Hidden Stops on Globex??

[TMTrader]

Quote from SethArb:

X Trader shows more than 5 levels by the way

The exchange transmits only 5 levels. What some applications do is remember the last number on each of the levels before price moved on. But when price comes back this price will very different.

TM Trader

 

[Daxman_Cometh]

a point of clarification. . . . . X-Trader will show as many levels of the market as the exchange in question will transmit. For Eurex and CBOT, X-Trader will show 10 levels on each side. For the CME, it goes five deep on each side. For the JGB, I have heard, it will show only three levels on each side.

 

[Pabst]

Quote from ggg:



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.

The BOX model is problematic to adapt for futures markets. It's a question of trade inducement. Certainly buying the bid in an option is a "better" edge than buying the bid in ES. As a formerly active local, I've always felt the problem with the screen is the failure to replicate the "Ginzi" trade.

A Ginzi is when you trade a "weak" edge, or give up the edge to a floor broker who is filling a customer order, and in return receive a "quality" edge. In other words Pabst buy's 17's in a weak 17bid market from a Goldman broker and the broker on then sells me some 16's after the 17's have traded out. Often a local will only make a tight market in a disadvantageous situation because he hopes to receive a better opportunity later on. The screen doesn't know who made a stupid trade though. Sometimes when I'm unable on an add I yell at the computer" Hey I'm the asshole who bought the 22's and now I'm the last guy in America who's gonna get more at 21!!"

 

[ggg]

Quote from Pabst:

The BOX model is problematic to adapt for futures markets.

Certainly. I'm mostly encouraged they're thinking out of the box. :eek:

...more quote from Pabst:
As a formerly active local, I've always felt the problem with the screen is the failure to replicate the "Ginzi" trade.

That's extremely interesting. Thanks for posting that.

So you're basically arguing that if you've recently provided a significant portion of the bid, you should get a higher priority buying more. That seems a fair addition, rewarding folks for maintaining tight, thick quotes. I certainly prefer it over how LIFFE gets that effect (their's makes for virtually no liquidity past the inside market).

It still doesn't address the order imbalances that cause 1-7% spikes. In those spikes, there are tens of thousands of cars hitting the market, so the priority reward is worthless. Besides, the problem isn't a lack of folks willing to bid into a free-fall, there are plenty that would. The problem is that the systems and rules aren't designed to allow those folks to step in to maintain/restore an orderly market.

Sometimes when I'm unable on an add I yell at the computer" Hey I'm the asshole who bought the 22's and now I'm the last guy in America who's gonna get more at 21!!"

a) Even if you're the last american in line, you're still ok so long as you've got some europeans, asians, and australians behind you.. No worries!
b) I know it's probably confusing, coming from the pits and all, but yelling doesn't help. Try waving your hands in the direction you want. It works better.

 

[nononsense]

Quote from peterfigliozzi:



The market depth shows the number of bids and asks 5 levels deep. You can't tell if each one represents a stop-limit or limit order.

Hi,

I just looked this up at CME's and found the above statement to be incorrect. They clearly say that stop-limit orders (like stop orders) don't show up.

nononsense