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> Is there a book or someone around who could discuss the tactical use of
> limit and stop limit orders when screen trading globex minis? Something
> detailing nuances and ramifications and consequences of the use and misuse
> of these orders. Most efficient way to scratch. Best tactics for MM stops.
> Looking for something more substantial than "a limit order is for your price
> or better."
You won't find this stuff in any book but here's some of what I've
learned about the mini in my graduate program at the school of hard
knocks. I love those minis but you can't trade them the same way you do
the pit S&P.
Short version:
Limits good, stops bad.
Long version:
Check out the gif of ES (the mini) and SP (the big) Monday morning.
That's no bad tick. The mini really spiked down there. If you had had a
sell stop order sitting 5 or even 10 big points below the market, you
would have been filled at a horrible price in the mini but not at all in
the big. There are guys sitting at Globex terminals just itching to gun
your stops.
On the other hand, limit orders are much more democratic and fills are
much quicker in the mini than you could ever get in the pit. Globex
processes the orders first come first served and a little one lot guy is
treated just as well as a big hedge fund manager. The computer doesn't
know who you are. If your order gets in first, you get filled first.
That's why I like it so much.
Just gotta use a lot of care with stop orders. Either watch the screen
all day with mental stops and exit at the market or accept that, once in
a while, you are going to get hosed.
In a way, this ties in with the earlier thread about what happens if the
specialist system in stocks goes away. On one hand, a little guy can get
more fair treatment. On the other hand, there can be some nasty spikes
if there don't happen to be any bids when you want to sell. On balance,
I'd prefer a true electronic open auction to the specialist system.
--
Dennis
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