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Anyone interested in the rules on how and why E-mini fills can busted should
call the GLOBEX Control Center at:
1-312-GLOBEX-1 (456-2391). Ask them to fax you the "CME GLOBEX ERROR TRADE
POLICY". It's five pages long. I always thought an electronic fill should
stick, and prices generated from GLOBEX were perfect. Not so. I guess you
learn something new every day!
Mark Morrison
Professional Market Brokerage
Chicago, IL
-----Original Message-----
From: listmanager@xxxxxxxxxxxxxxx [mailto:listmanager@xxxxxxxxxxxxxxx]On
Behalf Of I4Lothian@xxxxxxx
Sent: Wednesday, January 12, 2000 10:47 AM
To: realtraders@xxxxxxxxxxxxxxx
Subject: [RT] Re: GEN: globex limit orders
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. >>
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