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Understanding futures market ( limit queue order )
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Understanding futures market ( limit queue order )

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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 7th, 2015 at 12:11 AM.
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  #3 (permalink)
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Are you on sim?

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PeakGrowth View Post
Are you on sim?

no, i'm trade on real account

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voluma View Post
no, i'm trade on real account

Did you mean someone jumping in at a level higher than you?

e.g. you are in for 100.01 and someone jumps in on 100.02 and you don't get filled?

Nobody can jump in front of you at 100.01 if you have a resting limit order at 100.01.

It should be FIFO, or else you would have people jumping in front all day everyday and the markets will be anarchy.

Not sure about the institutional advantage, I don't think there is such a thing but I'm not sure so someone else could probably answer that.

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PeakGrowth View Post
Did you mean someone jumping in at a level higher than you?

e.g. you are in for 100.01 and someone jumps in on 100.02 and you don't get filled?

Nobody can jump in front of you at 100.01 if you have a resting limit order at 100.01.

It should be FIFO, or else you would have people jumping in front all day everyday and the markets will be anarchy.

Not sure about the institutional advantage, I don't think there is such a thing but I'm not sure so someone else could probably answer that.

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.

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voluma View Post
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.

Oh don't worry too much about that, the queue is only indicative for futures I think.

Depth Of Market Trading ? Order Flow Software

"QPOS+ – Shows the Queue Position of your Limit orders in the book. Other products do have this feature but Jigsaw goes one step further in refining the algorithms to calculate the Queue Position."

In this case nobody is jumping in front of you, just that the position is an approximation.

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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.

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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)

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Delawer View 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)

well, i guess it's not my illusion that teleporters are around. thanks for the feedback

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