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In a message dated 5/26/00 3:39:10 PM Central Daylight Time,
dennis@xxxxxxxxxx writes:
<< That's one of the biggest advantages of the mini. All the orders funnel
through the same pipe and it's 100% democratic. If Joe Little Guy's
order gets in there before Jack Important Local's, Joe gets the fill.
>>
**** The CME does use a first in first out formula for filing orders, which
in an active market like the mini is the right choice in my book. It is
interesting to note that the CBOT uses an algorithm which tries to replicate
the allocation of the trading floor and is based on the size of your order
relative to the total size on the bid or offer. What this has done is it has
encouraged locals trading Project A to bid or offer in much greater size in
the hope of getting some percentage of it filled. Bid on 500 and hope to get
50 or maybe bid 50 to get 10. But they might get 500/50 some of the time.
Make things kind of interesting in its own special way. Kind of reminds me
of Eurodollars where locals trade much bigger size because of the small daily
ranges and liquidity of the contract. Look out when they all need to get out
of their big positions at the same time.
***** It would seem to me that Richard Josslin explained this specific case
the best. Nice job.
Regards,
John J. Lothian
Disclosure: Futures trading involves financial risk, lots of it!
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