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Very orderly, however there are no downticks so this was probably an
instance where bunched stop loss orders to cover shorts (buy) were
distributed across resting sell orders which still made for pretty decent
slippage. The big difference is that the matching was done mechanically
rather than in pit pandemonium and anyone who had resting orders was filled
first in first out at same price - can still mean 15 points in this kind of
market.
It is precisely this kind of situation which can really hurt the trader
whose stops are not already resting on the globex computers because they are
coming in as high limit orders at the tail end of the queue.
Earl
----- Original Message -----
From: "DH" <catapult@xxxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxx>
Sent: Thursday, January 04, 2001 12:53 PM
Subject: Re: [Fwd: Re:[RT] Market - OEX astro]
> Hi Ira,
>
> > Who do you think would be the first to go to the E-mini? Probably the
floor
> > traders.
>
> 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.
>
> --
> Dennis
>
> "Date", "Time", "Close", "Volume"
> 01/03/2001, 13:14, 1298.500000, 1
> 01/03/2001, 13:14, 1298.500000, 1
> 01/03/2001, 13:14, 1298.500000, 5
> 01/03/2001, 13:14, 1298.500000, 1
> 01/03/2001, 13:14, 1298.750000, 3
> 01/03/2001, 13:14, 1298.750000, 1
> 01/03/2001, 13:14, 1298.750000, 5
> 01/03/2001, 13:14, 1298.750000, 1
> 01/03/2001, 13:14, 1299.000000, 4
> 01/03/2001, 13:14, 1299.000000, 3
> 01/03/2001, 13:14, 1299.000000, 1
> 01/03/2001, 13:14, 1299.000000, 3
> 01/03/2001, 13:14, 1299.250000, 2
> 01/03/2001, 13:14, 1299.250000, 4
> 01/03/2001, 13:14, 1299.250000, 2
> 01/03/2001, 13:14, 1299.250000, 5
> 01/03/2001, 13:14, 1299.250000, 1
> 01/03/2001, 13:14, 1299.250000, 5
> 01/03/2001, 13:14, 1299.250000, 5
> 01/03/2001, 13:14, 1299.250000, 1
> 01/03/2001, 13:14, 1299.250000, 5
> 01/03/2001, 13:14, 1299.250000, 5
> 01/03/2001, 13:14, 1299.500000, 1
> 01/03/2001, 13:14, 1299.500000, 10
> 01/03/2001, 13:14, 1299.750000, 2
> 01/03/2001, 13:14, 1299.750000, 1
> 01/03/2001, 13:14, 1299.750000, 1
> 01/03/2001, 13:14, 1299.750000, 5
> 01/03/2001, 13:14, 1299.750000, 1
> 01/03/2001, 13:14, 1299.750000, 5
> 01/03/2001, 13:14, 1300.000000, 10
> 01/03/2001, 13:14, 1300.000000, 1
> 01/03/2001, 13:14, 1300.000000, 14
> 01/03/2001, 13:14, 1300.250000, 2
> 01/03/2001, 13:14, 1300.250000, 1
> 01/03/2001, 13:14, 1300.500000, 1
> 01/03/2001, 13:14, 1299.750000, 5
> 01/03/2001, 13:14, 1301.750000, 1
> 01/03/2001, 13:14, 1302.000000, 1
> 01/03/2001, 13:14, 1302.000000, 7
> 01/03/2001, 13:14, 1302.500000, 5
> 01/03/2001, 13:14, 1302.500000, 2
> 01/03/2001, 13:14, 1302.000000, 1
> 01/03/2001, 13:14, 1302.750000, 2
> 01/03/2001, 13:14, 1303.500000, 4
> 01/03/2001, 13:14, 1303.500000, 1
> 01/03/2001, 13:14, 1303.750000, 1
> 01/03/2001, 13:14, 1304.500000, 1
> 01/03/2001, 13:14, 1304.750000, 1
> 01/03/2001, 13:14, 1304.750000, 1
> 01/03/2001, 13:14, 1304.750000, 1
> 01/03/2001, 13:14, 1304.750000, 2
> 01/03/2001, 13:14, 1304.750000, 1
> 01/03/2001, 13:14, 1305.000000, 1
> 01/03/2001, 13:14, 1305.000000, 2
> 01/03/2001, 13:14, 1305.000000, 1
> 01/03/2001, 13:14, 1305.250000, 1
> 01/03/2001, 13:14, 1305.250000, 1
> 01/03/2001, 13:14, 1305.500000, 1
> 01/03/2001, 13:14, 1305.500000, 1
> 01/03/2001, 13:14, 1306.000000, 1
> 01/03/2001, 13:14, 1306.000000, 1
> 01/03/2001, 13:14, 1306.000000, 1
> 01/03/2001, 13:14, 1306.000000, 1
> 01/03/2001, 13:14, 1306.750000, 4
> 01/03/2001, 13:14, 1308.750000, 2
> 01/03/2001, 13:14, 1309.000000, 2
> 01/03/2001, 13:14, 1309.000000, 1
> 01/03/2001, 13:14, 1309.000000, 1
> 01/03/2001, 13:14, 1309.000000, 1
> 01/03/2001, 13:14, 1309.000000, 8
> 01/03/2001, 13:14, 1309.000000, 1
> 01/03/2001, 13:14, 1309.000000, 1
> 01/03/2001, 13:14, 1309.500000, 1
> 01/03/2001, 13:14, 1309.500000, 1
> 01/03/2001, 13:14, 1309.500000, 1
> 01/03/2001, 13:14, 1309.750000, 1
> 01/03/2001, 13:14, 1306.250000, 1
> 01/03/2001, 13:14, 1310.000000, 15
> 01/03/2001, 13:14, 1312.000000, 1
> 01/03/2001, 13:14, 1312.000000, 3
> 01/03/2001, 13:14, 1311.000000, 1
> 01/03/2001, 13:14, 1310.500000, 4
> 01/03/2001, 13:14, 1310.500000, 1
> 01/03/2001, 13:14, 1312.500000, 2
> 01/03/2001, 13:14, 1312.500000, 1
> 01/03/2001, 13:14, 1312.500000, 1
> 01/03/2001, 13:14, 1313.500000, 3
> 01/03/2001, 13:14, 1314.000000, 1
>
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