TWS and Globex matching engine

H

Hofferino

A question about how orders are matched:

Let's say I place a limit order (using TWS) for 1 contract, at which point I'm placed in a queue. If I later change the order to 2 contracts (not cancelling and starting again, but rather changing amount to 2), are both contracts bumped to the back of the queue? If so it might, in such a scenario, be better to go with a second individual order?

A related question: Say you have placed a limit order at a certain price (using TWS). Later you adjust the price, but do not transmit it -- thus, your original order still stands. If you decide in the end not to change your order, is there any way to get TWS to revert to showing your actual order price (I sometimes forget what it was!)?

Thanks in advance for all help.
 
Quote from Hofferino:

A question about how orders are matched:

Let's say I place a limit order (using TWS) for 1 contract, at which point I'm placed in a queue. If I later change the order to 2 contracts (not cancelling and starting again, but rather changing amount to 2), are both contracts bumped to the back of the queue? If so it might, in such a scenario, be better to go with a second individual order?

A related question: Say you have placed a limit order at a certain price (using TWS). Later you adjust the price, but do not transmit it -- thus, your original order still stands. If you decide in the end not to change your order, is there any way to get TWS to revert to showing your actual order price (I sometimes forget what it was!)?

Thanks in advance for all help.
More...

Since you get no commission break for larger numbers of contracts, I would submit the 2nd order as an independent order. Although I don't know for sure, I suspect both contracts would be bumped to the back of the queue if you changed the size of the order.

Right click on the order line and select "Restore."
 
Hofferino,

If you Shave an order from 2 down to 1 the remaining order stays in the Queue.

If you revise an order from 1 up to 2 then both of those orders go back to the end of the Queue as a 2 lot order. In essence the first order is cancelled and a completely new order is replaced.

This is according to the CME's FIFO logic.

My associate called the GCC to make sure that this is correct!
 
What is GCC phone number referred to in the earlier post. I wanted to ask about price placement, or perhaps someone might know here.

1) I am assuming if one ammends an order with a different price they must start all over at the back of the line.

My question is...if you lead the bid with a purposly entered price "at worse than bid price", do you get priority over limit orders waiting at the bid price? For example:


Sell entry at limit 883.50 entered within a few milliseconds of the report of the bid at 883.25. Other traders are waiting with their limit orders at 883.25 ahead of you...do you get in front of them because of your entry?


Michael B.
 
Quote from riskless:

If you Shave an order from 2 down to 1 the remaining order stays in the Queue.

If you revise an order from 1 up to 2 then both of those orders go back to the end of the Queue as a 2 lot order. In essence the first order is cancelled and a completely new order is replaced.

This is according to the CME's FIFO logic.

My associate called the GCC to make sure that this is correct!
More...

Thanks, Riskless. Very interesting.

I try to learn something new everyday and you've taken care of today early. Now I can go back to Sabrina, the Teenage Witch reruns until tomorrow. Bye.
 
Quote from ElectricSavant:

My question is...if you lead the bid with a purposly entered price "at worse than bid price", do you get priority over limit orders waiting at the bid price? For example:


Sell entry at limit 883.50 entered within a few milliseconds of the report of the bid at 883.25. Other traders are waiting with their limit orders at 883.25 ahead of you...do you get in front of them because of your entry?
More...

What? You enter an order to sell at 883.50 and the bid is 883.25. Then these other trades waiting with their limit orders at 883.25 are buyers, right? (If they were sellers they would have been filled because they are offering to sell at the same price someone is offering to buy.) And you are asking if you get in front of buyers with your sell order? I don't understand. You would be in line with other sellers, not buyers.
 
Quote from riskless:

If you Shave an order from 2 down to 1 the remaining order stays in the Queue.

If you revise an order from 1 up to 2 then both of those orders go back to the end of the Queue as a 2 lot order. In essence the first order is cancelled and a completely new order is replaced.
More...

What if IB's software doesn't resend orders this way to take advantage of this queueing behavior? It may be worthwhile to double check with IB on this issue.
 
Not too sure about IB! Ask Def!

Quote from CarlErikson:



What if IB's software doesn't resend orders this way to take advantage of this queueing behavior? It may be worthwhile to double check with IB on this issue.
More...
 
Yes, I've tried it, and if you reduce your order from 2 to 1, the 1 remains in queue. Increase does the whole thing over.

Thus, if increasing, better IMHO to enter as separate orders.

Hofferino
 
You must log in or register to reply here.
Back
Top