Death Rays From Space

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RedRock
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Death Rays From Space

Post by RedRock » Wed Apr 16, 2008 11:38 am

Or something like that. Seems that we've had lots o spikes lately. Meltdowns in Electronic market order-books yielding absolutely not funny fills. Not just in Cotton today where my order enjoyed 21 tics of slip... So much for trading what you test... But in stalwarts as the EBS recently. Other than using limits or trading only on close etc, not many choices for a one man show...

Anyone trade the CGB on ME? I had a situation recently where IB sent a market order and the exchange suposedly converted the order to a limit at the price where any part of the order is executed. I had a balance of many contracts which were not exited untill I came in to my office :shock: by which time price had moved 70 some odd points beyond intent. Beware of this potential pitfall... !

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On xxxdatexxx for your account an order was submitted to sell xxx CGB June 2008 futures on Stop at xxx.xx. The order was triggered at 0xxxxx:01 and an order to sell x CGB June 2008 at market price was submitted to the CDE exchange. The order received a partial execution, and at xtime sold 1 at xxx.xx.
The balance of the order, to sell x contracts remained at the exchange at a limit price of xxxxxx.

Upon further review, the Montreal exchange has particular rules for handling Market orders.

For reference, please review this link from the CDE exchange's website:
http://www.m-x.ca/f_regles_en/06_en.pdf

See Page 6-21

Content:
"A market order is executed at the best limit that is available on the other side of the market at the moment the order is introduced into the electronic trading system, at the quantity available at this limit. If the order is partially filled, the unfilled quantity is posted at the price which the first part of the order was executed."

sluggo
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Post by sluggo » Wed Apr 16, 2008 12:10 pm

Would you prefer it if IB refused to accept your market order, since the Montreal Exchange refuses to accept market orders?

Or would you prefer to find an order entry system which knows about the idiosyncracies of each exchange and each tradeable product of each exchange, and uses super intelligent Algorithmic Execution (better than what IB gave you at the MX) to imitate orders that the exchange doesn't accept? Please note, one version of such an order entry system does exist today, but it is relatively expensive to use: human brokers at a trading desk.

Mats
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What happens in Cotton

Post by Mats » Wed Apr 16, 2008 12:40 pm

I'd looked at the weekly chart on CT and it had a lot of spikes in the opening this week and last week.

My stop get hit at 1.35 ATR intraday from a bad fill.

What happens in this market?

Anyone?

RedRock
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Re: What happens in Cotton

Post by RedRock » Wed Apr 16, 2008 1:03 pm

Mats wrote:I'd looked at the weekly chart on CT and it had a lot of spikes in the opening this week and last week.

My stop get hit at 1.35 ATR intraday from a bad fill.

What happens in this market?

Anyone?
In the good old days of healthy pit markets, we would sometimes have fast market conditions where the spread would widen and volatility would , happen. These special and few times were denoted by an F by the broadcast quote, indicating fast market conditions. In the electronic markets, by and large, robots have taken the place of human beings in the roll of Locals. They are fast to fold their hands when possible risks come up. Thus, with no locals to make an orderly market and earn a fair return... Chaos reigns and very few orders or size can yield inordinate price changes, until the robots or some super humans see an absurd opportunity to step in and provide liquidity. Its just the new and improved way of doing things.

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Post by RedRock » Wed Apr 16, 2008 1:12 pm

sluggo wrote:Would you prefer it if IB refused to accept your market order, since the Montreal Exchange refuses to accept market orders?
What I might "prefer". Is that IB update their logic engine to monitor partial fills and resubmit the order promptly when needed. Thus providing some integrity to the concept of "stop" order. (but which also makes one more susceptible to participate in a meltdown as noted in above post)

Perhaps they do have some logic like this, but which malfunctioned in this case?? -
In a bizzare occurance, still pending investigation... When I discovered the open risk, I immediatly exited at the current price. By doing this, somehow the original pending order was completed "at the market" and my account had an oposit but equal quantity as I had just traded to get flat. I then had to cover the new unintended position. Very bizarre, and under review.

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Post by sluggo » Wed Apr 16, 2008 1:39 pm

Ugh, it seems the only thing you can do is learn everything there is to know about every order type you use, in every market you trade, and learn how your broker "translates" it, and learn how the exchange executes it. Which is a huge bunch of work. After doing this enormous study, if there are (market+ordertype) combos that you don't like, either a new broker or a new ordertype would seem to be the only viable options.

You can implore your broker to change the way order "translation" works too, but that may take longer than you're willing to wait and not trade.

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It seems that?

Post by Mats » Thu Apr 17, 2008 2:28 am

It seems that we may defer the mechanical approach when the electronic market is high up/low from yesterday. In my discretionary trading i never let a buy (stop) trigger in the first 20 minuts from open. I let the opening range settle so i get rid of those bad fills/stops.

How can i program that in Blox? It seems that i have someting to think about?

Is the CT and CC trade electronic now (no pits at all?)?

Comments?

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