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Phil Lane wrote:
>
> Did anybody actually have a buy stop in there, and was/wasn't it executed
> in a reasonable fashion? I'd sure like to know if reality is significantly
> different than I think it is!
Someone on a bulletin board stated he had $1900 slippage in the e-mini,
claimed he had a 1030-ish stop and was filled at 1067. I don't know the
details. Yet someone on the mailing list had his stop filled right at
his price.
>Hey guys, isn't the exchange obliged as a condition of doing business to
> make a market, regardless of whether or not they feel like it?
>
> I was looking at a tick chart. Looks pretty orderly to me, the move took 4
> full minutes. Plenty of time for buy stop orders to be executed. The ones
> who had problems were the market makers, who were obliged to take the other
> side of the trades.
I'm far from an expert in this, but no I don't believe there's an
obligation. The reason futures sometimes lock at the limit with no
trading is that no-one (floor or otherwise) is willing to take the other
side of the trade within the permissible prices for the day. There's no
upside limit on the sp (except at night) so presumably the market would
find a level where someone would in fact sell. But I don't think
there's any rule that says the first trade after the FED announcement
couldn't have been 1200 if that's the lowest anyone would sell at. I
don't think there's any obligation on the part of anyone to take the
opposite side of your trade if they don't want to.
I wonder if a lot of the initial sales weren't preplaced orders from
off-floor, say someone wanting to sell short on a bounce to 1030, with a
resting order to sell. Seems like the floor would not sell until there
was some expectation the rocket ship was slowing down. Granted, their
very short timeframe would give them a quick trigger on this.
Is any of this right?
Conrad Bowers
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