Order Queue Question

[nourozi]

On the ES or 6e, how many ticks away from the price would you need to place your limit order (without moving it) to be one of the first in queue, say, top 30% of the queue at that price? 5 ticks? 25 ticks?

Is there any way to work out an approximation?

Thanks,

Erfan.

 

[Rationalize]

If you are considering a queue that is longer than a single tick, then how many ticks long do you think it is

 

[nourozi]

Quote from Rationalize:

If you are considering a queue that is longer than a single tick, then how many ticks long do you think it is

Sorry, I have no idea what you mean.

 

[Rationalize]

ditto

 

[nourozi]

Quote from Rationalize:

ditto

For example, if price was trading at 1740 and I placed a buy limit order at 1738. Could I expect to be near the top of the order queue once the price touches my limit order?

I wonder if anyone has a rough idea at least?

 

[Rationalize]

there is a queue on every tick

they are each independent

where you are in that queue depends on what was there before you arrived, and then what cancels in front of you

 

[nourozi]

Quote from Rationalize:

there is a queue on every tick

they are each independent

where you are in that queue depends on what was there before you arrived, and then what cancels in front of you

Yes, I am aware of that.

I'll give you an extreme example. If I place a limit order 100 points away from the current price, and say, 1 month later the price reaches my limit order.. I should probably be the first in queue at that price, right?

 

[Rationalize]

say the bid is 1000

you place an order to buy 1, 100 points away, paying 900

and there are 50 lots on 900 at that time

you have 50 ahead of you in the queue at 900

If over time, price moves down to 900, and no one in that 50 bidding 900 has cancelled, then there is still 50 ahead of you in the queue

 

[Eyez]

Quote from nourozi:

Yes, I am aware of that.

I'll give you an extreme example. If I place a limit order 100 points away from the current price, and say, 1 month later the price reaches my limit order.. I should probably be the first in queue at that price, right?

This makes no sense. not even hypothetical sense. If you placed a limit order 100 points away you will be first in queue when everyone ahead of you cancels their order. It doesn't matter if it's 5, 10, 100, 1000 points away.

 

[Baron]

Ok, I will answer the question. Orders are executed in the following priority: Price first, then time. In other words, the best priced orders are executed first, and for multiple bids entered at the same price, the bid that was entered first would be executed first.

So if you place a buy limit order 100 points away from the current market price, you can expect for your order to be the first one executed once the market hits that level ONLY if you were the first person to enter your order at that price level. If there were already several orders at that price level before you even entered yours, those would be executed first.