Futures execution question

[losemind]

Futures execution question


Lets say I want to buy 200 lots WTI crude oil on CME Globex.

The offer side is:

30@100.05
50@100.04
20@100.03
10@100.02
50@100.01
30@100.00

And when I put a limit order to buy 200 lots at 100.05,

the first a few offers are rapidly withdrawn and the market moved up against me drastically.

And I end up got filled at a price that's much worser than the VWAP price of the first a few offer levels....

And this occurs every time when I execute my orders, buy or sell...

Any idea why this happens?

 

[softdown]

That's weird. When you put the buy limit order at 100.05, you should "eat" everything from 100.00 to 100.05. That's 190 contracts if I'm not mistaken so there should be 10 left as a bid at 100.05.

Did you put an immediate or cancel order (or "fill or kill") ? I think that in that case, since the order cannot execute immediately, it would be canceled.

 

[TraDaToR]

Softdown is right. You would have filled 190 lots and your last 10 lot bid would certainly have been filled in less than a second.

But it didn't really happen, right? Losemind is in desperate search of something illegal on crude oil. One day he wants to fill 100K lots illegally, the next day someone was aware of his order and cancelled his offers...Who are you? a blogger against HFT?

 

[Chicago_CTA]

Quote from TraDaToR:

Softdown is right. You would have filled 190 lots and your last 10 lot bid would certainly have been filled in less than a second.

But it didn't really happen, right? Losemind is in desperate search of something illegal on crude oil. One day he wants to fill 100K lots illegally, the next day someone was aware of his order and cancelled his offers...Who are you? a blogger against HFT?

+1

There's no way that clown trades 200-lots of CL.

He would've cleaned out the queue up to 100.05 where his remaining 10-lot would be a resting order, until filled.

Besides, who the hell buys 200 @ one price?!

 

[atrocious]

Quote from losemind: (01-10-11 08:50 PM)

Former bank/floor traders: I work for you and pay you money

Hi all,

You might be a former bank/floor trader, and are enjoying your early retirement. :=)

Could you please help a young guy - me...

I am really interested in the practical areas of energy trading and market making (OTC, floor, electronic, etc.) ... I desire to become an energy trader...

Posted two months ago and now he's sweeping the book for 200, this kid is going places!

 

[losemind]

Quote from softdown:

That's weird. When you put the buy limit order at 100.05, you should "eat" everything from 100.00 to 100.05. That's 190 contracts if I'm not mistaken so there should be 10 left as a bid at 100.05.

Did you put an immediate or cancel order (or "fill or kill") ? I think that in that case, since the order cannot execute immediately, it would be canceled.

Sorry my wrong numbers. Lets make them larger:

70@100.05
80@100.04
30@100.03
50@100.02
90@100.01
60@100.00

I just wanted to figure out why?

 

[losemind]

Quote from Chicago_CTA:

+1

There's no way that clown trades 200-lots of CL.

He would've cleaned out the queue up to 100.05 where his remaining 10-lot would be a resting order, until filled.

Besides, who the hell buys 200 @ one price?!

yeah, lets say one wants to rapidly get rid of risk, etc.

 

[losemind]

Quote from atrocious:

Posted two months ago and now he's sweeping the book for 200, this kid is going places!

lol... executing some trades for other people...

 

[equitiesguy]

Order is being gamed by other HFT or algo traders. They see your order starting to clear the 00 or 01 level and start withdrawing offers at those and at higher levels predicting that if say you are reducing risk and need those 200 contracts filled your willing to hit more at the higher 04/05 prices to get out.

Same thing happens on the equity side, most order routers still clear ECN by ECN and once the algos see you clear one ECN they cancel the bid/offers to pull the price up or down.