ES fill price anomaly question

zx12 · Sep 25, 2009

This is a difficult question I think. When you put in a buy limit order. ie. buy at 1050.00, the order will NOT get filled until the last price hits 1050.25! This happens without fail! Some say I am am wrong. But I could have sworn someone here said it was a known fact & there was even a term for it, something to do with the Globex exchange. I have searched for the thread, no luck. Can someone positively confirm or deny this?

thanks

R. Raskolnikov · Sep 25, 2009

in order to 100% guarantee a 500 buy fill, price MUST trade 475 or completely sweep the entire 500 bid (which includes your bid) and immediately replenish 500 bid without a 475 print. Sometimes you will get filled on a limit order w/o price trading through but its no guarantee.

tomahawk · Sep 25, 2009

Quote from zx12:

This is a difficult question I think. When you put in a buy limit order. ie. buy at 1050.00, the order will NOT get filled until the last price hits 1050.25! This happens without fail! Some say I am am wrong. But I could have sworn someone here said it was a known fact & there was even a term for it, something to do with the Globex exchange. I have searched for the thread, no luck. Can someone positively confirm or deny this? thanks

I think you mean 1049.75, and it's called "slippage". That's because there is unsufficient supply at the ask to fill all the orders of buyers at 1050.00 limit.

Something like that.

zx12 · Sep 25, 2009

Thanks for the replies guys. No, I mean with the ES you will never get filled, long or short without being down 1 tick to start with! You will get stopped out, but never filled! I don't think it's slippage, but I am not sure.

marine · Sep 25, 2009

Do you execute through a broker or have DMA?

If you go through a broker then check with them because they might have some type of smart routing algo.

minmike · Sep 25, 2009

Quote from zx12:

Thanks for the replies guys. No, I mean with the ES you will never get filled, long or short without being down 1 tick to start with! You will get stopped out, but never filled! I don't think it's slippage, but I am not sure.

I'm not even sure what that means, but no. nothing like that happens

flipflopper · Sep 25, 2009

Thank you for starting this thread. I called IB about this as well.

Lets say I have a limit order to sell at 1050.00 and I'm watching my DOM ladder.

I see that the offer at 1050.00 has 358 contracts. I keep watching I see small lots go through then I see a 400 lot go through at the offer and I'm not filled!??! That means I am sure that more contracts traded then there were when I first joined the offer. You can always suspect this but when an order goes through at that price that is more then offer then this seems like robbery.

WTF is that?!?! I didn't think it was possible but I see it happen all the time.

Anyone really know why?

tomahawk · Sep 25, 2009

Quote from zx12:

Thanks for the replies guys. No, I mean with the ES you will never get filled, long or short without being down 1 tick to start with!

In general, that's correct ... that's your slippage, where it needs to trade through your limit by 1 tick for you to get filled. Your "being down 1 tick to start" is the price you see right after you get filled.

Quote from zx12: You will get stopped out, but never filled! I don't think it's slippage, but I am not sure.

If your stop is 1 tick, yes you will almost certainly get stopped out. Don't know what else you could mean, but a 1 tick stop is crazy.

Edit: IMO playing a single tick game on ES (or anything for that matter) is a hopeless situation. You can't be worrying about a 1 tick slip on either end - you need to play for many ticks, and risk many in order to win. True the tick size in ES is huge, which is why it's such a tough market to beat. But you will almost always have to forfeit a tick or 2 on entry and exit.

R. Raskolnikov · Sep 25, 2009

THIS is a different story than I think the OP is talking about. This is BS if you didn't get filled. Did you check the tape to make sure that indeed 400 lots went off? Sometimes the DOM may show that something printed when it did not.

Anyways, this is def something you should ask your broker about.

Quote from flipflopper:

Thank you for starting this thread. I called IB about this as well.

Lets say I have a limit order to sell at 1050.00 and I'm watching my DOM ladder.

I see that the offer at 1050.00 has 358 contracts. I keep watching I see small lots go through then I see a 400 lot go through at the offer and I'm not filled!??! That means I am sure that more contracts traded then there were when I first joined the offer. You can always suspect this but when an order goes through at that price that is more then offer then this seems like robbery.

WTF is that?!?! I didn't think it was possible but I see it happen all the time.

Anyone really know why?

R. Raskolnikov · Sep 25, 2009

For a stop only 1 lot needs to print to trigger you, for a buy or sell limit, the entire bid or offer must print to GUARANTEE you a fill.

1 tick is the spread in ES, rarely will you ever be in the money from the get go unless you happen to limit the low tick, it fills and immediately reverses in your favor.

Quote from zx12:

Thanks for the replies guys. No, I mean with the ES you will never get filled, long or short without being down 1 tick to start with! You will get stopped out, but never filled! I don't think it's slippage, but I am not sure.