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Interactive Brokers limit of 15 working orders per market

  #4 (permalink)

Chicago, Il
Trading Experience: Master
Platform: NT, CQG, Bloomberg
Favorite Futures: US
Posts: 64 since Apr 2014
Thanks: 11 given, 39 received

I don't know how similar this is to your example. But I do know some exchanges frown upon order stacking, Osaka being one I am most familiar with in this case. I speak from my own experience while working for a bank where a client of ours was doing this. If an exchange doesn't like it they will threaten the FCM that they will cut off their access to the market.

In order to get queue position prop traders had a program that would start sending in orders to the exchange starting a few seconds before the daily order entering window would open. So if the premarket opened at 7:30am, they would start sending in batches of orders in at 7:29:55 until 5 or 10 seconds past the premarket entry time like 7:30:05. So orders that try to reach the exchange at 7:29:56 won't make it in. Levels that they can see they where they are first in queue they may leave in. Orders that are behind other orders will be cancelled. It clogged up the pipes so to speak, every order to the exchange get an exchange order id and every cancellation gets one too.

In futures markets where the daily queue system exists, especially in spreads where there can be tens of thousands a side, you can enter your order exactly at 7:30:00 and look at your position and see 1000 lots still made it in ahead of you.

So imagine you are a scalper, trading order flow. Or if you are legging in and out of spreads, wouldn't you like to be first in queue at every level if possible?

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