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This includes a good explanation of Globex handling of Stop versus Stop
Limit orders for emini.
Earl
----- Original Message -----
From: <support@xxxxxxxxxxxxxx>
To: <eadamy@xxxxxxxxxx>
Sent: Wednesday, June 27, 2001 7:32 AM
Subject: FED ANNOUNCEMENT WARNING
> June 27, 2001
> ______________________________________________________________
>
> The Federal Reserve Open Market Committee is expected to release a
> statement today at approximately 1:15pm Chicago time. Historically, the
> announcement by the Fed has triggered sharp market reactions. For this
> reason, we advise that market participants be careful as they approach the
> time of the announcement.
>
> A Special Note about order types on Globex2: The matching paradigm for
> Globex2 best supports Limit and Stop Limit orders. In almost all
> instances, these are the only order types we accept. The exception to
> that is for E-Mini S&P and E-Mini NASDAQ. For these markets, the CME
> arranged for a special tool capable of "handling" Stop orders and Market
> orders, but there are some important differences to regular Stops and
> Markets which you should be aware of. In the case of Market Orders, the
> systems obtain a last price from the Globex2 price feed, either add or
> subtract a maximum collar, and then place the order to the Globex2
> matching engine as a limit order. Stop orders are held in queue and when
> the price feed from Globex2 indicates that the order has been elected, a
> last price is obtained from Globex2, the collars are applied, and again
> the orders are entered into Globex2 as Limit Orders. In most instances,
> this smoothly handles the transition, but in extreme conditions, there can
> be important fraction-of-a-second delays that can result in greater than
> expected slippage or even an unfilled order. Consult your order desk for
> the specific rules used to handle this situation.
>
> Additionally, since there is a delay from election to insertion, it is
> possible that there can be a significant number of trades in both
> directions after a Stop is initially elected until it is actually filled.
> For this reason, there can be no "uptick/downtick" rule or expectation of
> an orderly market.
>
> Finally, if you wish to avoid some of the pitfalls of Market or Stop
> orders in E-Mini S&P and E-Mini NASDAQ, we strongly suggest using Stop
> Limit orders which are native to the Globex2 matching engine and do NOT
> require any outside processing.
>
>
>
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