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John
I don't know a/c/e, but I know Eurex pretty well, and I know a/c/e is
very similar to Eurex.
Eurex holds stop-market orders only on its server. Triggering the stop,
which requires an execution, creates a market order in Eurex.
Note the 'market order matching range' rule in Eurex, however:
4. Market-Order Matching Range
During the trading period unlimited (market) orders for Futures
contracts are only matched with limit orders and quotes in the order
book whose price lies within a spread defined by the Eurex management
boards above or below the last price of the contract. The last contract
price is the price of the last matched two limit orders or two quotes,
or one limit order and one quote in the contract. If incoming market
orders cannot be executed or can only be partially executed they will be
transferred to the order book. New incoming limit orders or quotes will
be executed with the remaining unlimited orders when their price lies
within the spread above or below the last contract price. If the price
of an incoming limit order or quote is not within this spread, but can
be executed with other limit orders or quotes which may be in the order
book, the new last contract price is the price at which this limit order
or quote is executed with the other.
Current Market Order Matching Range:
FGBL/FGBM/FGBS 5 Ticks
FGBX 5 Ticks
FEU1/FEU3 5 Ticks
CONF 15 Ticks
FSMI 15,00 Index points
FDAX 5,00 Index points
FFOX 5,00 Index points
FESX/FSTX 10,00 Index points
FN50 20,00 Index points
Does a/c/e have a similar concept?
Regards
DanG
I4Lothian@xxxxxxx wrote:
>
> Don:
>
> The answer, as you can see from my reply to Earl, is "all of the above."
>
> If an exchange matching engine (a/c/e, Globex2, Eurex) supports a specific
> type of stop or stop limit order, then PATS routes to it. At least for the
> exchanges we are connected to so far, a/c/e, Globex2 and I believe Eurex.
> Though I am not as well briefed on the Eurex functionality as I rarely trade
> it. I hope to be changing that.
>
> PATS will route Globex2 stops to the OM server, just like Leo web or our
> PriceTrade will. PATS will route Globex2 stop limits directly to Globex2,
> just like PriceTrade. Leo web probably does also, but I am not a user of it
> so I don't know all the specifics.
>
> PATS will routes stop orders directly to a/c/e. PATS will also allow you to
> created synthetic stop, stop limits and MIT orders hosted on your local
> machine. So a trader could put in an MIT order on an Tbond, Emini S&P or
> emini Nasdaq, but it would be held on their own machine. I don't have
> another system that will do this, so if one of my customers wants this
> functionality it is either this or a straight limit order. But choice is
> good.
>
> 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 3/24/01 10:54:30 AM Central Standard Time,
> detomps@xxxxxxxxxxx writes:
>
> << John,,
> dittio I was confused also. I am talkin Emini orders here. I really don't
> my stop order to be safely tucked in my server, waiting for a transmitted
> price to enter my machine, for the machine to make the calculations and then
> to broadcast back to the exchange servers with an order to sell.
> If I run PING to to LeoWebs server (as an example). A DSL ping takes about
> .125 to .20 seconds, a 56K modem takes about double.
> So I have price coming to me, I have price order being broadcast out, then I
> know when its busy at the exchange server my order request is put in a
> buffer, I have waited over 3 to 4 seconds in very busy markets to get a
> confirm back from a market order from Leoweb.
>
> So what is the bottom line about where limit and stop orders are held?
>
> Regards,
>
> Don
> >>
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