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Neil:
One of the problems with the E*minis is that since the orders are not held, per
se, no one is obligated to fill anyone unless it is profitable to them to take
the other side of the order. In effect, your order is sort of reduced to an
auction and because the E*mini is not always arbitrageable to the SPs, they will
sometimes hit pockets of no bids or offers, especially in these recent markets.
You may see the SPs trade through real prices and yet you cannot get executed at
those prices because no one will take the other side of your E*mini trade.
Similarly, in designated fast markets, there are times when you are trying to
exit a market and if you try to use a limit order [an 'or better' order], the
price may tick through your order but you won't get filled. The usual answer
when you complain is that the pit may have traded 978.00, say, but your broker
wasn't filled because the 978's traded away from him.
Especially in these markets, I ask where the market is and then buy at the
market or sell at the market. If you try to make that extra tick here or there
trying to get a great fill, you might not get out at all. And then you may have
to chase the price as it moves away.
Best,
Tim Morge
PS: I would guess that the reason Earl's 100.00 order was rejected was because
100.00 is out of some range of acceptable price for the day.
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