the price is hit them it becomes a market order.

Make 'em pretty, Chris
 
Quote from Banjo:

Enters it at whatever price you defined. Doesn't matter that it happens to be bid or ask.
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Market orders are not entered at a particular price.

Market says you are willing to buy at whatever price is currently being asked.

Do you do this for a living??

Make 'em pretty, Chris
 
Banjo is right - there are no market orders on Globex, they are converted to limits. So you get faster execution with a limit buy ask/sell bid, provided there are still offers/bids by the time your order reaches Globex. I didn't know this - live and learn.
Market orders are better when bids/asks are disappearing fast, and a limit bid/ask would leave you hanging behind. See below.

http://www.cme.com/products/index/products_index_eministockindexfaq.cfm#q25

q25 How are E-mini market orders handled on GLOBEX?
a25 The GLOBEX trading host will convert all orders it receives without a specific price to limit orders: buy orders will become limit orders at the best offered price, sell orders will become limit orders at the best bid price. The GLOBEX system does not currently handle true "market orders." However, depending on the front-end software and connection, a user's trading application may have functionality that increases the likelihood that an order will be filled quickly at the best available price(s). Market users need to be aware of the functionality of the system they are using and how "market" orders are handled by that system.

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He seemed to be interested in speed. I was trying to get him to see that the mkt order has to spend time being converted to limit by his broker, albeit not much time, price may have moved on and he is further back in the que than if he simply entered a limit. If things are moving fast he could miss a fill he may have gotten if he entered limit.
I don't always expain things well during Fri. happy hours.
 
Think of it this way. Globex is a "matching" engine. For an instant the buyer and seller numbers matched and the transaction completed because both of them entered the same number. There was no spread , the matching engine doesn't know about spreads, just absolute numbers. This is why it forces you to enter an absolute number, if you enter mkt. orders on your front end at bid or ask it has to be converted to an absolute number to be matched. Even tho that conversion time may be a nanosecond you will be that nanosecond further back in the que and the person who entered a limit order will be filled first because he wasn't delayed that nanosecond. Also during the conversion process the b/a may change a tick before your brokers sftw converts it. Another thing to keep in mind is that it's important that your broker immediately passes the order on to globex making it "native ," held on globex's server instead of storing it on their own server and sending it to globex when the price is hit. If the broker goes down globex still has the order, this is especially true with exit orders, stops etc. ( stop limit on globex)
 
You may think that only a few shares are hit and the 'price moves on' but that's only the case part of the time. Many times 400 or 500 contracts or more will trade at once at one level.

Also, before trying to buy/sell at the bid/offer , look up the term 'selection risk' and get back to me.
 
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