Is depth accurate?

Jayford · Mar 12, 2003

Twice today I have put in orders at a price that shows 400 or so ES cts are in front of me. After well more than 500 trade at that price, I am still not filled and then market goes back the other direction. This has been occurring more and more often, and leads me to ask how accurate is that info? I use pure limit orders, so I should be in line at the time and place my order reaches Globex or IB.

Any thoughts?

Jay

Prosperous · Mar 12, 2003

Depends on size of order as well as time order hits Globex - larger orders will go in front of you.

Maybe you should consider taking 0.25 less and getting your fills if this happens a lot.

trader42 · Mar 12, 2003

Quote from Prosperous:

Depends on size of order as well as time order hits Globex - larger orders will go in front of you.

are you certain that large orders receive priority?

Prosperous · Mar 12, 2003

Quote from trader42:

are you certain that large orders receive priority?

That is what I have always read - you may check with the exchange.

MarathonTrading · Mar 12, 2003

Large orders don't receive priority.

macal425 · Mar 12, 2003

It's a PRICE/TIME priority. Not size.

It doesn't explain Jayfords problem. I would also like to know the answer to that.

Jayford · Mar 12, 2003

From what I've read, its first come first serve.

It is possible that a few hundred more cts entered in front of me in the second it takes to reach Globex, but this has been happening too often. I think its inaccurate depth info. I think there's a lag.

As for taking a 1 tic worse price, I am not just blasting away on the bid/offer. These are trades placed about a minute before the market reaches that price (I trade pullbacks, and pre define exits on at least half my position. Only way I've ever been able to make money).

Jay

MarathonTrading · Mar 12, 2003

is he absolutely that 500 trades occured at his price? I think that's the question.

m_c_a98 · Mar 12, 2003

The Broker you mentioned does have lag in the depth of market display. I don't mind because I have no use for it and wouldn't look at it if this was corrected.

ZBEAR · Mar 12, 2003

Quote from Jayford:

Twice today I have put in orders at a price that shows 400 or so ES cts are in front of me. After well more than 500 trade at that price, I am still not filled and then market goes back the other direction. This has been occurring more and more often, and leads me to ask how accurate is that info? I use pure limit orders, so I should be in line at the time and place my order reaches Globex or IB.

Any thoughts?

Jay

IB is the problem IMO.

I know I know, we can argue on this till the cows come home.

But I am not having this problem today ......... ( I don't use IB ).