Stop limits on GLOBEX

[saschabr]

ArchAngel, I hope so.

But often I had just the feeling the system does not like my orders, you know, I had a limit order to buy at 982.25,
1 min later the market goes down there,
the bid is now 2.25, bid size
500, 400, 300, locals pull their order, 200, 100, now trading
2.25, bid size 70, 50, I STILL HAVE NO FILL !!!, bounce off,
82.5 x 82.75. This happens quite often. Am I really so often
the last one in the que ?

 

[ArchAngel]

Quote from saschabr:
Am I really so often the last one in the que ?

Could be - especially if you're sitting at an important support which I believe 982 was on Thursday.

You'd have to know the bid depth at that price prior to your order being entered to know how far back you started - although in your example, it sounds like you were probably at least 500 contracts back in the queue from the get go.

It's a common possibility with limit orders regardless of market - the market moves away from you before the bid queue gets worked down enough to hit your order.

But if it's happening a lot, especially at an important price level, you might consider giving up a 1/4 point and meeting the asking price (or bid price if selling) rather than joining the queue. If the market is let's say 982.25 x 982.50 (500 x 500) then your buy @ 982.25 will be at least 500 contracts down in the queue, but if you enter it at 982.50 or higher the match engine would fill you immediately at the best available offered price.

 

[stock777]

Still don't know any more than when I started the thread. Am I to assume there is NO WRITTEN DOCUMENTATION from CME on stop election? Or is everyone just flying by the seat of thier pants, hoping they understand?


Got to know the rules, to play the game.

 

[PetaDollar]

Quote from Banjo:

Globex only acccepts limit orders. There is no such thing as a market order on globex.

Where did you get this information from? I don't think it's right.
The GLOBEX, at least for eminis, has market, stop-limit, and limit orders. Anything else is simulated by your broker's system. On IB you can tell what's been sent to GLOBEX and what's simulated by the color code. With J-trader you can tell the simulated orders by the # sign after the order type.

 

[Banjo]

I make most of it up, Arch Angel said it better.
q25 How are E-mini market orders handled on GLOBEX?
a25 The GLOBEX trading host will convert all orders it receives without a specific price to limit orders: buy orders will become limit orders at the best offered price, sell orders will become limit orders at the best bid price. The GLOBEX system does not currently handle true "market orders." However, depending on the front-end software and connection, a user's trading application may have functionality that increases the likelihood that an order will be filled quickly at the best available price(s). Market users need to be aware of the functionality of the system they are using and how "market" orders are handled by that system.

back to top | back to Trading on GLOBEX "
http://www.cme.com/products/index/products_index_eministockindexfaq.cfm#q25

 

[Quah]

Quote from peterfigliozzi:



Where did you get this information from? I don't think it's right.
The GLOBEX, at least for eminis, has market, stop-limit, and limit orders. Anything else is simulated by your broker's system. On IB you can tell what's been sent to GLOBEX and what's simulated by the color code. With J-trader you can tell the simulated orders by the # sign after the order type.

Globex does not have market orders. They only accept limit type orders (limit or stop-limit).

That # doesn't really indicate a "simulated" order - it indicates an order that will not be sent to globex immediately.

 

[Kicking]

For stops, isn't there some mechanism that protects you in case no trade is made at the bid/ask price and the bid/ask price "trigger" was immediately improved? Does the queue continue to work in that case, executing all the stops even if the market has reversed?

 

[Girlpower]

Quote from Kicking:

For stops, isn't there some mechanism that protects you in case no trade is made at the bid/ask price and the bid/ask price "trigger" was immediately improved? Does the queue continue to work in that case, executing all the stops even if the market has reversed?

What happens is you still get filled, but with +ve slippage instead of -ve slippage...

Natalie