I have a question about the order queue. Say the bid has 10 contracts (from 10 different traders/orders) and I enter a buy order for 1 contract at the bid. I would be 11th in line now correct? So the bid clears 5 and there is 6 on the bid, 5 more contracts join the bid. 11 Total, I am 6th. If I update my orders QUANTITY (not price) via my broker from 1 contract to 2. Will I go back in the queue, and now there will be 12 contracts at bid, with my place as last? So would it not be better to open up another order for 1 contract if that is the case? Also I notice sometimes I have an Ask price of say 600, then I notice on the high of the bar it can be 601, and my order was not filled! What gives! Also is there a way to know which place in line you are?
Cancel replace puts you to the back of the order book. You would be better to send a second order to add quantity, unless you are paying ticket charges. Not worth paying for two tickets. I did not follow you second question the way you phrased it. If you are asking if it's possible to not get filled when more contracts trade than the offer or bid, the answer is yes. The trade could have been part of a spread or option order paired with stock that was crossed. Also, you might be looking at the NBBO, not the exchange where your order sits. The trade could have happened on another option exchange. Another way this can happen, is if the exchange allows directed order flow. In return for a firm directing order flow to an exchange, that MM that made that deal might be allowed to match with the order book and get a percentage of the trade, while not being part of the order book. Bob
On X_Trader you can see your position in the queue. But that's actually an estimated position. Their Note: EPIQ is not sent from the exchanges. X_TRADER calculates an estimated EPIQ based on quantity of trades occurring in front of the order, and does not account for canceled orders or pro-rata allocations.
Yes, it's only estimatable based on FIFO logic and what was there before you. In FIFO cases cancels near the head of the queue are of course beneficial, but it's impossible to know if the cancels occurred before or after your placement unless the queue never grew past your initial entry into it.
Sorry these are emini futures. I am on the IB paper account playing around with some automated trading. I see thank you. I partially understand some of it. The gist is that someone exercised options. Yes exactly this. I have a YM sell order at 17989, I get the next bar and the previous bars high was 17990, but my sell order is not filled. What about if say I put an order for 10 contracts, 2 get filled, and I want to edit my order by removing 7 contracts, will I keep my position in the queue? If IB had timestamped ticks I think I can calculate my position in the queue based on what was said. The reasoning behind this is I want to scalp an extra point or two based on momentum, but if I see that no one is buying into the bid or I am too far behind I want to just grab the ask. (On a long position)
Could be an IB paper trading thing where they don't emulate the queue (how would they?) but just assume if price trades through you you'll get filled. If that didn't happen, then there's a bug in TWS paper. And you'd be competing against 1000s of HFTs doing the exact same thing, just forget about it.
The actual competition whether it would affect profits is debatable. But if the exchange sends you back a timestamp of when (on the exchanges time) your order was entered into the books, and each tick from the exchange has a timestamp of when the trade executed. its quite simple to determine. The problem is I have yet to find a reliable data broker without spending a fortune! Thus I do not even know if this information is available. So it is just a possible micro optimization that is not worth it at this point for me.
I guess what I'm saying is if you're even remotely thinking about any automated solution to scalp ticks automatically just forget it right now and move on - you absolutely will not win against the massive infrastructure out there that does this basically 24/7.