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Filling Limit Orders on the ES
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Filling Limit Orders on the ES

  #1 (permalink)
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Filling Limit Orders on the ES

Greetings All;

Been reading this great forum over the last month and thought I would do my first post. If I have placed in the wrong forum, I apologize.

I have a scalping bias for ticks, my current round trip ping to broker gateway at the exchange is 3247us, Ninja Trader Front End, ZenFire feed.

I have been trying to utilize limit orders for entry order with per 1 tick take profit and 7 tick stop.

My limit orders are not getting filled! I’m averaging the price ticking on and off my entry order approx. 4 times before I get filled. I am averaging the price ticking on and off my exit order approx 5 times before I get filled. Worst case examples was ticking on and off my limit order 18 times before I got a fill. Also today I had an exit order for 1 tick profit and got ticked on and off my order 8 times without a fill, and then ticked off to the stop.

I am not changing either my entry or exit order once the order is confirmed.

Ironically, my stops always get filled on the first tick. This proves to me that orders can be filled on the first tick.

1. Any suggestions on how to utilize limit orders and get them filled quicker?

Maybe, I should places all my orders as stops so they all get filled on the first tick. Hah!

2. Alt: Does anyone have any real slippage data on market orders? I would assume that they always fill you on the opposite side of the bid/ask as to the direction of your trade.

Thanks everyone for listening. Looking forward to some good feedback here.


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  #2 (permalink)
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  #3 (permalink)
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Larry Harris


I would recommend you fully understand the workings of a futures exchange. There is a rather dry but extremely detailed and thorough explanation of how exchanges work in Larry Harris's excellent book, Trading and Exchanges. After you have read that you will fully understand why your orders are acting as they are. I will explain briefly.

When you place a limit order you are placed at the back of the limit order queue at the price you want to buy/sell at. If the market hasn't traded that price for a while, then higher time frame traders will already have their orders in at that level and will be further ahead in the queue than you. Therefore when people are hitting the price with market orders, people at the front of the queue are filled first and it is strictly a FIFO (first in first out) basis, or you could say First In First Filled.

The reason why your stop orders get hit immediately is because they are Stop Market orders. So if price trades at a level, your platform (and maybe your broker, depending on who it is), will send a MARKET order to the exchange to get you out of the position. Market orders get filled at the best price. So, let's take an example.

Market is 1338.00 bid, 1338.25 offered.

You place a bid at 1337.00 to get long and you want to TP at 1337.25. You join the back of the queue at 1337.00 to buy. Market sell orders hitting the bid push the market down to your level. At this time Market Sell orders hitting your bid price are "consuming" the bids at this price and yours will get hit when all the people in front of you in the queue have been filled. This is one reason I try not to move my limits around on my platform and change my mind, because when i do that I go to the back of the queue at that price level.

Now, let's say the market keeps going down and is one tick above your stop at 1336.50. The market needs to consume the ENTIRE queue at 1336.50 before it becomes 1336.25 bid (i.e. the next best bid price). When this happens, the market can trade your stop price. If someone sells at 1336.25, even just one contract, your platform will send a market sell order to get you out at 1336.25. If you are lucky you will get out at that price, if you are unlucky and there is a flood of market orders at that level and you happen to be slow (for example a high latency internet connection), then you may get filled at the next best bid price which would be 1336.00 and you will get one tick of slippage.

Have a read up on how the orders work, it's essential if you are to become a successful trader. Also understand the winning percentage required for you to make a profit after commissions just taking 1 tick with a 7 tick stop. That statistic may surprise you.

Hope it helps.

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  #4 (permalink)
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I've never trade the ES, but if you want to get together and sync up, I will be more than happy to hit your orders to make sure you fill.

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  #5 (permalink)
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Kidding aside, I use stop limits on 6E and don't have that problem so it sounds odd to me. Maybe try a couple trades on 6E and see if you have the same problem. If you do, then maybe something is wrong with your setup.

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  #6 (permalink)
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vegasfoster View Post
Kidding aside, I use stop limits on 6E and don't have that problem so it sounds odd to me. Maybe try a couple trades on 6E and see if you have the same problem. If you do, then maybe something is wrong with your setup.

Sounds odd to you because you are not trading a market as deep and liquid as ES. A thinly traded market does not exhibit this behaviour, but I'll leave that as an exercise to you to work out why.

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keymoo View Post
Sounds odd to you because you are not trading a market as deep and liquid as ES. A thinly traded market does not exhibit this behaviour, but I'll leave that as an exercise to you to work out why.

Thank you, duly noted.


Last edited by vegasfoster; June 19th, 2012 at 11:24 PM.
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  #8 (permalink)
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Thanks and just a few more qs....

Greetings All;

Thanks for the replies!

Here is what I am taking from this and other dialog today;
  1. Make sure I am not changing my orders. The Ninja ATM has a chase function and each time the order is moved, I go to the back of the bus. I thought I had this off, but need to be sure, since the back of the bus is N/G.
  2. I was advised today to NEVER utilize a market order, especially in a fast moving market, and even if I am issuing the limit order inside the prices, at minimum I will be filled at that price or better. Today in fast moving markets a market order is all over the place. You expect to lose 1 tick on a market order by simply getting filled on the other side of the bid/ask. But when it starts getting about 2 ticks, I get the feeling I getting had! I really do not see the advantage of market orders over limit orders, even with limit order fill issues………
  3. Need to test at other futures markets to see if I get any better order handling on my limit order fills. “more fills on fewer touches”! It has been suggested that I look at the 6E, 6A, ZB, ZN, WTIC, BRN. I originally gravitated to the ES due to the depth and high liquidity, but maybe this does not always translate to better executions for limit orders.
I find myself needing a couple of additional pieces of software or custom indicators, any recommendations on the following?
  • An indicator that shows where you are in the order queue. If in fact not your actual slot, then a best estimate based on pending order flow, order size, etc. I was advised today by a large trader that he has this type of DOM to monitor his limit order status in the queue. Again this may not be an actual number, but rather a very good estimate. Anyone know where I should look?
  • I need a tick counter that shows over the last X bars, how many times the current market prices has been of a specific prices. Think of this as a live tick bar chart 10+ and -10 off of the current prices. This would give me a quick visual reference of market consolidations and retracement over a specific prices zone. If I must be touched more than once I would like to see the max retracement zones in real time. This is kind of a pivot line, except on each tick, with a number indicated for each line that reflects the times the current prices has touch this prices. Call it the “touch-o-meter”! This allows me to incorporate this data into allowing for this limit fill problem. Anyone have any suggestions, or even something close that I can customize?
I really appreciate everyone's comments and feedback!

