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That picture sparks another question: if the order hit had been a stop-limit
buy order, would it have been hit?
Which leads me to this: suppose you decided to bracket the long channel that
NQ made today with orders to catch a breakout, either way, what is the best
way to do this?
And, can you rest a stop-limit order for a money management stop? Example:
long ES at 1440, risk 3 pts to 1437. What is the correct order?
----- Original Message -----
From: "Dennis Holverstott" <dennis@xxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Tuesday, January 11, 2000 22:23
Subject: [RT] Re: GEN: globex limit orders
| > 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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