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The Doctor replied to the Realtraders list so I thought I'd forward it here
since this is where my question originated and is germane to the recent
discussion between Guy and Githanshu.
Good luck,
John Manasco
----- Original Message -----
From: The Doctor <droex@xxxxxxxxxxxx>
To: <john@xxxxxxxxxxx>
Cc: <realtraders@xxxxxxxxxxxxxxx>
Sent: Saturday, July 08, 2000 10:52 AM
Subject: Re: [RT] OEX fills
> First you need to query your broker as to what method it uses to bring
your
> order into the OEX. Also recognize that OEX business has been so modest
lately
> that there are no capacity issues. Your order, most likely, comes to the
OEX
> electronically ... either to the RAEs or to the E book. Very little
customer
> business .. under 100 contracts .. is actually physically handled even if
it
> originates as a phone order. RAEs trades .. 20 or less in OEX are
untouched by
> human hands and filed electronically. Orders on the E book or broker
> workstation are .. in effect ... just like RAEs trades in terms of fills
and
> reporting. The pit, because of the volume decline, has anywhere from 50
to 100
> traders in it on most days. They in effect create 15 or 20 trading
pockets that
> fill the physical ... non electronic ... orders which are few and far
between.
> At the opening the CBOE now uses what is called the ROSS system... rapid
opening
> .... which takes the pre opening order and effectively matches the
buys/sells
> and trades the balance with the crowd based on their .. pre determined
> ...appetite for specific number of OEX delta. Capacity has not been an
issue in
> the OEX for a number of years. I wish it was, but it is not.
>
> John Manasco wrote:
>
> > When the OEX has a large number of orders hit all at once during the
trading
> > day (as opposed to market open or close) how are they filled? Is order
size
> > taken into account? I know certain triggers can start a flood of orders
and
> > I always seem to get my two to five lot orders filled worse than my
friends
> > trading larger lots especially when I'm trading a strike with high open
> > interest.
> >
> > Just curious
> >
> > John Manasco
>
>
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