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  #9 (permalink)
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From your reply it still seems to me that you have not quite grasped the mechanics of an auction market. Re-read my reply again and do yourself a favour and read Larry Harris's book. The advice you received to never use market orders may be incorrect. You need to understand when you SHOULD use market orders and when you SHOULDN'T. You will get the same behaviour that the ES exhibits on other deep markets like the Eurostoxx 50 (FESX) and some bond futures markets such as the ZN and possibly the ZB.

There are times when you really should use market orders. All protective stop loss orders should be stop market orders for example and not stop limit orders (yes, you can make them stop limit). If you don't understand why then you are at a disadvantage. Remember you are competing and trying to take money from the smartest traders in the world! You need to do your homework. Have a watch of this:



From 4:00 onwards is pertinent to this discussion, but the whole video is good.

Just had a look at a few markets and the ZN is actually deeper and more liquid than the ES during European morning, and is traded by very smart people. The ES has more daily volume though. Check out the bids and offers of both at 9am UK time.

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Regarding your other questions.
I believe that Trading Technologies is the only piece of software that shows you the Estimated Position In the Queue using their EPIQ technology. I could be wrong, it doesn't help my trading. https://www.tradingtechnologies.com/help/x_trader-7.9.x/content/market_depth_tra...ed_position_in_queue.htm

Your final question shows that you don't understand how markets work. What if someone is using an iceberg limit order? They can be feeding the market bids whilst they are being consumed at that price. There is no way to know! You may find volume profiling useful which shows the volume traded at each price level.


Last edited by keymoo; June 20th, 2012 at 05:05 AM. Reason: Addendum
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Happyface View Post
Greetings All;

Thanks for the replies!

Here is what I am taking from this and other dialog today;
  1. Make sure I am not changing my orders. The Ninja ATM has a chase function and each time the order is moved, I go to the back of the bus. I thought I had this off, but need to be sure, since the back of the bus is N/G.
  2. I was advised today to NEVER utilize a market order, especially in a fast moving market, and even if I am issuing the limit order inside the prices, at minimum I will be filled at that price or better. Today in fast moving markets a market order is all over the place. You expect to lose 1 tick on a market order by simply getting filled on the other side of the bid/ask. But when it starts getting about 2 ticks, I get the feeling I getting had! I really do not see the advantage of market orders over limit orders, even with limit order fill issues………
  3. Need to test at other futures markets to see if I get any better order handling on my limit order fills. “more fills on fewer touches”! It has been suggested that I look at the 6E, 6A, ZB, ZN, WTIC, BRN. I originally gravitated to the ES due to the depth and high liquidity, but maybe this does not always translate to better executions for limit orders.

@Happyface: You got valuable advice from @keymoo. "I would recommend you fully understand the workings of a futures exchange. There is a rather dry but extremely detailed and thorough explanation of how exchanges work in Larry Harris's excellent book, Trading and Exchanges."

Your posts show that you do not understand, how a continuous double auction works. The advice not to use market orders is nonsense. It really depends on your entry and exit strategies.

In a continuous auction there are basically two types of orders

(1) Market orders: You are guaranteed to get a fill, but you lose half of the bid/ask spread. Moreover there is a risk of slippage which depends on the latency created by the order transmission. A market order is a liquidity-seeking order, that is you take away liquidity from the exchange.

(2) Limit orders: You are ugaranteed to get the specified price, if your order is filled. There is no guarantee to be filled. Your order will be executed with price/time priority. For a buy order the best bid (price priority) will be first matched with an incoming market sell order, if there are several buy limit orders with the same limit price, the order that was sent first will be executed first (time priority). A limit order adds liquidity to the exchange. For stocks or options you may even get paid for adding liquidity.

Of course a stop market order will be quickly executed at any price. A stop limit order may not be executed at all.

You need to do your homework first, before you can trade. Have a look at the books by Larry Harris, Joel Hasbrouck or Barry Johnson to understand how an exchange works.


Happyface View Post
[*]I need a tick counter that shows over the last X bars, how many times the current market prices has been of a specific prices. Think of this as a live tick bar chart 10+ and -10 off of the current prices. This would give me a quick visual reference of market consolidations and retracement over a specific prices zone. If I must be touched more than once I would like to see the max retracement zones in real time. This is kind of a pivot line, except on each tick, with a number indicated for each line that reflects the times the current prices has touch this prices. Call it the “touch-o-meter”! This allows me to incorporate this data into allowing for this limit fill problem. Anyone have any suggestions, or even something close that I can customize?[/LIST]I really appreciate everyone's comments and feedback!

You do not need a tick counter, but a market profile indicator.

What would be most helpful is the GOM volume ladder. It displays the ask and bid traded volume for each bar and also consolidates it in a way that you can use it for your trading decisions.

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