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Good question. All of my orders have been market on open or market on close.
I keep exceptionally detailed records of every fill. For example, for an MOC
order on the Midam, I record the settlement price of the midam contract, the
settlement of the associated major, and my fill. I calculate two "slippage"
numbers, one being defined as the difference between my fill and the midam
settlement, the other being defined as the difference between my fill and
the major market settlement. The midam settlements and their associated
major settlements seem to always be identical for the grains, meats, and
metals. Currencies are usually off by a few ticks. Same with 10-year notes.
All of my signals and analysis are done with the major market data. I only
use the midam to execute. It has worked out very well.
One thing I don't have any data for is fills on stop orders. I don't use
in-the-market stops, only MOC, MOO orders.
Scott
-----Original Message-----
From: Hinton Clabaugh <clabaugh@xxxxxxxxx>
To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: Friday, November 27, 1998 11:39 AM
Subject: Re: MidAm
>Do you find fills OK on market orders, or do you mean you're able to get
>filled at limits? I've always assumed market orders wouldn't work, except
>for the bonds, but I've never actually tried.
>
> Thanks.
>
>
>>All of my fills on the midam have been very close, if not the same as the
>>majors.
>
>
>
>
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