Price improvement on minis??

I don't have T&S but my computer clock is updated via atomic timesynch and I do show trades at your price at 11:34:39, and two trades at 11:34:42 as captured from the IB datafeed. Everyone buys the high at some point.


At any rate according to my timestamps, there were trades at 1542.5 at 11:34:22 and 11:34:27 so it was moving quite fast to cover 2 points in about 13 seconds.
 
I was involved in NQ all morning and although the moves were not dramatic per se, the market seemed unusually thin. Tymjr: does PATS like IB keep stops in it's own server and then feed them to Globex when marketable, or are stops routed into Globex the moment you transmit?
 
Pabst: “…does PATS like IB keep stops in it's own server and then feed them to Globex when marketable, or are stops routed into Globex the moment you transmit?”

My experience leads me to suspect that your question may be at the core of my issue with IB’s poor executions.

There seems to be a great deal of disagreement regarding what types of orders actually rest on Globex and how those orders are handled. In an effort to clear this issue up for myself, I’ve spoken with the CME, Patsystems, and various brokers and traders.

Some traders have stated that Globex will only accept limit and stop limit orders, sighting information posted on the CME website, while Patsystems’ position was that a number of different orders are supported through the existing protocol. According to another trader that I regularly correspond with, the Globex Control Center confirmed, in a phone conversation, that stop orders are indeed held in a queue on the CME servers in Chicago. Both my broker and a trader at a larger hedge fund have further verified this, although the trader claimed that the orders are not actual marketable stop orders but stop-limit orders with a wide range of acceptance from your election. Finally, the administrative personal that I’ve been able to speak with at the CME have had no real knowledge one way or another.

The Truth Is Still Out There.

Assuming that stop orders can rest on Globex in some form, it is my understanding that the option of routing directly into Globex is dependent upon your broker and the manner in which they choose to configure the J-Trader platform. I, personally, have two options when creating certain order types, including stop orders. The first is an “Exchange-recognized Order Type” and the second is a “Synthetic Order Type”, which resides on my computer. I have been explicitly informed by my broker that the non-synthetic stops that I transmit are not held on their servers but reside directly on Globex in the queue. I cannot verify or deny this. I can tell you that my experience has been extremely positive regarding the reliability of the J-Trader software and the speed and accuracy of the fills.
 
Hello Easyrider,

i live in Euroland so i had to sleep first...
but here we go:

i had difficulty looking up an matched NQ price 1544.50 at the time you specified, the market was on a complete different level, but 10:34:40 i could find several trades matching your criteria. so i think it is a timezone issue (correct me if i am wrong)
Here are the times and sales:

HHMMSS PRICE CNTRCT
NQ 0203F 1034200154250 02020100003E
NQ 0203F 1034210154250 02020100001E
NQ 0203F 1034250154300 02020100001E
NQ 0203F 1034250154350 02020100006E
NQ 0203F 1034260154300A 02020100000E
NQ 0203F 1034260154300 02020100003E
NQ 0203F 1034270154300 02020100001E
NQ 0203F 1034290154350 02020100002E
NQ 0203F 1034310154350 02020100001E
NQ 0203F 1034310154350 02020100001E
NQ 0203F 1034330154350 02020100002E
NQ 0203F 1034330154400 02020100006E
NQ 0203F 1034340154400 02020100004E
NQ 0203F 1034350154400 02020100001E
NQ 0203F 1034380154400 02020100012E
NQ 0203F 1034380154450 02020100005E
NQ 0203F 1034390154450 02020100006E
NQ 0203F 1034390154450 02020100001E *** yours
NQ 0203F 1034390154450 02020100001E *** yours, maybe...

as you see, the market went from 2.5 to 4.5 in 18 seconds. but at 10:34:40 only 1544 levels were traded.

Sascha
 
oops... formatting was not as i wanted it.
T&S explanation: NQ 0203F should be clear, next 7 bytes are trade time, next 6 traded price, last bytes on line are number of contracts traded.

Sascha
 
easyrider,
IB doesn't play games with your orders. It routes them direct to the exchange. Futures move so fast that getting unlucky and hitting a thin market is definately possible. If you are not satisfied with a fill, you can always request someone to look at your audit trail on the order via the help desk (or send me a mail and í'll forward to someone on the help desk).

Tymjr, i believe many of the issues you had in the past were isolated. Nevertheless, the software and number of links and lines to GLOBEX have been increased since the issues with the price feed delay that occured for a few days about 3? months ago.

IB is testing a new release of software at globex right now. If they performs as promised and they allow stops to reside on their servers, IB will provide that service.

Nevertheless, even if you have a stop on the server at globex, there is nothing to prevent it being triggered into a thin market and getting a poor fill - (ofcourse the other side is posisble too, i.e. dumb luck will sometimes get you a better fill when a stop is triggered).
 
This may sound a bit backwards, but I've gotten positive stop slippage numerous times.

What does this mean? Ok, say I'm long the ES from 1120.00. Now as soon as I went long, I put my stop loss in @ 1118.00. So say this trade was a loser and it started coming back toward my stop loss. Now once the bid prints 1118.00 my stop loss should trigger and I should be out at 1118.00 right? Well in numerous cases the stop loss will trigger at 1118.00 in this case, but I will get out @ 1118.25. Thus a +0.25 stop improvement. In all these cases I've check IB data against my charting service and both show trades that would have triggered the stop loss, so it's not a case of IB triggering early. IB is the only broker I've ever used that I've encountered this with. Now I've also had stops get triggered and get out with -0.25 stop slippage too. So it does balance itself out in the long run.


Interesting,
2-B
 
positive slippage is not uncommon on this very active market. It is a simple matter of supply and demand.
for instance when you use a buy stop to enter at a resistance level, it is common that traders will sell to you (taking out all the short stop loss orders). If you are lucky, you buy at a good price if the market is fast enough.
The reverse is true when shorting break down.

and like I wrote in my first post, 2 points slippage is not uncommon either. the time & sales list does not surprise me a bit.
The lesson is this I think : eminis are very good markets to trade electronically. really it never is necessary to send a limit 2 points away from the inside market (unless you want to buy many contracts maybe, but that's another story).

tntneo
 
Thanks everyone. Very enlightening. It appears that the market did jump 2 points in 13 seconds and back again. The solution, for me, is simple. I will not enter a limit order more than .5 above the ask again. Live and learn.:)
 
zentrader

No doubt I'm over my head here but if you want to learn to swim you got to get in the water. I'm trading on a shoestring so any loss is "substantial" to me. Whether I should or should not be trading futures, well ask me again in a month or two and I will have an answer for you. Its the only option open to me for now. I got a good feelin' about them, tho.:)
 
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