|
PureBytes Links
Trading Reference Links
|
With volatility like this, there is an increasing chance that e-mini stops
might not get filled, so it may be a good time to watch them closely and make
sure they got filled. Don't assume.
Some firms send e-mini stops to the CME Order Manager Server, which holds
them for execution until the price is hit, then routes them to Globex2.
There is a trick here though because of the way the Order Manager works. The
Order Manager looks at the last print of a trade previous to the order being
accepted by Globex2. My FCM has the limit set on stops and market orders for
2 full points on the e-mini S&P. Thus, Globex2 will execute the order no
worse than 2 points from the last trade, if it can at all.
Given the speed that the market sometimes moves in heavy volume like this,
the last price trade in Globex2 could be even worse than your stop level when
your stop is routed to Globex2 for execution. This means a stop at 146500
could be filled at 147000 if the last price hit was 146600.
Perhaps a trader is more likely to experience this in the e-mini Nasdaq where
the air pockets occur more often.
The alternative is to use a stop limit. Firms that accept stop limits more
often than not route those orders directly to Globex2 for execution. The
stop and the limit price can be set by the trader to match the existing
conditions. However, as with the stops sent to the Order Manager, there is
no assurance your stop limit will be filled if the market skips right over
your prices.
Some firms send market orders to the CME Order Manager for execution. My FCM
uses it and again sets the 2 point limit on e-mini S&Ps and 4 points on
e-mini Nasdaqs. It is good to keep in mind that market orders are just these
modified limit orders in many if not most cases. If you don't get a fill
right away, you order may be working as a limit. My system will not allow me
to cancel replace a market order, so the market order must be canceled and
confirmed out (just takes seconds) before a new order can be entered.
Days like this are when you want to sit up straight in your chair and make
sure you double check everything. Assume nothing.
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.
|