Stop Limit vs Stop Market orders on CME Globex

R

rolando87

Trying to get to the bottom of this, let me start of by giving the following scenarios.

Scenario 1:

You send a stop MARKETt order to globex at 7:30 at price of 100.00
You send a stop LIMIT order to globex at 7:31 at price of 100.00.

Who gets filled first?

Scenario 2:

You send a stop LIMIT order to globex at 7:30 at price of 100.00
You send a stop MARKET order to globex at 7:31 at price of 100.00

Who gets filled first?

Scenario 3:

You send a stop LIMIT order to globex at 7:30 at price of 100.00
You send a stop MARKET order to globex at 7:30 at price of 100.00

Who gets filled first?


Let me clarify also that on globex there is no such thing as a true market order, in reality it is a stop with protection (the protection being a limit price that is added by the exchange that is within a certain band surroundin the bid/ask)

Also, is it theoretically possible for the exchange to receive an 2 orders at the exact same time therefore it assigns a priority depending on whether it is a stop limit or stop market.

Basically, I'm trying to figure out if it you get any priority with stop limits vs stop markets or the other way around.
 
I am not going to be able to answer your question but I think the way you asked it is confusing. So to clarify, you are saying that you enter those stop orders and they are *not* marketable at the time you entered them. And then later in time they become marketable (because the price goes through your stop price), and you are wondering about their priority once they become marketable?
 
Yes that's right, I forgot to mention that.

Let's just say both orders in all those scenarios are triggered at the same time because a trade occurs at 100.00, but the orders were placed when we were trading at 90.
 
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Total conjecture here, but since stop orders are changed into stop-limit orders by the CME (with a wide band limit price), there should be time priority but no order type priority.

So:
1. Market
2. Limit
3. Whichever order gets processed by CME first
 
I've found I have less slippage with stop limits vs market orders - the reason being that something has to hold your market based stop until it's triggered, whereas the stop-limit order is directly on the exchange.

I use a 10-20 tick slip-zone in the stop-limit as protection, meaning if my buy stop is 90.00, I'll set the aux to 90.00 and limit to 90.20. It takes some trial and error as some instruments have lower limit vs aux ranges allowed.
 
i960 said:
I've found I have less slippage with stop limits vs market orders - the reason being that something has to hold your market based stop until it's triggered, whereas the stop-limit order is directly on the exchange.
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CME Order Types

Just reading this page: it seems like in the case for CME futures that stop orders could be native if your broker submits them properly.
 
Yeah right, I use TT Xtrader, and I'm pretty sure my stop market order is being held at the exchange, but I will verify this.

So so far the only thing that makes a difference in execution between the two is the time it was recieved by the exchange, so priority is based on the time recieved. I wonder what happens if 2 stop orders are received by the exchange at exactly the same moment in time? One must be given priority over the other, I wonder how their algorithm determines this.
 
rolando87 said:
I wonder what happens if 2 stop orders are received by the exchange at exactly the same moment in time? One must be given priority over the other, I wonder how their algorithm determines this.
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I'm guessing again but it would surprise me if the CME did not serialize all orders at some point when processing them. So even if two orders came in at the same time, the network would treat them as arriving in sequence. The first order that was processed by CME's network router would win.
 
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