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John:
***** It should be noted that John McKenzie is not a client, but we do share
Scottish ancestry. :-)
You are correct about market orders on Globex2 being modified limit orders.
Different firms set the throttle of the limits to different levels. My
clearing firm, ED&F Man used to use 8 ticks in emini s&p and nasdaqs.
However, after the volatility of last spring, they increased the throttle to
16 ticks in both. I have not seen a market order not get filled in some time
and I don't hear much about bad fills either.
Since firms can and do change these levels from time to time, it is best to
contact your individual broker about them. As for where orders are routed,
again, it is best to contact them.
The emini Nasdaq does not have any order size limits. You can trade as many
emini Nasdaqs as you want. The other emini contracts still have order size
limits, though the CME is moving to lift them. This will help bring in more
larger traders, including some institutions.
Interesting new contract being launched by the LIFFE, a mini FTSE index. One
fifth the size of the big FTSE contract. Evidently the LIFFE has been paying
attention to the extraordinary success of the CME's emini contracts.
The CME has come out with a new version of the FIX API, which seems like an
oxymoron. The new version is supposed support futures, where version one was
modified to work with futures. This will be important as the CME interfaces
with some of its fellow exchanges.
The FIX API is supposed to be the way that trading platforms can interface
with Globex2 while not having to go through TOPS first. It was also supposed
to level the playing field, as all traffic was supposed to move to the FIX.
Some firms, taking advantage of an early window of opportunity interface with
Globex2 through a thing called the Frontal Interface. These were expected to
move to the FIX along with everyone going through TOPS. I will believe it
when I see it.
However, the FIX (version 1) is only being used in a limited fashion by most
firms and Independent Software Vendors. Best is the one exception, to my
knowledge. However, FIX was also supposed to route orders to TOPS and to
CUBS2 terminals. And to my knowledge, no orders are being routed through the
FIX for any open outcry trading. Thus, the FIX remains somewhat a program
still in development.
One of the major stumbling blocks for firms to move to the FIX API with the
bulk of their trading volume remains order management and redundancy. Orders
flowing through the TOPS system from online trading platforms can be
manipulated by a TOPS terminal even if the online system is down.
The CME has developed a browser based tool (Firmsoft) to monitor order flow,
but it only allows an operator to cancel an order from the interface. There
is no cancel replacing, or placing new orders. This limited functionality
does serve some important purposes, but many firms still want and need more
to manage their order flow.
It should be noted that the CBOT, to my knowledge, has no similar tool to
access order status should a firms trading interface go down. A phone call
is still necessary to check on the status of the order. "Hello Dusseldorf,
this is Chicago......"
For those of you wanting to trade on the floor of the CBOT before open outcry
ends, the CBOT is submitting to the CFTC a change in membership rights to
allow Midam members and other CBOT memberships to trade the metals contracts
of the CBOT. The Midam contracts will switch locations to the CBOT floor as
well.
Regards,
John J. Lothian
Disclosure: Futures trading involves financial risk, lots of it! John J.
Lothian is the President of the Electronic Trading Division of The Price
Futures Group, Inc., an Introducing Broker. The opinions expressed are his
personally.
In a message dated 09/27/2000 7:55:12 AM Central Daylight Time,
intruderjohn@xxxxxxxx writes:
<< Some time back John Lothian posted a good piece of info on electronic
trading. Perhaps he will post the archive where it might be found, as I
don't recall.
In response to inquiries I received, I checked two : BestDirect & IB (
there are others).
Jason Carter from Best replied that (1) PFGBest has only one line direct
to the CME Server ( they have the latest API, I believe), so orders are " at
times " backed up "; however, a second line is being installed and Should be
Functioning Next week. ( 2) A limit order is received at Best's Server, you
account checked for authorization to trade the amount you transmit ( no of
cars ) and sent to the CME at the existing price or better, etc. etc. (3) A
Market Order is recd / sent the same BUT the " or better " is 15 POINTS.
IB's site Says the Limit price is sent as you see it on the IB Screen, (
called a Workstation and all your info already there and calculated ) or
Better. Their Market Order is 10 POINTS. Hope John Lothian verifies this,
but believe IB & derivatives of same, use the CUBS system.
With the IB Personal Account, you DO NOT have a fast Desk Back Up. With
the Professional, you have your own Broker. - - so check this out. PFG Does
Have a responsive Desk.
Hope this of some Help.
>>
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