Should I be trading Emini instead of QQQ ?

[Pabst]

Couple of things.

Orders in the pit are NOT time prioritized. usually a small order in open outcry has a significantly better chance of buying the bid or selling the offer then a bigger order because 1. A local may trade a one lot to "get the print on the board" and 2. To receive an edge later from the broker he accommodates. For example if the market is 1503 bid at 04, a local may sell a broker 1 contract at 03 with the hope that if the broker gets another buy order, he will out of "pit etiquette buy 04's from the local who sold him the 03's. That's called a ginzie trade. Of course one gripe about the screen is that it doesn't ginzi.

Another thing about Globex. Although orders are time prioritized a retail shop like IB that holds your order on it's own server until marketable negates your "earliness" when you're competing against larger orders that most likely are being sent via a leased Globex terminal directly into the system where they are qued before yours.

 

[sammybea]

So you are saying Interactive Brokers hold my orders and does not input them directly into globex whenever i enter them? Thats a huge surprise for me. I thought the earlier i enter a limit order on IB, the better chances it will get filled cause the higher priorty globex puts on earlier orders. Can anyone confirm that IB does this?

 

[tymjr]

Pabst: “…a retail shop like IB that holds your order on it's own server until marketable negates your "earliness" when you're competing against larger orders that most likely are being sent via a leased Globex terminal directly into the system where they are qued before yours.”

I’ve been singing that song here for a long time now.

sammybea: “I thought the earlier i enter a limit order on IB, the better chances it will get filled...”

def’s comments on limit orders may interest you.

http://www.elitetrader.com/vb/showthread.php?s=&postid=45920#post45920

 

[Pabst]

tymjr has rightly been a longtime vocal critic of IB's Globex entry. Not only does IB's policy make it impossible for one of their customers to get a bona fide edge on Globex, it opens up the wide issue of reliability. Obviously the quicker your order is out of IB's hands and housed on Globex the less likely you are to be unduly victimized by a connectivity meltdown between IB an the CME. Entering a stop on IB and having them go down before your order was "marketable" and the unentered your order becomes electable is the equivalent of a runner going to lunch with your order in his pocket. Wait it's MUCH WORSE!! At least in open outcry if your order is time stamped 2 minutes before you get some kind of fill or adjustment.

 

[sammybea]

I am not sure who to believe at this point. According to Def (which you posted the link), limit orders are sent directly to Globex. I understand stop orders are a different ballgame, but limit orders is what i really care about. I am at a loss. Does IB state somewhere whether limit orders are sent directly to the globex system when they first receive the order? Of course the major issue is in a fast market. Lets say at 9am i put a limit order to buy at 1500. But at 11am, we are in a fast market. Is it possible since it is not in the globex system, that during a fast market, my order can be missed? I find this hard to believe. Def is probably right on this issue. Of course i have no facts to back it up though.

 

[Cdntrader]

Originally posted by Pabst


Another thing about Globex. Although orders are time prioritized a retail shop like IB that holds your order on it's own server until marketable negates your "earliness" when you're competing against larger orders that most likely are being sent via a leased Globex terminal directly into the system where they are qued before yours.

Looks like IB is changing their policy. Therefore it should shortly be a non issue.

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def
Senior Member

Registered: Dec 1999
Posts: 971


03-12-02 08:58 AM

yes, stop limits will be moved the globex servers shortly. don't have exact time frame other than it is currently on someones programming queue.

 

[TriPack]

Originally posted by sammybea
So you are saying Interactive Brokers hold my orders and does not input them directly into globex whenever i enter them? Thats a huge surprise for me. I thought the earlier i enter a limit order on IB, the better chances it will get filled cause the higher priorty globex puts on earlier orders. Can anyone confirm that IB does this?

IB sends limit orders directly to Globex where they Queue up with every other order (even those from Globex terminals) in the order they were received at each price level. IB holds stops on its servers until the stop price is hit, at which point it is sent as a simulated market order. If you don't use stop orders then this shouldn't be a concern. If you do use stops, IB will be adding Globex-housed stops shortly.

 

[TriPack]

Originally posted by sammybea
I don't even understand the purpose of the large contract anymore. It just seems like the electronic markets are more efficient and accessible for investors, small or large.

The pit has its place. Pit trading is typically more efficient in times of great turmoil or crisis (at least that is the company byline). When technology fails the pit can offset trades @ 5 minis to 1 large contract. The large contract adds lots of liquidity to the minis in the way of arbitrage. But I guess your point is that the tide is turning in favor of Globex over pit, and I can't find fault with that based on the volume shift towards Globex. Globex does have superior efficiency and transparency in everyday trading and is thus a "more even playing field" for non-professional traders.

 

[sammybea]

Thanks for your input. U answered all my questions

thx

 

[def]

couple of quick comments/remarks:

1. if you do not believe IB sends limit orders to globex, pop up a market depth window (perhaps try it on overnight markets when things are quiet). Send an order a few ticks below the market and magically watch the size of the book advance by the size of your order.

2. Interesting how people who are not using IB complain about the stop limits. I do not see any current users complaining about slippage (doesn't matter anyway since it will be a moot point very shortly when the stop limits are sent to the globex servers).

3. When the market is quiet I can see how a 1 lot can get a quick fill in the pit. However, when things are busy, good luck filling a market order for a 1 lot in a timely manner- especially in the S&P pit. The simple reason is no one wants to deal with a 1 lot when size is trading. (this comment is based upon a conversation I had with the head timber hill S&P trader a few years back).