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Compounding the problem is an apparent problem in the
speed/synchronization of the CME's price feed with Globex per this note
received from my broker: In several years of using the e-mini, I got my
first "bad" fill on Wednesday near the bottom (not fast market),
apparently due to this problem. I was filled only .75 from my stop,
however it was apparent from T&S that I would have been filled at my
stop had the stop been released properly.
> Over the last several days, it has become apparent that the price feed
> used by the CME is running several seconds behind the actual trading
in
> Globex. We are not in control of this process and cannot be
responsible
> for delays caused by it. While the CME is attempting to resolve the
> problem, we highly recommend that in the interim users consider using
a
> Stop Limit order or a Market order instead of a Stop. Stop Limit
orders
> are accepted directly by Globex and do not require any special
processing
> while Market orders are converted to limits and entered immediately.
Earl
----- Original Message -----
From: <I4Lothian@xxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Thursday, March 16, 2000 1:49 PM
Subject: [RT] FUTR: E-mini Stops
> 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.
>
>
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