Exchange queue order handling with futures - Traders Hideout | futures io social day trading
futures io futures trading


Exchange queue order handling with futures
Updated: Views / Replies:1,015 / 3
Created: by symphys Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Exchange queue order handling with futures

  #1 (permalink)
Trading Apprentice
Earth
 
Futures Experience: Intermediate
Platform: NinjaTrader
 
Posts: 18 since Feb 2010
Thanks: 3 given, 6 received

Exchange queue order handling with futures

I'm wondering what happens in the Exchange queue when I change the quantity of a limit order.

In NT if order quantity is 1 a new order is sent when the quantity is changed. So at the exchange the first order does not loose its place in the queue.

But what happens if I change the quantity from 3 to 2?
Are the 3 contracts are canceled in the queue and 2 are appended at the last place?
Or is simply 1 contract deleted from the order and it stays at its place in the queue?

Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Elite Member
Prague, Czech Republic
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: Interactive Brokers
Favorite Futures: NQ
 
Posts: 52 since Sep 2009
Thanks: 31 given, 73 received



symphys View Post
I'm wondering what happens in the Exchange queue when I change the quantity of a limit order.

In NT if order quantity is 1 a new order is sent when the quantity is changed. So at the exchange the first order does not loose its place in the queue.

But what happens if I change the quantity from 3 to 2?
Are the 3 contracts are canceled in the queue and 2 are appended at the last place?
Or is simply 1 contract deleted from the order and it stays at its place in the queue?

Short answer, I mean that your "simply 1 contract deleted from the order and it stays at its place in the queue" is likely right.

Long answer, I think that order queue handling depends on your trading software.

Text below is quoted from NinjaTrader Help Guide: NinjaTrader Version 7
-----
FIFO Optimization
All of the NinjaTrader order entry interfaces preserve FIFO (First In First Out) status with the exchanges when possible.

Why is FIFO important?
FIFO is important since getting your orders filled is dependant on a FIFO algorithm which basically means orders submitted ahead of yours at your order's price level will get filled ahead of you. Think of it like a long line at the grocery store. You are checked out only when those in line ahead of you have been checked out. NinjaTrader preserves your place in line when possible giving you the best possible advantage of getting your orders filled.

How does NinjaTrader preserve FIFO?
All NinjaTrader order entry interfaces simplify the visualization of orders. Let's say that you have a buy limit order for 1 contract, and then want to modify this order from 1 contract to 2 contracts. Most other programs will simply change this order directly, but behind the scenes (at the broker's order servers) what is really happening is that the original order is cancelled (removed from the line) and then a new order for 2 contracts is submitted which then goes to the back of the line putting you at a disadvantage. Imagine waiting in the grocery store check out line for ten minutes. You forgot to get some bread, you leave the line in order to get the bread that you wanted (changing your order) and upon your return to the check out line, you have to start at the back of the line and wait all over again! With NinjaTrader, when you modify the order from 1 contracts to 2 contracts, an additional order for 1 contract is submitted. Now you have the original order for 1 contract waiting in the middle of the line somewhere and the new order for 1 contract at the back of the line. Your original order is not penalized and you maintain your position in line. The opposite is true for decreasing an order size. Although there are two working orders NinjaTrader consolidates the display so it looks as if there is only one order working. You decide to decrease the order size from 2 contracts back to 1. NinjaTrader will modify the newest orders first and the oldest orders last in order to preserve your FIFO status. Following our example, the second order that was placed would be cancelled and you would be left with the original order for 1 contract with its maintained position in the order queue.
-----

Matching orders in orders queue depends on exchange an products. We are interested in place in the order queue on the exchange server because we are interested in the probability of filling our limit order. A related term is "matching algorithm". Each exchange has different matching algorithms for different products. The most common algorithms are FIFO and Pro-Rata. Basic description of the matching algorithms on CME can be found here: http://www.cmegroup.com/confluence/display/EPICSANDBOX/Matching+Algorithms

For CME exchange, list of product and corresponding matching algos can be found in file "GCC Product Reference Sheet.xls" here (column H in table, meaning of the letters can be found on rows 3025-3035 below table): http://www.cmegroup.com/confluence/display/EPICSANDBOX/GCC+Product+Resources


Last edited by asfax; July 24th, 2014 at 07:55 AM.
Reply With Quote
The following 2 users say Thank You to asfax for this post:
 
  #4 (permalink)
Trading Apprentice
Earth
 
Futures Experience: Intermediate
Platform: NinjaTrader
 
Posts: 18 since Feb 2010
Thanks: 3 given, 6 received

Thanks for your very detailed answer. I did look at the CME website but did not find the correct page. I guess I did miss the term "matching algorithms".

Reply With Quote

Reply



futures io > > > Exchange queue order handling with futures

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Order Queue Question nourozi Traders Hideout 2 November 2nd, 2013 02:06 PM
Order Handling to reduce Slippage sburtt NinjaTrader Programming 2 October 7th, 2013 08:11 AM
Order Queue, is this correct? nourozi Traders Hideout 3 July 6th, 2013 09:38 AM
Can fills in tick mode obey queue order if limits used ? bidask201 NinjaTrader 1 May 12th, 2012 09:20 PM
Server side order handling nanobiotech Traders Hideout 17 December 11th, 2010 06:12 AM


All times are GMT -4. The time now is 06:50 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-13 in 0.10 seconds with 19 queries on phoenix via your IP 54.90.92.204