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Hi Earl,
> Very orderly, however there are no downticks
Not true. See below.
> 01/03/2001, 13:14, 1300.500000, 1
> 01/03/2001, 13:14, 1299.750000, 5
> 01/03/2001, 13:14, 1302.500000, 2
> 01/03/2001, 13:14, 1302.000000, 1
> 01/03/2001, 13:14, 1309.750000, 1
> 01/03/2001, 13:14, 1306.250000, 1
> 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.
Yup. Those downticks are what make me think Rich's order was stored in
the broker's computer. Even a few milliseconds delay could move you to
the end of the line in a price shock. As primarily a position trader, I
really appreciate the fact that I am rewarded for getting my limit
orders in early. I would like to hope that I am likewise rewarded for
getting my stops in early.
John Lothian, you would be doing all of us a big favor if you could
research this issue in depth. What exactly happens when the various
routing methods are used and what questions should we ask our brokers so
we can determine for ourselves if we are getting the best treatment for
our stop orders?
My own broker uses TOPS and I get electronic confirmation when the order
is accepted by TOPS. If there is a problem, I don't get TOPS
confirmation and the order is routed to a clerk. If time allows, I
cancel those and try again to get TOPS confirmation. So, my question
would be, is someone else, who enters a stop order at exactly the same
time via different routing, likely to get filled before me? I'm sure I
will get filled before someone whose order is stored on his broker's
computer but I don't know about the other non-TOPS routing methods
within the CME.
--
Dennis
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