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Jack:
We use TimberHill also, and I have on occasion had the same type of problem.
When it first happened to me, I was told by TimberHill that I was
responsible for re-entering the order if the order was reported filled and
then later busted. Sometimes, like in your case, by the time you find out
the order has been busted, you don't have time to re-enter your order, and
your opportunity is lost to get that fill. That really sucks, but that's
one of the dangers of electronic trading. If you (or your broker) had
called in the order, your order would continue working until it was filled
or cancelled. Not so with TimberHill's system.
Now in TimberHill's defense concerning busted orders, their explanation is
something like this:
Suppose you are working a limit order to sell 1 S&P at 1279.80 and you see
the market go up to 1279.80 (or even higher). The TimberHill broker is
yelling out to the pit that he is trying to sell 1 at 1279.80, and another
floor broker or floor trader buys it from the TimberHill broker, who then
immediately reports to you that you sold 1 at 1279.80. Then a third broker
in the pit yells, "Hey wait a minute! I've been offering to sell at
1279.70. You can't sell at 1279.80 until I sell at 1279.70!!!"
The third broker is correct. The CME does not allow trades above the best
offer (nor do they allow trades below the best bid). All sell limit orders
priced below your offer have to be filled first. In other words, if you're
trying to sell at .80 and there is another offer out there that is better
(lower) than yours, you can't be filled until those lower offers are gone.
The TimberHill broker is not allowed to fill the order. Of course he is not
violating any rules intentionally, but in the crazy atmosphere of the S&P
pit, it's easy for things like that to happen. When it does happen, the
keypuncher on the floor reports that a trade took place at 1279.80, but then
the third and fourth and fifth brokers, etc., who got screwed because they
were not able to sell LOWER than the TimberHill broker (they were all
offering to sell at the same time, but at different prices), raise hell and
tell the pit committee, who then circulate a petition to bust that high
price of 1279.80, because the market shouldn't have gone that high when
there were outstanding offers at a lower price. That all takes several
minutes. Now if you have a good quote service, like CQG or Future Source,
you will see busted trades and inserted trades in the time & sales, but only
after the CME keypunchers put out that corrected data.
I've asked TimberHill to NOT report a fill unless they are SURE that the
order was filled, however, they say we can't have it both ways. They are
very good about reporting fills quickly. If they had to wait several
minutes to report each and every fill in order to be sure that the pit
committee won't bust the price, we would be very unhappy about the slow
service. So, either we continue to get fills reported quickly and
occasionally get screwed on busted trades, or we have to wait forever to get
a confirmation of a fill. If you had to wait several minutes for
confirmation of each fill, you wouldn't be able to daytrade the way you do.
Three suggestions: 1) Trade E-minis, or 2) don't trade regular S&P's
electronically as long as there is still open outcry (subject to human error
and inefficiency), or 3) use market orders to be sure you are filled.
Personally, I like the E-minis the best. Yesterday's volume in the S&P was
123,793 contracts, and the E-minis 46,456 contracts. Impressive, huh?
Mark Morrison
Professional Market Brokerage, Inc.
mmorrison@xxxxxxxxxx
-----Original Message-----
From: bicer@xxxxxxx <bicer@xxxxxxx>
To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
Date: Tuesday, March 23, 1999 4:03 PM
Subject: Rescinded Fills ?
>I'm currently dealing with a problem I have never dealt before regarding
electronic
>trading with Rosenthal Collins/Timberhill EFutures software.
>
>Today I put an S&P Limit order, price ticked through my limit and I got an
electronic
>fill confirmation on my screen, showing my ticket number and the fill
price.
>About 3 minutes later, I exited at the market for a profit. Immediately
after
>sending my market order, I received an electronic message from Rosenthal
Collins
>saying "The broker rescinded my entry fill".
>
>Unfortunately my exit order was executed at the market, and instead of
being
>flat, I was now in a long position, and by the time I exited the long
position
>(after inquiring about the message) a winning trade turned into a sizable
looser.
>
>
>I am a little puzzled. How can Rosenthal Collins/Timberhill rescind a fill
about
>3 minutes after it is filled?
>
>Has anyone dealt with such a situation? Any advice will be appreciated.
>
>I will post as to how Rosenthal Collins/Timberhill will resolve this
situation.
>
>
>Please email to me directly at bicer@xxxxxxx , as well as posting to the
list.
>
>
>Thank you,
>Jack Bicer
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