Order Queue Question

November 2nd, 2013, 05:10 AM

On the ES or 6e, how many ticks away from the price would you need to place your limit order (without moving it) to be one of the first in queue, say, top 30% of the queue at that price? 5 ticks? 25 ticks?

Is there any way to work out an approximation?

Thanks,

Erfan.

mattz · November 2nd, 2013, 01:06 PM

The answer to your question if there is a way to use an approximation is no, because it depends on many variables such as the liquidity of the instrument, the speed of your execution (your latency and equipment) and the trading activity that day. However, just keep in mind that the closer you are to the price, the more people are trying to compete for that price level despite the high liquidity that may exist.

Specifically the 6E and the ES which are fairly liquid, what I said above applies, the closer the tick value the higher the competition to be filled. For scalper, it is really hard nowadays because of the mega super fast execution institutions use. My recommendation is to go for higher tick value.

Order Queue Question

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Order Queue Question