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John, I for one certainly appreciate your time and patience in explaining
with as much detail as possible, how stops are handled. If I might, I'm
going to take a crack at summarizing what you've said from the POV of the
retail trader with respect to stops on electronic (e.g. Globex2 and A/C/E)
futures trading systems:
a) most, if not all, orders (of all types) arrive on the exchange computers
via TOPS or FIX routing
b) stop orders, depending on order handling system deployed by the broker,
are held in one of 3 places: a broker "folder" on the exchange servers, the
broker's own servers, or the remote client computer. In no event, are stop
orders part of the system "book".
c) as prices are received from a real-time price feed, the stop orders are
checked, and if triggered, released to the order execution system where they
become part of the system "book" on a first in, first out basis (same
price).
d) the time delay required to move stop orders from the stop folder to the
system book is a function of: transmission time/delay of the real-time feed,
unknown priorities in processing broker stop folders on the exchange
computers, processing capabilities of broker and/or remote client computers,
and the transmission time required to move the triggered stop order to the
system "book".
e) high quality, high speed direct communications connections probably add
little to the total time while poorer quality connections e.g. dialup
internet might in fact incur significant transmission delay. Thus, stops
held on a broker server might incur near negligible delay compared to stops
held in broker folder on exchange server, however stops held on a client
dialup internet connection might incur considerable delay.
f) stop with limit orders are handled differently than stop orders in that
they are held as part of the system "book".
g) Globex2 can handle 35 transactions per second (1 order every 30
milliseconds), which might itself impose limitations in execution under fast
market conditions.
Forgive me (and please correct), if I have missed something important here.
Earl
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