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Michael:
I see large discrepancies (3 or more handles) at least once or twice per
month. It's not bad quotes -- it's real. Take a look at Oct 15th last
year. When the Fed unexpectedly cut the rates, the market shot straight up.
The E-mini went 24.00 handles higher than the regular S&P! That's one of
the disadvantages of a purely electronic market. I'm not a big fan of the
pit, but when a huge number of market orders hit in the same direction at
the same time, the locals in the pit can absorb those orders (take the other
side), whereas the GLOBEX computer just keeps matching orders until they are
all filled. If there are not enough resting orders to stop the move, the
E-mini can easily go several handles beyond the price of the regular S&P. I
like to use stop limit orders for this reason. Another alternative is to
ask your broker to hold your stop orders and wait for the regular S&P to hit
the price before executing a market order in the E-mini.
Mark Morrison
Professional Market Brokerage, Inc.
Chicago, Illinois
1-888-694-2397
> -----Original Message-----
> Sent: Wednesday, July 21, 1999 12:11 PM
> To: RealTraders
> Subject: Mini/SP discrepancy
>
>
> This morning I had a protective sell stop @ 1390.00 in the emini. The
> mkt started trading down to it & it was hit @ 10:43 CST. At that time
> the SP was trading @ 1391.00. I was filled @ 1386.50!! A slippage of
> -350 pts. The SP didn't trade to the 1387.00 level (it never got to the
> emini's low of 1385.00 on that move) until 10:46, a full 3minutes later!
>
> It's bad enough I got slipped -350 pts, but what explanation is there
> for a full 3 minutes difference between the two contracts? I use BMI
> satellite & have consistently tracked the difference between the two
> contracts at no more than 5-10 seconds at worst. What's going on here?
>
> Michael
>
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