Fills on NQ limit price not passed?

[maxoptions]

Hello!

I was wondering this seems to be hard to find info on this, q is simply if your limit order is touched on NQ but not passed how often should one be expected to get a fill?

If anyone has any experience on this would love to hear it

 

[NoahA]

Hello!

I was wondering this seems to be hard to find info on this, q is simply if your limit order is touched on NQ but not passed how often should one be expected to get a fill?

If anyone has any experience on this would love to hear it

In my experience, at least with the micro contracts, its very difficult. I have been filled on the top or bottom tick before, but only after multiple touches over 10 to 15 seconds. The orders that get filled had been placed much earlier than yours I'm sure.

What is far more likely is that it has to trade through. Looking back at all my fills, I'd say less than 2 or 3% are ever filled at the low or high tick. In fact, I would say that if I don't get filled but I see it hit and bounce, its more likely that the market is now turning. Call me crazy, but I think a fill usually happens because price will go past your price level. (ie. you want to buy at 17550.50, and the only reason you're filled is because its going lower) Now granted, if price drops just 1 or 2 points on the NQ, that is nothing, and you can literally almost say to bought the bottom for all practical purposes, but some HFT firm is absolutely making money from you getting your fill. (of course our edge is in not trying to play for ticks)

 

[maxoptions]

text

Okay copy, thanks.

While I have you on the line do you also know about if I have a market SL and price goes one tick away from it, will it survive at all times?

 

[NoahA]

Okay copy, thanks.

While I have you on the line do you also know about if I have a market SL and price goes one tick away from it, will it survive at all times?

What I have seen is that 1 tick away, no trigger. Even it hits the price, what I have seen several times, is that it didn't trigger the stop, which surprised me. It might have something to do with what the bids/asks are in relation to the last price, but I'm not entirely sure as I assumed a stop is "once a sale happens at this price level, the stop or turns into a market order and executes". I do think there are several versions of stop orders, but I'm hardly an expert here.

 

[schizo]

Hello!

I was wondering this seems to be hard to find info on this, q is simply if your limit order is touched on NQ but not passed how often should one be expected to get a fill?

If anyone has any experience on this would love to hear it

NEVER is my answer. You need to assume you're the last one in line. There were times when I would send the limit order in advance, like over 30 minutes ago, only to see it get filled just before the price is taken out. You mean all those previous fills were sent to the exchange before me??? Hard to believe, if you ask me.

 

[schizo]

What I have seen is that 1 tick away, no trigger. Even it hits the price, what I have seen several times, is that it didn't trigger the stop, which surprised me. It might have something to do with what the bids/asks are in relation to the last price, but I'm not entirely sure as I assumed a stop is "once a sale happens at this price level, the stop or turns into a market order and executes". I do think there are several versions of stop orders, but I'm hardly an expert here.

That's old school. Now, most brokers have stops programmed to kick in only after x number of ticks. They've wised up.

 

[NoahA]

You mean all those previous fills were sent to the exchange before me??? Hard to believe, if you ask me.

Are you being sarcastic??? LOL.... You're right that its best to assume that you're last in line, but software exists that can now even predict your place in the line, and I think it works somewhat well because its keeping track of how much is added and taken away from each level.

But here for example (click to expand), we can clearly see this thick level that was already waiting at 5074 just as we got high enough to see it at 14:00. This is shown via green arrow. Whats interesting is that at the red arrow, the ASKs for 5074 were visible, and there is no heavy orders waiting a few hours prior. So if you placed your order then, you would be ahead of all those other orders that were added later. We of course never did trade this high, but if we did and you didn't have your order in, you would for sure be at the back of the line.

 

[NoahA]

That's old school. Now, most brokers have stops programmed to kick in only after x number of ticks. They've wised up.

Please explain. You mean they won't send your order to the exchange until its a few ticks away from hitting? Or you mean they wait for it to breach by a few ticks before they send your order? The original question is also complicated by the fact that some orders sit with the exchange, and some sit with the broker, and all of this needs to be taken into account when trying to figure out order fills.

 

[Slow Learning Elf]

NEVER is my answer. You need to assume you're the last one in line. There were times when I would send the limit order in advance, like over 30 minutes ago, only to see it get filled just before the price is taken out. You mean all those previous fills were sent to the exchange before me??? Hard to believe, if you ask me.

Actually, it's fairly easy to believe and you can see your position in the queue if you have an MBO feed (e.g. Databento or Rithmic). The reason for it is that it's a fairly common strategy for the HFT market makers to keep resting orders away from the touch. The idea is that if the price gets there, they're gonna have queue priority which is very valuable, but at the same time they are fast enough to cancel if everything is turning to shit. Also, some slower players like to catch multi-level takeouts by placing orders away. That's why if you look at the order book in futures with small tick size, the quantities on the bid/ask increase linearly (or near-linearly) with every step away from the touch.

 

[schizo]

Please explain. You mean they won't send your order to the exchange until its a few ticks away from hitting? Or you mean they wait for it to breach by a few ticks before they send your order? The original question is also complicated by the fact that some orders sit with the exchange, and some sit with the broker, and all of this needs to be taken into account when trying to figure out order fills.

The one in BOLD.

My understanding is LIMIT orders are sent to the exchange but STOP orders are held by the broker for the following reason. As recent as 10 or 15 years ago, it was relatively easy to gun the stops. All you needed was just 1 lot order to trigger all the stops placed above or below major price pivots like HOD or LOD. In fact, this worked so well that I've incorporated into my strategy for a long time. Unfortunately, it doesn't work anymore. Now you need a few 100 fills (or so it seems) before those stops get triggered. Anyway, that's what I've been told and it does corroborate with my own trading of late.