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To be filled or not to be filled is my question
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To be filled or not to be filled is my question

  #11 (permalink)
Market Wizard
London UK
 
Futures Experience: Beginner
Platform: CQG
Favorite Futures: Futures
 
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MacroNinja View Post
For a CME futures product, the market can never "go past" you without filling you. You might however, get filled at better price depending on when the order was placed and the matching, but it will never be worst off.

Now, not to over complicate things, because xplorer's picture and post does a very good job explaining order queue 101, but if you watch the depth of market longer, you'll notice something you have a weird occurrence where there's 2 orders waiting, you add one limit which makes you order number 3, but then maybe a 50 lot gets added, and you don't get filled. This might be because the 50 block order has market maker designation status that allows them to skip the line ahead of you.

But generally, on a simplistic basis, you can think about it as first come first serve when trying to understand a CME fill. It's not some crazy stock exchange matching engine or dark pool with very opaque matching rules.

Hi MacroNinja

I wasn't aware of this situation where if your order is designated as market maker then it can jump the queue.

Is it a well-known fact?

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  #12 (permalink)
Elite Member
Buenos Aires Argentina
 
Futures Experience: Advanced
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Well known? I suppose that depends on who you ask. Surely to anyone trying to get fills on more than 100 contracts at a time. It is public information and disclosed. See for example the LMM + FIFO rules section.

Matching Algorithms - Electronic Platform Information Console - Confluence


Retail? Probably not, but then again, how well known is order matching or even depth of market well known to the mom and pops of the world. Most of them don't even know that transactions are happening on fractions of a penny on the equity markets now.

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  #13 (permalink)
Market Wizard
London UK
 
Futures Experience: Beginner
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MacroNinja View Post
Well known? I suppose that depends on who you ask. Surely to anyone trying to get fills on more than 100 contracts at a time. It is public information and disclosed. See for example the LMM + FIFO rules section.

Matching Algorithms - Electronic Platform Information Console - Confluence


Retail? Probably not, but then again, how well known is order matching or even depth of market well known to the mom and pops of the world. Most of them don't even know that transactions are happening on fractions of a penny on the equity markets now.

Thanks MN - I have checked the link you provided. Presumably the functionality you refer to is the one in this quoted text?


Quoting 
FIFO with LMM

The FIFO with LMM algorithm is an enhanced FIFO algorithm that allows for LMM allocations prior to the FIFO allocations. LMMs are each allocated a configurable percentage of an aggressor order before the remaining quantity is allocated FIFO.

The FIFO with LMM algorithm follows these stages to match trades:
  • LMM set to configurable percent
  • FIFO allocation


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  #14 (permalink)
Market Wizard
Houston TX
 
Futures Experience: Advanced
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I'm impressed @MacroNinja, very few people seem to know about the CME Systems Wiki/EPIC/Confluence or whatever you want to call it. It's an excellent source of information, especially when you really start getting into the minutiae, something probably very few people here need to.

Since we're giving away all the secrets, along with the Matching Algorithm page, you will need to reference the "CME Globex Product Reference Sheet" which can be found on this page GCC Product Resources. This is the page which tells you which Matching Algorithm each product actually uses! Don't worry though, pretty much every liquid FUTURES product on Globex uses plain FIFO. The exceptions are most MGEX products, some Ag Products, some options, and most of the Interest Rate Products including Eurodollar/GE (the largest futures contract in the world that nobodies ever heard of) which uses Allocation rather than FIFO. The other piece of info I find exceedingly useful is in Column H.

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