filling ES with Limit order on bid: timings

Quote from saico:

Just for an example: I enter a buy limit order (ES contract) with a limit price +3 of the current ask. A second trader does the same order with a limit +2, at the same time. Does the limit order which is nearer to the current ask in normal market conditions guarantee a better execution price, or a faster execution because of a better position in the Globex system?

Thx
Saico

Germany
More...

Always price then time priority.
 
Saico,

If your price is entered at the same price as several other hundred traders...you can observe volume being offered and the fills on your depth of market. You must be fairly treated and they put you in line. It is a very sophistacated computer with a very simple FIFO (first ni first out) method.

Michael B.
 
I'm asking, because I am still not sure which offset value to use for my tws limit order setup to prevent to miss orders in faster markets (I'm still talking about ES trading). So it would not be a disadvantage when using a higher value, lets say 5, comparing to a lower one?

Saico
 
Saico,

What you are asking is a stock daytraders rule known as...

"LEADING THE BID OR ASK TO GET THE PRIORITY FILL"

I must admit I do not know how the electronic market (ES)handles this and you have a good question...has anybody tested this?

Michael B.
 
Quote from allesim:

I trade ES and NQ

For ES, usually I place LMT orders like
BUY on BID
SELL on ASK

During 9:40 - 11:00 I got executed with at least 10 secs delay.
Sometimes 15-25 secs.
I got executed faster (2-5 secs) only if trade goes against me.

For NQ, no matter which time-frame, no matter if trade goes against me or not, executions are much faster (2-10 secs).

Questions:

1.
How long does is take averagely to your order to get filled, supposing you fire 'ES 1 contract Buy Limit order on BID'?

1a) in the 9:40 - 11:00 time frame? 2-3secs? 10-15secs? more?

1b) in the lunch time? 10-15secs? 40-50secs? more?


2.
What is your comment about this remark:
' when orders get fast filled on the bid it often means the trade will go against them'

3.
How can you explain that for NQ, though less liquid than ES, such orders get filled almost instanly?

I use IB-TWS & hotkeys (one key-touch to setup and fire the order), fast PC, fast 2MB Internet, etc
Thanks and waiting
More...

divide your total order into blocks.

key in the blocks at a pace you measure.

I doubt if you will see any changes.
 
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