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It seems the CBOT has instituted a new technique for reporting spread orders.
It is called a sled spread. It covers all spreads in all contracts, though
I have not seen the specific rules or details.
You are told you are filled on your order, given the premium difference, but
not reported specific prices. Later, 99.9% of the time you are given prices
at clearing time that are equal to the previous close in the nearby contract
and then plus or minus the premium for the deferred contract.
The problem is, as I see it, is that this is incompatible with online trading
systems, especially ones were you can see your account status. Likewise,
depending on if the order was an open, the brokerage firm could have a double
fill risk if the trade is not canceled in the trading platform.
One of the parties of a trade can request their own prices to be punched for
the trade, equal to the spread difference. But this needs to be done right
away before the trade is sent to clearing (my guess in most cases and
brokerage firms).
I have not heard of this before and am very surprised the CBOT did not make a
big deal about getting this information out. Has anyone else heard of this
and do you have any official information explaining it?
Regards,
John J. Lothian
Disclosure: Futures trading involves financial risk, lots of it!
Disclosure: John J. Lothian is the President of the Electronic Trading
Division of The Price Futures Group, Inc., an Introducing Broker.
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