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"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."
Certainly you jest?! Please explain how waiting for the regular S&P to hit
a price would prevent an ugly fill in the mini. Most brokers won't think
of taking the contingent order you described. Do you stare at the screen
and "time stamp" the ticket the moment the regular S&P hits the price? I
find it hard to take orders, enter orders and chew gum at the same time ...
without having to monitor every tick. I guess I'm confused about the
logistics.
Steve Karnish
CCT
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> From: Mark Morrison <mmorrison@xxxxxxxxxx>
> To: mguess <mguess@xxxxxxxxxxxxx>; RealTraders <realtraders@xxxxxxxxxxxx>
> Subject: RE: Mini/SP discrepancy
> Date: Wednesday, July 28, 1999 11:17 AM
>
> 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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