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A couple of notes:
1) There are two places that stops can be held by the CME. One is in
Globex2. These are stop limits. The second is in something called the Order
Manager Server. This is where stops and market orders are sent by some
firms. There is a throttle on the stops and market orders whereby they are
converted into big "or better" limit orders, as determined by the specific
member firm. My clearing firm, ED&F Man International, Inc., uses a 16 tick
limit order for stops and market orders for emini S&Ps and emini Nasdaqs. It
is my understanding though that the OM server only holds orders for TOPS.
Orders entered from the FIX API do pass through the OM Server for databasing
(to be manipulated by a product called FirmSoft) but are passed directly to
Globex2. Firms may hold the stops themselves ( I can think of a couple that
do ) or they may preprocess the orders themselves and convert these into a
stop limit to be sent directly to Globex2 and handled there.
2) Of the firms that hold stops remotely to be sent into Globex2 once the
price has traded, these stops have just as much chance of being quicking
accepted into the queue of orders as the Order Manager Server, depending on
the pipe used to connect them and the distance the orders must travel. Still,
we are talking about miliseconds in most cases.
3) Yesterday was huge. Here is the press release from the CME:
GLOBEX(R)2, Equity Index Products, E-mini Nasdaq 100 Set Single Day
Volume Records as CME Moves Record $6.4 Billion Through Banking System
CHICAGO, Jan. 4 /PRNewswire/ -- Trading volume on Chicago Mercantile Exchange
Inc. (CME) soared to the second highest level in the exchange's 103-year
history Wednesday as the Federal Reserve Board unexpectedly trimmed key
short-term interest rates. Yesterday's single-day volume of 2,115,007 has
been surpassed only once before, on Feb. 4, 1994, when 2,191,819 contracts
were traded -- also the day of a Fed rate move.
Electronic trading volume on CME's GLOBEX2 system yesterday set a single-day
record of 286,628 representing 13.6 percent of total volume. CME equity
index products also set a new daily record of 250,668. E-mini Nasdaq 100
futures volume reached a new high, with 115,139 contracts changing hands as
the index posted its greatest single-day upward price move. The previous
record for GLOBEX2 was 263,277 on Nov. 30, 2000; for index products the
record had been 233,611 on Nov. 30, 2000; and for E-mini Nasdaq 100 the
earlier mark was 105,721, also on Nov. 30, 2000.
In addition, CME's Clearing House successfully moved more money than ever
before through the banking system during the course of its regular daily
mark-to-market settlement procedures-$6.4 billion. The greatest sum
previously transferred for a single trading day was $5.2 billion on April 14,
2000.
The Fed's move also triggered the second highest level of trading volume for
CME's interest rate products, including its flagship Eurodollar futures
contract; yesterday's 1,551,454 interest rate product total included
1,285,677 Eurodollar futures. The record was also set on Feb. 4, 1994, when
1,680,276 interest rate products changed hands, including a record 1,335,000
Eurodollars.
The burgeoning trading volume comes as the exchange completed the busiest
year in its history, trading more than 231.1 million contracts with an
underlying value of $155 trillion in 2000.
Regards,
John J. Lothian
Disclosure: Futures trading involves financial risk, lots of it! John J.
Lothian is the President of the Electronic Trading Division of The Price
Futures Group, Inc., an Introducing Broker.
In a message dated 1/4/01 2:33:24 PM Central Standard Time,
catapult@xxxxxxxxxxxxxx writes:
<< Doesn't matter if I'm already there with my stop order. The floor
brokers are a day late and a dollar short if they are reacting to the
news. That's what I love about Globex. It doesn't play favorites. But
actually, my comment was directed more at the bit about the floor broker
fumbling with his deck to dig out your order. Not relevant to the
current discussion. Sounds like fills were still pretty bad (although
it's not too surprising, I guess) if Rich's order was in the Globex
system and he took a 15.5 point hit. I was just trying to get a sense of
how well people got filled as I didn't have an order working then and
it's good to know these things.
Rich, here is what I'm showing for ticks between when your stop was
elected and your fill price was touched. This is crummy BMI data so, no
doubt, it's missing a number of ticks. There were a LOT of trades in
there so, if I were you, I'd be pressing my broker to make sure they
aren't queuing your stop orders. It sure looks that way to me.
> I checked with my broker and he tells me
> that they use the FIX API and the way stops work for globex is they are
> sitting in a globex order management computer and when the stop is hit
> it is sent in as a limit with 20 points above or below your price.
That doesn't tell me if it's sitting in a CME computer or a Best
computer. BIG difference. If you want to be first in a price shock, your
order needs to already be at the CME. >>
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