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First you need to query your broker as to what method it uses to bring your
order into the OEX. Also recognize that OEX business has been so modest lately
that there are no capacity issues. Your order, most likely, comes to the OEX
electronically ... either to the RAEs or to the E book. Very little customer
business .. under 100 contracts .. is actually physically handled even if it
originates as a phone order. RAEs trades .. 20 or less in OEX are untouched by
human hands and filed electronically. Orders on the E book or broker
workstation are .. in effect ... just like RAEs trades in terms of fills and
reporting. The pit, because of the volume decline, has anywhere from 50 to 100
traders in it on most days. They in effect create 15 or 20 trading pockets that
fill the physical ... non electronic ... orders which are few and far between.
At the opening the CBOE now uses what is called the ROSS system... rapid opening
.... which takes the pre opening order and effectively matches the buys/sells
and trades the balance with the crowd based on their .. pre determined
...appetite for specific number of OEX delta. Capacity has not been an issue in
the OEX for a number of years. I wish it was, but it is not.
John Manasco wrote:
> When the OEX has a large number of orders hit all at once during the trading
> day (as opposed to market open or close) how are they filled? Is order size
> taken into account? I know certain triggers can start a flood of orders and
> I always seem to get my two to five lot orders filled worse than my friends
> trading larger lots especially when I'm trading a strike with high open
> interest.
>
> Just curious
>
> John Manasco
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