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I've been trading the ES for a while and started playing with the Emicros and noticed something odd. There are days where there's low limit orders on the DOM (like 50-60 per tick) and then there's a moving glob of orders that's 2x-5x those resting limit orders and moves up and down with the price. Today is higher volume but see the image below for an example.
Assume I place a limit buy on 2794.75 (#1) in the image. When the orders start getting hit I notice the big blob (#2) move up to 2794.75 and seems that I don't get filled until all of those 344 orders are hit first.
My question is, are they back-queuing people on the emicro's? Does my limit order get shoved behind the moving blob?
Can you help answer these questions from other members on NexusFi?
is not consistent with normal standing in the order book. Each price change would get a new timestamp on that order. What is being described reflects that price on a resting order is being changed without a new timestamp and thus a new position in the book.
I see what is being described but my resting limit has not been close to the inside yet. The longer that sits the better it's position should be in the order book. Orders that come in after get in line behind the resting limit. As orders that have better standing (are in front) cancel, that older order should move up in standing.
There are a couple possible explanations for the "real" volume market or "book" being outside. The most likely is arbitrage algos
is there, but to a lesser degree on the /ES. The question is once you have standing in the order book, why or how are other orders that should have a lower standing being executed first? If in fact that is happening. I'm not sure but the interpretation of trade through rules may allow this. That could mean that the broker is changing the standing because they are trading against customer orders. Im not sure how that is happening or if it is happening.
The question to ask the broker or the trade desk is: What establishes standing in the order book at price? How or can that standing be lost without any modification to the resting order in the book?
Here is my two cents in typical wldman fashion:
What is the tick size on this micro sized future? I seriously don't know. On the mini it is $12.50 per one lot. Even at that $12.50 size, just hit the bid or take the offer if you cant get filled. One tick does have value, but there is a line between penny wise and pound foolish. I get it, giving up the spread adds up. There is no bigger expense hawk than I am. But at the cost of a single tick on a micro contract my advice is get your trades on, THEN call the desk and make them answer questions about standing in the book.
