Understanding futures market ( limit queue order )
I've been trading 6E futures for a period of time using DOM for entries. After monitor the DOM for a period of time, in many occasion when my price level almost filled, someone will jump in front of my queue and get filled earlier than me. I do aware that some matching algorithm do have superior filled on top of FIFO but does that feature only available for commercial/institutional trader ? Would like to know whether the small lot trader/speculator could apply for the feature as well ? Although it's not a must have feature but it's a good to have and give you a better edge compare to other trader. I'm still new to futures trading and i might get some of the information wrong but nevertheless i hope to get some advice and guidance. Thanks a lot
Last edited by voluma; September 6th, 2015 at 11:11 PM.
no, it's at the same level.
from the DOM, we can observe when our trade will get filled, normally the queue will decrease when those in front of us are filled, but occasionally my queue will increase in count like 10 to 20. I'm not sure any other who experiences the same thing as me.
If by "queue" you mean the total quantity at a particular price level, yeah, it can increase as new orders get sent at that level. Suppose there are only 20 contracts being sold at X price. If the market get's there, 15 contracts are bought at this price X (thus now there's only 5 contracts left being sold) and then someone decides that he/she also wants to sell at that price and sends an order for another 20 contracts. The "queue" will increase to 25 in size.
However, as was already mentioned, if you already have a resting limit order at that X level, these additional contracts being added will be positioned "after your order" in the matching list. Using the same example conditions, say your sell order remained within the 5 contracts that were left-over (before the new 20 contract order came in). Say now that a buy order at X comes for 15 contracts (remember that there were 25 contracts being sold). This order will buy the 5 contracts that were left-over (including yours) and then buy 10 contracts of that 20contract sell order (thus resulting in a partial fill for that order). If no more buy orders come at X, the sell orders there will remain resting until either they expire or enough buy orders come at X, whichever comes first.
It's a bit complicated to explain only in words, but I hope I was able to make it clear.
The following user says Thank You to AMGT for this post:
I think you should change some code of the orders for "not being trickly badly". (It says one of the best algo developers in the world who take for him 12 month to guess why some advantagers teleported in front of him)