Which futures market fills limits fastest?

[nourozi]

Hi guys, does anyone have an idea of which futures market out of 6e, 6a, 6b or es would fill limit orders the fastest?

For example if my buy limit order was 5 ticks below the market. Then the market came down, touched my limit and reversed. Which of the futures markets would most likely fill the order? Also be good to know your reasoning.

I assume it would not be the ES due to the saturation of HFTs which use limit orders.

Thanks.

 

[abattia]

Quote from nourozi:

Hi guys, does anyone have an idea of which futures market out of 6e, 6a, 6b or es would fill limit orders the fastest?

For example if my buy limit order was 5 ticks below the market. Then the market came down, touched my limit and reversed. Which of the futures markets would most likely fill the order? Also be good to know your reasoning.

I assume it would not be the ES due to the saturation of HFTs which use limit orders.

Thanks.

In an order-driven futures market:

At each price at the best bid price and below, a number of limit orders, of any size, can be waiting to be filled. Similarly, at each price at the best ask price and above. These limit orders can be thought of as “SUPPLY”.

When marketable orders (including market orders) are submitted (“DEMAND”), they match against the SUPPLY at the top of the order book on the appropriate side. How much SUPPLY is removed at each level, and whether or not an entire level is cleaned out so that price moves to the next level, will depend on the relative magnitudes of SUPPLY at that level and DEMAND. And SUPPLY is also removed by cancelations.

It could be argued that instruments where price changes by a bigger number of ticks (i.e. minimum price change) over a given time arguably have less SUPPLY at each level relative to DEMAND, compared to instruments where price changes by a smaller number of ticks in the same time. And limit orders placed near the top of the book will likely fill more quickly in the earlier case than in the latter.

So which instrument typically (and this factor might change day-to-day, month-to-month, etc) has price swings that cover the larger number of ticks in a given time?

 

[nourozi]

Quote from abattia:

In an order-driven futures market:

At each price at the best bid price and below, a number of limit orders, of any size, can be waiting to be filled. Similarly, at each price at the best ask price and above. These limit orders can be thought of as “SUPPLY”.

When marketable orders (including market orders) are submitted (“DEMAND”), they match against the SUPPLY at the top of the order book on the appropriate side. How much SUPPLY is removed at each level, and whether or not an entire level is cleaned out so that price moves to the next level, will depend on the relative magnitudes of SUPPLY at that level and DEMAND. And SUPPLY is also removed by cancelations.

It could be argued that instruments where price changes by a bigger number of ticks (i.e. minimum price change) over a given time arguably have less SUPPLY at each level relative to DEMAND, compared to instruments where price changes by a smaller number of ticks in the same time. And limit orders placed near the top of the book will likely fill more quickly in the earlier case than in the latter.

So which instrument typically (and this factor might change day-to-day, month-to-month, etc) has price swings that cover the larger number of ticks in a given time?

Great, thanks. This makes sense to me. How would you go about measuring the average range of an instrument to find out which has a greater demand than supply? Thanks.

 

[abattia]

Quote from nourozi:

Great, thanks. This makes sense to me. How would you go about measuring the average range of an instrument to find out which has a greater demand than supply? Thanks.

Your example was placing a limit order 5 ticks below price. For the various instruments, are there any differences (that are observable again and again) between how quickly the market typically moves across these 5 ticks to your limit price?

My suggestion above was that if there is an instrument where this movement is routinely faster, then it could perhaps be argued that relative to DEMAND the SUPPLY at each of these 5 tick levels is routinely lower than for the “slower” instruments. For this instrument, your limit order might generally fill quicker than for the other instruments (which is the answer to your original question).

But, in any case, I would be cautious about drawing strong conclusions unless you can establish that your observations have a statistical significance and are general for that instrument (i.e. they don’t just apply to “one or two situations” that you happened to observe).

 

[nourozi]

Quote from abattia:

Your example was placing a limit order 5 ticks below price. For the various instruments, are there any differences (that are observable again and again) between how quickly the market typically moves across these 5 ticks to your limit price?

My suggestion above was that if there is an instrument where this movement is routinely faster, then it could perhaps be argued that relative to DEMAND the SUPPLY at each of these 5 tick levels is routinely lower than for the “slower” instruments. For this instrument, your limit order might generally fill quicker than for the other instruments (which is the answer to your original question).

But, in any case, I would be cautious about drawing strong conclusions unless you can establish that your observations have a statistical significance and are general for that instrument (i.e. they don’t just apply to “one or two situations” that you happened to observe).

Great, thanks. I have observed over some testing that the 6E is consistently faster than the ES at reaching the limit order.

 

[comintel]

Quote from nourozi:

Hi guys, does anyone have an idea of which futures market out of 6e, 6a, 6b or es would fill limit orders the fastest?

For example if my buy limit order was 5 ticks below the market. Then the market came down, touched my limit and reversed. Which of the futures markets would most likely fill the order? Also be good to know your reasoning.

I assume it would not be the ES due to the saturation of HFTs which use limit orders.

Thanks.

Re ES, maybe, but not necessarily at least for the reason you gave, I think.

If we assume that that the HFT's are moving their limit prices up and down faster than you, which is likely, then your limit order will quickly become the head of the queue at the price it is at. They will not care about your (to them, tiny) order enough to be affected by it, but it will have to be filled first if there are no better-priced orders and the market trades to the point where limit orders at that price are filled.