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I agree the exchange and brokerages sure aren't doing all they can to
let people know. I have tried to explain this rule to a friend trading
through Lind Waldock. He has called and spoken to everyone up to the
desk manager and none of them know anything about it.
The 4 tick rule does exist though in practice I don't know exactly how
it works. My guess is this. Globex treminals don't have a "market" key
so when the order is received the operator sees the last trade (say
954.50) and then punches in a buy at 955.50 limit. It will be filled at
the next offer unless it is more than 4 ticks higher than 954.50. I
guess it is then a day order. The time it takes to type the order in may
allow the market to move more than 4 ticks. During Monday and Tuesday
last week markets were often more than a point wide so this could be
real trouble. This may be why the mini seems to have more extreme
highs and lows than the big SP.
Suggest you check out the Merc's web site to look for more answers.
Good Luck,
Eric
Visavis wrote:
>
> To all my ever dearest Realtraders,
>
> I got some problem last Tuesday after the Black Monday crash which I had
> mentioned before about the BIG slippage and delay of my fill on the CME
> Globex E-mini S&P 500. Which my market order was not executed because of
> the so called "4 tick rule" imposed on the E-mini.
>
> Do anybody knows what really is this "4 tick rule"? And where can I found
> it preferably in the public domain.
>
> Looks like if there is a rule like this but the public is not inform very
> well on this or just even slightly inform then the EXCHANGE would be really
> liable for it!
>
> This rule applies blindly to all of us traders who trade this Emini
> contract.
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