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One additional thing: Some brokerages automatically do stop limits in
the emini for stops due to such air pockets. 99% of the time, it is to
your advantage, but not always. Find out their policy or you might think
you are filled when you are not!
Steve Poser
--
Steven W. Poser, President
Poser Global Market Strategies Inc.
http://www.poserglobal.com
Mark Morrison wrote:
>
> 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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