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I never realized this since I've been doing ES until recently doing treasury. It took forever to get filling, and I can say with great confidence that my order been put toward the end. I set limit buy when the volume was 150, didn't get execute, so the price left me, the bid volume became 300 something and came back to that price and it took more than 300 something contracts to get my bid executed...that's total bs.
I see you use SC. There is a "position in queue" estimator, a-la the good ol' TT DOM, that has in my experience been very accurate. You should use it if you don't already.
@josh you're correct either TT or Jigsaw, bought jigsaw when I started trading but I asked for a refund because I didn't know what I was looking at, a bit regretted it now because it cost more now. TT is quite expensive, I'm not sure I can justify to spend monthly fee for it or not just yet. AMP providing 50/month, it's ok but web based, haven't tried yet but I did try several web based executer and I'd prefer old fashion platform. Thanks for bringing it up.
Orders in the CME derivative markets are always placed at the end of the queue. If there are 200 contracts bid at 2200 in ES, your 1 lot bid will have to wait for 200 contracts to sell into 2200. If folks pull their orders before they get filled though, you might not be the actual 200th in line. You might be the second or third person filled there, especially if somebody is bid 150 and decides to pull their order at the last second.
If your order was truly sitting at the bid when there were 150 other orders there, then at worst you will have to wait for 150 contracts to fill before you get filled. "Big fish" aren't cheating you out of your fill. The only case I can think of in which you'd actually run into strange order filling strategies is in ZT, the US 2 year future. If I'm not mistaken, orders are filled according to size first there. That's why ZT is unusually thick; it's common to see tens of thousands of contracts populating the order book at any price. Your 1 lot has next to no priority in getting filled there, in comparison to somebody who's bid 10,000.
What most likely happened is this:
1) You weren't screwed out of your fill.
2) If you were bid at 2000, the market went 2000 bid/2000.25 offered.
3) You saw volume trade "at that price", and 149 other people put their bids in behind you in the queue. You're # 151.
4) What actually happened is that buyers began buying into 2000.25 and the market either barely traded 2000, or didn't actually trade that price at all. Sellers didn't sell into 2000.
5) 300+ contracts bought into 2000.25 before a seller whacked into 2000, which finally filled you. The only thing that you see though is that the market "trades volume" at 2000 x 2000.25.
It should go without saying, too, that if you pull your order, you lose your spot in line. Each time you shift an order, it gets moved to the back of the line at the new price. Sometimes you might see large traders scatter orders throughout the book around a price in which they're interested. This allows them to have a good spot in line if the price is right, but allows them to bail and immediately reevaluate at different prices if the trade doesn't look right.
The CME isn't trying to screw any trader out of their fill. If they were, nobody would be willing to trade with them, and we simply wouldn't have an exchange.
But your profile on the left says your platform of choice is Sierra Chart, which has this EPIQ feature just like TT already built in. Place an order in the DOM and it shows your position in the queue. It's just an option you have to turn on in the settings.
