|
PureBytes Links
Trading Reference Links
|
Simon:
Just a minor clarification. PFG stops do not reside directly on Globex2,
they reside on the Order Manager Server, or OM Server of the CME. This is
the same server that handles stops and markets orders for TOPS based systems.
These stops are really aggressive limit orders once the price has been
elected. My FCM uses the OM server with 16 tick limits set to the stops.
Globex2 does accept stop-limit orders and those do reside directly on the
Globex2 host.
There was a thread several months ago on this and the Realtraders forum where
stops on Globex2 and the different front end systems were discussed.
As many of you know, my online brokerage operation is now offering the PATS
JTrader. One unique feature about the PATS JTrader is flexibility JTrader
has for stops, stop limits and MIT orders. You can route stop limits to
Globex2 or hold them on your computer. You can route stops to the OM, or
hold them. And you can hold MITs on your computer for release once the price
is hit.
I understand that PATS is also working on an OCO function, which could come
out in the next release. Additionally, PATS is working on adding market
maker functionality similar to that of the Globex2 terminals. Thus, you will
be able to be how many handles you want away from the last trade with a bid
and/or an offer. You will also be able to add bids and offers scaled up or
down at your selection of an interval for how many handles you want.
I decided last summer that we would need to go to an Independent Software
Vendor like PATS in order to make the leap to a new generation of trading
platform functionality. It is interesting to note that our clearing firm,
Man Financial Inc, agreed with us and deployed PATS. Since then even PMBe
has decided to deploy PATS and are a month or less away. I know of at least
one other FCM with an agricultural focus, that will be deploying PATS soon.
I believe you will also see some huge consolidation in the Independent
Software Vendor sector. You will see some of the 80+ ISVs go out of business
or sell out. There will be some firms which might pick up some of these
front ends for cheap.
Additionally, CQG is working with several clearing firms to develop
connectivity and order routing functionality from their CQG for windows to
the FCMs trading systems. This could be a huge hit with the CTA and hedge
fund community, as it will allow single screen order routing to multiple
FCMs. Tudor for example trades with 10 different FCMs. He does not want or
need 10 different screens for each of his traders to be able to trade.
Throw in the question of single stock futures later this year, or
connectivity to ECNs from your futures interface as the securities and
futures worlds come closer to merging, and you have a dynamic ever changing
marketplace. And that is why I write my daily industry news emails, to help
keep people informed as to what is going on.
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.
In a message dated 4/13/01 1:49:46 AM Central Daylight Time,
simtrader@xxxxxxxxxx writes:
<< Just to provide a full perspective on Interactive Brokers:
IMHO the way they handle stop orders is inferior to other systems like PFG
Best Direct. IB places your stop order as "waiting" which means that it
only actually gets transmitted when the price is touched. This process
adds X seconds delay to execution and results in greater uncertainty on the
fill. Your stop order is not timestamped or queued in order of priority
when it was sent ...because it isn't even "sent" until the price is
hit. By contrast, PFG places your stop order physically on Globex in
advance. It's been timestamped and prioritised accordingly. Your fill is
instantaneous when the price is hit.
In the Emini NQ this difference is most marked. If the market "runs"
through your stop price, with PFG you will get a fill at (or with very
little slippage at ) your price. While IB is still "sending" your order,
your fill could easily be several ticks away by the time it comes back. It
does you no good to save a few $$'s on commissions if you are paying
$20-$40 slippage on a stop order. Of course, there are times when the
delay in sending your stop order could result in a better price. But in my
opinion, this level of added uncertainty is NOT GOOD. In looking at the
statistics below I would ask the question: how many times were Dave's stop
orders hit with an extra $10-$50 slippage that wouldn't have occurred if
he'd used a different system? When analysing cost, there is more to
consider than just the commission rate.
I'm not saying that PFG is perfect ...but one must be aware of what the
differences are between different systems before making an informed decision.
Simon. >>
|