[RT] Re: GEN: globex limit orders

[I4Lothian@xxxxxxx]

Dennis-

If you don't mind me putting in my two cents.  :-)  I recently posted a piece 
about how the E-mini stops work back before the Y2K.

E-mini stops are handled differently from FCM to FCM.  My clearing firm, ED&F 
Man International, Inc. handles about 40% of the TOPS volume, which is a 
significant chunk of the E-mini volume.

Most FCMs which use "stops," route the stops to the CME Order Manager Stop 
Server.  This allows the FCM to set the stops at anything from an aggressive 
limit order to a full throttle stop.  To my knowledge, no one has set the 
stops at full throttle.  My FCM uses a 2.00 or 8 tick limit order from the 
"previous trade."  Thus, a 1450.00 sell stop becomes a limit order at 
1448.00.  It seems to me that 99+% of the time these stops are filled.  Other 
FCMs may have them set differently.  Volatility is certainly a factor to 
consider when using these stops.

Also, stop limit orders are accepted right into Globex2 and the limit can be 
individually set by the client, assuming the online interface facilitates 
stop limits.  Some do not.

Additionally, many market orders are also sent to the Stop Server for 
execution, even if a firm does not use or allow use of the Stop Server for 
stops.

I know of other FCMs which have their own system for dealing with stops too.  
The lesson is to keep asking the right questions to your FCM to get the 
specifics of how they are doing things.

Regards,

John J. Lothian

Disclosure: Futures trading involves financial risk, lots of it!

Disclosure: John J. Lothian is the President of the Electronic Trading 
Division of The Price Futures  Group, Inc., an Introducing Broker.


In a message dated 01/12/2000 10:13:38 AM Central Standard Time, 
dennis@xxxxxxxxxx writes:

<< Michael, could you clarify the mechanics of how stop orders are
 currently handled by Globex2? Have the internal Globex2 stops been
 implemented? If so, how do they work and are they being used by all the
 FCMs?
 
 Under the old system, a sell stop order was stored in TOPS and, when
 elected, TOPS would enter a limit order into Globex below the market.
 Default was 200 points below but some FCMs, including mine, felt that
 was too tight and used bigger numbers... 400 in my case. I've never
 gotten a good answer about whether that is 400 below my order price or
 400 below the tick that elected my stop.
 
 Any clarification would be much appreciated. >>