NexusFi: Find Your Edge


Home Menu

 





EMicro Limit Fill Question


Discussion in Emini and Emicro Index

Updated
      Top Posters
    1. looks_one wldman with 7 posts (4 thanks)
    2. looks_two Squinty with 3 posts (0 thanks)
    3. looks_3 tr8er with 2 posts (1 thanks)
    4. looks_4 CrudeDude with 2 posts (0 thanks)
    1. trending_up 2,741 views
    2. thumb_up 5 thanks given
    3. group 3 followers
    1. forum 15 posts
    2. attach_file 0 attachments




 
Search this Thread

EMicro Limit Fill Question

  #1 (permalink)
 
Squinty's Avatar
 Squinty 
SLC, Utah
 
Experience: Beginner
Platform: Tradingview, Jigsaw
Broker: Stage5
Trading: ES, CL
Posts: 8 since Feb 2019
Thanks Given: 8
Thanks Received: 3

Hi All,

I've been trading the ES for a while and started playing with the Emicros and noticed something odd. There are days where there's low limit orders on the DOM (like 50-60 per tick) and then there's a moving glob of orders that's 2x-5x those resting limit orders and moves up and down with the price. Today is higher volume but see the image below for an example.

Assume I place a limit buy on 2794.75 (#1) in the image. When the orders start getting hit I notice the big blob (#2) move up to 2794.75 and seems that I don't get filled until all of those 344 orders are hit first.

My question is, are they back-queuing people on the emicro's? Does my limit order get shoved behind the moving blob?


Started this thread Reply With Quote

Can you help answer these questions
from other members on NexusFi?
Deepmoney LLM
Elite Quantitative GenAI/LLM
New Micros: Ultra 10-Year & Ultra T-Bond -- Live Now
Treasury Notes and Bonds
Better Renko Gaps
The Elite Circle
Exit Strategy
NinjaTrader
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
38 thanks
NexusFi site changelog and issues/problem reporting
27 thanks
GFIs1 1 DAX trade per day journal
19 thanks
The Program
18 thanks
  #3 (permalink)
 
wldman's Avatar
 wldman 
Chicago Illinois USA
Legendary Market Wizard
 
Experience: Advanced
Broker: IB, ToS
Trading: /ES, US Equities/Options
Frequency: Several times daily
Duration: Hours
Posts: 3,507 since Aug 2011
Thanks Given: 2,046
Thanks Received: 9,491


Who is your broker?

-Dan

Visit my NexusFi Trade Journal Reply With Quote
  #4 (permalink)
 tr8er 
Europe
Market Wizard
 
Experience: Advanced
Platform: TradeNavigator, BookMap
Trading: ES, CL, 6E, 6B
Posts: 704 since Jan 2017
Thanks Given: 220
Thanks Received: 709

first in first serve, what else

Reply With Quote
  #5 (permalink)
 
wldman's Avatar
 wldman 
Chicago Illinois USA
Legendary Market Wizard
 
Experience: Advanced
Broker: IB, ToS
Trading: /ES, US Equities/Options
Frequency: Several times daily
Duration: Hours
Posts: 3,507 since Aug 2011
Thanks Given: 2,046
Thanks Received: 9,491

is not consistent with normal standing in the order book. Each price change would get a new timestamp on that order. What is being described reflects that price on a resting order is being changed without a new timestamp and thus a new position in the book.

Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #6 (permalink)
 
wldman's Avatar
 wldman 
Chicago Illinois USA
Legendary Market Wizard
 
Experience: Advanced
Broker: IB, ToS
Trading: /ES, US Equities/Options
Frequency: Several times daily
Duration: Hours
Posts: 3,507 since Aug 2011
Thanks Given: 2,046
Thanks Received: 9,491


Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #7 (permalink)
 
wldman's Avatar
 wldman 
Chicago Illinois USA
Legendary Market Wizard
 
Experience: Advanced
Broker: IB, ToS
Trading: /ES, US Equities/Options
Frequency: Several times daily
Duration: Hours
Posts: 3,507 since Aug 2011
Thanks Given: 2,046
Thanks Received: 9,491


Visit my NexusFi Trade Journal Reply With Quote
  #8 (permalink)
 
wldman's Avatar
 wldman 
Chicago Illinois USA
Legendary Market Wizard
 
Experience: Advanced
Broker: IB, ToS
Trading: /ES, US Equities/Options
Frequency: Several times daily
Duration: Hours
Posts: 3,507 since Aug 2011
Thanks Given: 2,046
Thanks Received: 9,491

I see what is being described but my resting limit has not been close to the inside yet. The longer that sits the better it's position should be in the order book. Orders that come in after get in line behind the resting limit. As orders that have better standing (are in front) cancel, that older order should move up in standing.

There are a couple possible explanations for the "real" volume market or "book" being outside. The most likely is arbitrage algos

Visit my NexusFi Trade Journal Reply With Quote
  #9 (permalink)
 
wldman's Avatar
 wldman 
Chicago Illinois USA
Legendary Market Wizard
 
Experience: Advanced
Broker: IB, ToS
Trading: /ES, US Equities/Options
Frequency: Several times daily
Duration: Hours
Posts: 3,507 since Aug 2011
Thanks Given: 2,046
Thanks Received: 9,491

coming in after me, by rule, are behind me in standing in the book.

Visit my NexusFi Trade Journal Reply With Quote
  #10 (permalink)
 
wldman's Avatar
 wldman 
Chicago Illinois USA
Legendary Market Wizard
 
Experience: Advanced
Broker: IB, ToS
Trading: /ES, US Equities/Options
Frequency: Several times daily
Duration: Hours
Posts: 3,507 since Aug 2011
Thanks Given: 2,046
Thanks Received: 9,491


is there, but to a lesser degree on the /ES. The question is once you have standing in the order book, why or how are other orders that should have a lower standing being executed first? If in fact that is happening. I'm not sure but the interpretation of trade through rules may allow this. That could mean that the broker is changing the standing because they are trading against customer orders. Im not sure how that is happening or if it is happening.

The question to ask the broker or the trade desk is: What establishes standing in the order book at price? How or can that standing be lost without any modification to the resting order in the book?

Here is my two cents in typical wldman fashion:

What is the tick size on this micro sized future? I seriously don't know. On the mini it is $12.50 per one lot. Even at that $12.50 size, just hit the bid or take the offer if you cant get filled. One tick does have value, but there is a line between penny wise and pound foolish. I get it, giving up the spread adds up. There is no bigger expense hawk than I am. But at the cost of a single tick on a micro contract my advice is get your trades on, THEN call the desk and make them answer questions about standing in the book.

Visit my NexusFi Trade Journal Reply With Quote
Thanked by:




Last Updated on June 13, 2019


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
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.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts