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I'm not sure that Limit orders are "not held" if price trades through the limit.
The e-mini has been a new experience for me this week in accommodating my risk
to the huge volatility in the spoo which I prefer to trade. I do know that the
bid/ask I get from DTN matches the CME's (free) real-time Globex feed and that
when the spoo is volatile the e-mini b/a and last can run $.50-$1.00 to trader's
disadvantage off the spoo so the arbing is at times obvious.
I've found that I can enter LeoWeb Limit orders several dollars away from the
b/a and still get execution of small lots at the bid or ask price. Assuming I
don't make a screwup in entering the limit price, causing my order to be
rejected without notification, the fills are near instantaneous from the time I
fire the order - as good or better as execution to which I'm accustomed trading
on the NYSE.
Earl
-----Original Message-----
From: Timothy Morge <tmorge@xxxxxxxxxxxxxxx>
To: Neil Harrington <njhprovo@xxxxxxxxxx>
Cc: 'Earl Adamy' <eadamy@xxxxxxxxxx>; 'List-omega' <omega-list@xxxxxxxxxx>;
leomgr@xxxxxxxxxxxxx <leomgr@xxxxxxxxxxxxx>
Date: Thursday, September 03, 1998 3:48 PM
Subject: Re: More LeoWeb shortcomings
>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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