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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

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  #1 (permalink)
Salt Lake City, UT
 
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consider futures trading and to keep it simple lets say the price trades in units of 1, so 1,2,3,4,5 etc...

lets say I put in a BUY limit order at 3 with the ask at 4 and the bid at 2 and the last traded was at 3
lets say I am not filled,
then the ask jumps to 5, the last traded goes to 4 and the bid goes to 3
still my BUY limit order has not been filled.
Then a trade occurs at the bid value of 3 so the last traded equals the bid value of 3
will/could my limit BUY order be filled at the bid value of 3?

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  #3 (permalink)
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tulanch View Post
consider futures trading and to keep it simple lets say the price trades in units of 1, so 1,2,3,4,5 etc...

lets say I put in a BUY limit order at 3 with the ask at 4 and the bid at 2 and the last traded was at 3
lets say I am not filled,
then the ask jumps to 5, the last traded goes to 4 and the bid goes to 3
still my BUY limit order has not been filled.
Then a trade occurs at the bid value of 3 so the last traded equals the bid value of 3
will/could my limit BUY order be filled at the bid value of 3?

You get filled if the limit orders that were in the queue before you get either filled first or cancelled, or a combination, and you become the next available.

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  #4 (permalink)
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so to be clear - it is independent of bid or ask price? That means the fill/matching process is simply queue related...

At price x there are booked limit buy/sell orders. When the market trades at price x, market orders will get filled as they hit, and the booked limit orders ( buy or sells) will be matched at that trading price with existing orders and or incoming market orders

that means the bid and ask price have no impact on the fill/matching process

(need to clearly understand this for an indi I am building..)

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  #5 (permalink)
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tulanch View Post
so to be clear - it is independent of bid or ask price? That means the fill/matching process is simply queue related...

At price x there are booked limit buy/sell orders. When the market trades at price x, market orders will get filled as they hit, and the booked limit orders ( buy or sells) will be matched at that trading price with existing orders and or incoming market orders

that means the bid and ask price have no impact on the fill/matching process

(need to clearly understand this for an indi I am building..)

Well, it wouldn't be independent of bid or ask price. It would depend on where the market is.

When you say 'At price x there are booked limit buy/sell orders'... normally I would expect that one price has either limit buy or sell orders but not both at the same time.



In the picture above (left) you have 2 limit orders waiting to get filled at 143.0 on the bid and 1 waiting to get filled at 143.5 on the offer.

All the prices above that have limit orders but they are only sell limit orders. Same goes for buy limit orders below the market.

Unless you're asking a different question?

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  #6 (permalink)
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What occurs if the market goes past you and you don't get filled? I would think the respective limit order would still be there until it is pulled.

It is my understanding that limit orders can not fill each other, only market orders can trigger and fill a limit order.

It is my understanding that the DOM does by default show all booked limit orders.

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  #7 (permalink)
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Being ahead in the queue is very important in your case as you seem to be keen on scalping...

I dont see a Queue number for the limit order in the DOM you mentioned. Choose a platform that gives you this number and you will get more insights into how the limit orders in the 'queues' are filled one after other...

ATAS (free demo available), 9G trading dom for Ninjatrader(paid I guess) has this feature. Not sure if X_Trader has this.. but I have a feeling it has...I heard all institutional futures traders and other ''big fish'' use X_Trader you can signup for free trial of X_Trader too. Available from many brokers.

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  #8 (permalink)
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tulanch View Post
What occurs if the market goes past you and you don't get filled? I would think the respective limit order would still be there until it is pulled.

I'm not sure what you mean by 'if the market goes past you and you don't get filled'. But if your order is not filled, yes it would still be there. The duration I think is determined by the platform settings. 'Day' orders I believe get cancelled when the session ends. 'Good til cancelled' stay there until they're filled or cancelled.


tulanch View Post
It is my understanding that limit orders can not fill each other, only market orders can trigger and fill a limit order.

Yes, market orders 'consume' limit orders.


tulanch View Post
It is my understanding that the DOM does by default show all booked limit orders.

Except refreshing/iceberg orders.

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  #9 (permalink)
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tulanch View Post
What occurs if the market goes past you and you don't get filled? I would think the respective limit order would still be there until it is pulled.

It is my understanding that limit orders can not fill each other, only market orders can trigger and fill a limit order.

It is my understanding that the DOM does by default show all booked limit orders.

I think the best way to go about thinking of all this is the following...

A limit order is a guaranteed entry/exit at the price you set, but not a guaranteed fill.

A market order is a guaranteed entry/exit at whatever price the market is currently at, but not at the price you may want.

A stop order will trigger your underlying request, whether it is a limit or market order, when the price of your stop is hit.

So If you have a stop limit buy order at $100.00 on XYZ instrument...If the price gets to $100.00 to the tick and your stop is triggered, it becomes a limit order at that price. Now you are in a limit order to buy at $100.00. Your broker now sets a limit order to buy XYZ at $100.00. You may not be filled if the market moves fast.

If you have a stop market buy order at $100.00 on XYZ instrument...If the price gets to $100.00 to the tick and your stop is triggered, it becomes a market order at that price. Now you are in a market order to buy XYZ at $100.00. Remember, a market order means you are entering or exiting at the current market price. So your market order could be a few ticks, or maybe many more, away from your desired entry/exit point.

Again, in a nutshell... limit orders guarantee you a price but not a fill. Market orders guarantee you a fill but not a price.

From what little I know about order books, the basic tenet is FIFO (First In First Out). So if you set your limit order to buy at 10:00 AM and everyone is selling, and the order book goes dry for selling at, say, 11:30AM...Then at 2PM when everyone wants back into the market at 2 or 3PM, your buy limit order would be filled quickly because you were nearly first in line to get into the long market and all the buy orders from other folks at your long price had gone away.

I hope that was not long-winded, and I hope it makes sense.

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  #10 (permalink)
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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.

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