larrybf -- not too familiar with the bonds, YI contracts are pretty thin, only a few hundred traded a day, so you can pretty much see each fill as it goes; perhaps there is some sort of discretionary limit order that is able to fill a tick or more beyond the limit price? Still don't see how it fits in to what I saw tho.
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ECBOT fill
- Thread starter illiquid
- Start date
illiquid -> I cannot find another info regarding your situation. I looked at cbot.com, they do not state any special order matching procedures for YI, so I assume it is first in / first serve.
Sorry - I cannot help you, I can only imagine... Maybe your oder was modified (your broker, maybe ??) after the first fills ?
larrybf -> eCBOT has native market orders which should have the highest priority over all and take out LMT orders according to the queque (FIFO).
Do you mean you do not get filled when joining the bid or when trying to take the offer ?
A point is, since 1/1/04, liquidity exploded, so it is more difficult to get filled when trying to join.
IMO eCBOT is lighting fast, so when trying to hit/take you should normally have no problems.
Sorry - I cannot help you, I can only imagine... Maybe your oder was modified (your broker, maybe ??) after the first fills ?
larrybf -> eCBOT has native market orders which should have the highest priority over all and take out LMT orders according to the queque (FIFO).
Do you mean you do not get filled when joining the bid or when trying to take the offer ?
A point is, since 1/1/04, liquidity exploded, so it is more difficult to get filled when trying to join.
IMO eCBOT is lighting fast, so when trying to hit/take you should normally have no problems.
larry, sorry, I did not read your post completetly.
You try to join the bid, or the offer. Ok.
If you have less fills recently, I am pretty
sure it is due to exploded volume / deeper books in eCBOT.
Since 1/1, the pit for bonds is nearly dead. Everybody is trying to enter limits ahead of the price level being reached, maybe cancel when being reached, just to be #1 in the book.
I call it the E-Mini effect, in the ES there
are obviously software programs playing this way...
You try to join the bid, or the offer. Ok.
If you have less fills recently, I am pretty
sure it is due to exploded volume / deeper books in eCBOT.
Since 1/1, the pit for bonds is nearly dead. Everybody is trying to enter limits ahead of the price level being reached, maybe cancel when being reached, just to be #1 in the book.
I call it the E-Mini effect, in the ES there
are obviously software programs playing this way...
Don't know if someone already anwsered this but different contracts trade based on different algorithms on ecbot.
"When trading starts again in the ag contracts on eCBOT on January 2 the CBOT will move to a pro-rata order sized based allocation algorithm rather than the first-in first out previously used. So rather than compensating the trader who is at a price first or fastest, trades are meted out based on a pro-rata distribution based on order sized. The bigger your order, the greater percentage of trades you get, though there are minimum and maximum levels built in. The more liquidity you provide to the marketplace with bigger orders, the more trade you get. This is very similar to the dynamics of the trading pit and one of the reasons this allocation algorithm is popular with some exchange members and other large traders.
This pro-rata algorithm will be applied to all of the commodity futures and options traded on eCBOT via Liffe Connect. You can find the whole list here: http://www.cbot.com/cbot/docs/42429.pdf. The CBOT contracts that will trade on a time-price based first-in first-out basis are the Treasury futures, Fed Fund futures and the Dow Jones Index and the Mini Dow index."
Here is the link to the whole article http://partners.futuresource.com/fbp/2003/121203.htm
"When trading starts again in the ag contracts on eCBOT on January 2 the CBOT will move to a pro-rata order sized based allocation algorithm rather than the first-in first out previously used. So rather than compensating the trader who is at a price first or fastest, trades are meted out based on a pro-rata distribution based on order sized. The bigger your order, the greater percentage of trades you get, though there are minimum and maximum levels built in. The more liquidity you provide to the marketplace with bigger orders, the more trade you get. This is very similar to the dynamics of the trading pit and one of the reasons this allocation algorithm is popular with some exchange members and other large traders.
This pro-rata algorithm will be applied to all of the commodity futures and options traded on eCBOT via Liffe Connect. You can find the whole list here: http://www.cbot.com/cbot/docs/42429.pdf. The CBOT contracts that will trade on a time-price based first-in first-out basis are the Treasury futures, Fed Fund futures and the Dow Jones Index and the Mini Dow index."
Here is the link to the whole article http://partners.futuresource.com/fbp/2003/121203.htm