Hidden Stops on Globex??
- Thread starter pspr
- Start date
It's no different than Nasdaq L2 - all you're seeing are the ACTIVE orders.
Stops aren't active buy/sell orders (and thus aren't included in the depth display) until the stop price is hit. Then Globex's stop management engine converts them into active limit orders (all orders on Globex are limit orders, even if you submit a "market" order it just gets turned into a limit order a certain distance from the current price). Only at that time would they appear in the depth display.
Here's a program called
buttontrader that I've been messing with the last few days that
shows the 5 levels you're looking for.
As you can see, I'm short, and then a heavy concentration of 894
orders appeared at the 918 level. According the this program, concentrations of 800 or more are supposed to be important.
It's interesting, but I haven't really figured out a way to use the info to my advantage.
Have fun!
buttontrader that I've been messing with the last few days that
shows the 5 levels you're looking for.
As you can see, I'm short, and then a heavy concentration of 894
orders appeared at the 918 level. According the this program, concentrations of 800 or more are supposed to be important.
It's interesting, but I haven't really figured out a way to use the info to my advantage.
Have fun!
X_TRADER only shows 5 levels. I believe it's a CME thing.
Noone but the execution trader that places the stop can see his own stop. It would be unethical for anyone else to see his stop. That's for electronic orders. Floor stops are held by the executing broker on the CME and unless he has told someone, noone else knows your stop with him. It's easy to figure out where stops are - one or two ticks under/over major support/resistance. Big traders know this and occasionally purposely 'run' the stops.
The currently operating electronic markets lacks the locals, market makers, and/or specialists to absorb order flow imbalances. So... when there are significant order flow imbalances, and/or stops outnumbering limit orders, the excessively simplistic rules of the match engines causes the electronic market to cascade out of control. That wouldn't be so bad, but the random busts mean greater risk than reward for people who want to step in and correct the error.
The problem was foreseeable because the exchanges knew from over a century of experience the value that the locals, market makers, and/or specialists add. What's worse, after they've been repeatedly shown what they screwed up, they're just trying to make it less likely with stupid band-aids like limited trading ranges, maximum order sizes, maximum slip on a stop, etc. BUT, when North Korea nukes Japan (or whatever), those band-aids are going to hurt a lot more than they help. People will be happy to get filled 1% down, and some will desparately need to get an order in to sell 3,000 contracts ASAP.
The actual solution is so simple, I don't know why they didn't do it in the first place. It doesn't require unfair policies, or violating any of the current rules. At least BOX may be heading in the right direction.