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Jeff,
thanks for fedback.
I talked to my broker and he assured me that a buy limit order placed above the
market
on Globex will be executed right away. He himself placed several times such
wrong orders,
of course, by mistake.
Then I have asked him: At what price was it executed?
His answer was that usually it is at market price. However, he cannot
guarantee that price. It could be anywhere between market and wrong
-- much higher limit price.
I need to do more research to find out a penalty for thes types of wrong
orders caused by bugs in EL code or by human mistake.
DC
----- Original Message -----
From: "Jeff Meek" <jeff@xxxxxxxxxx>
To: "DC" <dc010225@xxxxxxxxxxxxx>; <omega-list@xxxxxxxxxx>
Cc: "DC" <dc010225@xxxxxxxxxxxxx>
Sent: Monday, June 03, 2002 8:37 AM
Subject: Re: Bad ticks
Unless I am mistaken, a buy limit order placed above the market on Globex
will be executed by Globex at the current market price. That is in fact how
Globex brokers simulate a market order on Globex, which has no native
support for market orders. The broker takes your market buy and puts it on
Globex as a limit buy order 10 points (for ES) above the market.
This is one reason why ES has so few "bad ticks". Human error of this kind
results in a market order, not a whacked out fill way off from the current
market.
Stocks are a different animal of course...
-Jeff
> BUY @ P3 Limit, where P3 = P1 + Delta points, i.e.
> instead - sign, a + sign is used in Buy formula.
>
> This bad order is placed above the market, and I am
> expecting that PATS will snatch it right away and
> execute it within 2 sec.
>
> Other market participants will see a spike in prices
> above current market equal to Delta. They will interpret
> it as a "bad" tick. Only I will know it was a bug in my
> EL code.
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