Mostly ES and CL. Sometimes commodities like GC. Size is usually between 5 and 20
Why is my order always last in line?
- Thread starter schizo
- Start date
According to http://www.cmegroup.com/globex/files/PriceBanding.pdf
ES, CL, GC are all code F
F is FIFO
From http://www.cmegroup.com/confluence/...tching+Algorithms#MatchingAlgorithms-Pro-Rata
FIFO
The FIFO algorithm uses price and time as the only criteria for filling an order. In this algorithm, all orders at the same price level are filled according to time priority; the first order at a price level is the first order matched.
It is important to note that an order loses order priority and is re-queued when changed in any of the following ways:
ES, CL, GC are all code F
F is FIFO
From http://www.cmegroup.com/confluence/...tching+Algorithms#MatchingAlgorithms-Pro-Rata
FIFO
The FIFO algorithm uses price and time as the only criteria for filling an order. In this algorithm, all orders at the same price level are filled according to time priority; the first order at a price level is the first order matched.
It is important to note that an order loses order priority and is re-queued when changed in any of the following ways:
- Increase the quantity
- Change the price
- Change the account number
I developed a automated program where once price moves away from previous price, limits are sent at that price in split seconds, it doesn't not do hundreds of lots in ES and is based on volume of previous hour as far as so many contracts traded, it doesn't not increase size once orders are sent, I am a scalper, in my day trading very seldom ever target from original entry of 9 ticks, BUT the orders that were sent in day before might still be sitting there under GTC and those stay there cause of S/R, some get canceled it sees no way of trade of safely able to get volume of getting out based on currently volatility, even a ten lot at times too much at 11:30pm. I am very conservative, so I don't want to be more than 10% of the volume in middle of the night one minute bars nor 5% and less during day session. Middle of the night it is waffling back and forth for 2-3 ticks, it might do 5 trades in 24 hours and it might do 200 trades just looking for 2-3 ticks, it is often exiting allowing those who do trend trading to get in. It pulls orders just before reports up to 20 points both sides in ES.
So when you say you put in orders asap, mine are already in there. Also, when I day trade, I never use limit orders or protective stops, it is too cumbersome for me, sometimes like today when reports came out, mega second entry as market going straight up I was getting short and huge slippage get short more when ES topped and buys filled in instant and even better than when I saw three points cause market tanked. When you put limits, world see what you trying to do, I don't want this, and canceling protective stops is something else I have to move my eyes from screen to do.
Here is what I use to do many moons ago, if you know the price you want to target even though you not taken an entry yet, put in your limit target first then when you get filled, you in the que first. Be quick to cancel if price shoots up before filling you. I prefer hitting bid/ask and giving up tick cause I am watching the DOME and you watch that long enough, you be able to see when you should wait to get in better.
So when you say you put in orders asap, mine are already in there. Also, when I day trade, I never use limit orders or protective stops, it is too cumbersome for me, sometimes like today when reports came out, mega second entry as market going straight up I was getting short and huge slippage get short more when ES topped and buys filled in instant and even better than when I saw three points cause market tanked. When you put limits, world see what you trying to do, I don't want this, and canceling protective stops is something else I have to move my eyes from screen to do.
Here is what I use to do many moons ago, if you know the price you want to target even though you not taken an entry yet, put in your limit target first then when you get filled, you in the que first. Be quick to cancel if price shoots up before filling you. I prefer hitting bid/ask and giving up tick cause I am watching the DOME and you watch that long enough, you be able to see when you should wait to get in better.
u are only a small trader and small traders just lose
Are you sure it just doesn't look like you are filled last, while in reality all the traders behind you in the queue just cancel the moment the price reaches your level instead of getting filled? (that's for true fifo markets, in equities or options for example different markets vie for the first fill in parallel.)
No. I have had instances where it appears new orders are coming in and getting fills while my limit order is not hit.
What reason do consumers have to trust the CME, what sort of oversight guarantees their honesty?
There's no queue jumping. I and others track our position in queue. If there was any funny business going on it would be immediately apparent.
However. Your broker might be canceling and resubmitting your order without you noticing. IB used to do this a long time ago. "Refreshing" customer orders so they wouldn't get "stale". I can't imagine any broker getting away with that in the current regulatory environment.
However. Your broker might be canceling and resubmitting your order without you noticing. IB used to do this a long time ago. "Refreshing" customer orders so they wouldn't get "stale". I can't imagine any broker getting away with that in the current regulatory environment.