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John, when you have a few spare minutes, some brief illustrations of the
treatment of like stop and stop limit orders from different interfaces e.g.
TOPS, FIX, off-Globex, would prove illuminating. Thanks.
Earl
----- Original Message -----
From: <I4Lothian@xxxxxxx>
To: <realtraders@xxxxxxxxxxx>
Sent: Thursday, January 04, 2001 2:22 PM
Subject: Re: [Fwd: Re:[RT] Market - OEX astro]
> 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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>
>
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