Yep (to the Sept. rolls). Trades from both June and Sept in the first post. I've rolled, however, one of my books still had the June, so I ended up with multiple orders in both M/U, closed out the June's a little bit ago.
LOL. Obviously those fills are incorrect. This is in TWS. Has never happened before. BOT xx ES false JUN10 Futures 1090.50 USD GLOBEX 18:00:00 2.00 IB ######### BOT xx ES false JUN10 Futures 1090.50 USD GLOBEX 18:00:00 2.00 IB ######### BOT xx ES false SEP10 Futures 1086.00 USD GLOBEX 18:00:33 4.00 IB ######## Here is a copy paste from the trades window in TWS. I've xx'ed out quantity, and #'ed out username.
They show up as execution reports on the audit trail (implying some sort of actual trade occurrence), but the price is blank, something all execution reports in the audit trail contain. Small fills, but I'm in the "know your actual position, not just approximate" camp .
here's es june: ccyy-mm-dd hh:mm:ss.uuuuuu price trade-size trade-volume net-change pct-change 2010-06-13 18:00:00.148825 1090.50 1 42 1.25 +0.11 2010-06-13 18:00:00.148640 1090.50 1 41 1.25 +0.11 2010-06-13 18:00:00.148445 1090.50 1 40 1.25 +0.11 2010-06-13 18:00:00.148250 1090.50 1 39 1.25 +0.11 2010-06-13 18:00:00.148092 1090.50 1 38 1.25 +0.11 2010-06-13 18:00:00.147929 1090.50 1 37 1.25 +0.11 2010-06-13 18:00:00.147708 1090.50 1 36 1.25 +0.11 2010-06-13 18:00:00.147483 1090.50 1 35 1.25 +0.11 2010-06-13 18:00:00.147302 1090.50 1 34 1.25 +0.11 2010-06-13 18:00:00.147127 1090.50 1 33 1.25 +0.11 2010-06-13 18:00:00.146992 1090.50 1 32 1.25 +0.11 2010-06-13 18:00:00.146767 1090.50 1 31 1.25 +0.11 2010-06-13 18:00:00.146515 1090.50 1 30 1.25 +0.11 2010-06-13 18:00:00.146388 1090.50 1 29 1.25 +0.11 2010-06-13 18:00:00.146187 1090.50 1 28 1.25 +0.11 2010-06-13 18:00:00.145981 1090.50 1 27 1.25 +0.11 2010-06-13 18:00:00.145769 1090.50 1 26 1.25 +0.11 2010-06-13 18:00:00.145594 1090.50 1 25 1.25 +0.11 2010-06-13 18:00:00.145381 1090.50 1 24 1.25 +0.11 2010-06-13 18:00:00.145184 1090.50 1 23 1.25 +0.11 2010-06-13 18:00:00.145003 1090.50 1 22 1.25 +0.11 2010-06-13 18:00:00.144808 1090.50 1 21 1.25 +0.11 2010-06-13 18:00:00.144622 1090.50 3 20 1.25 +0.11 2010-06-13 18:00:00.144403 1090.50 2 17 1.25 +0.11 2010-06-13 18:00:00.144252 1090.50 1 15 1.25 +0.11 2010-06-13 18:00:00.144026 1090.50 2 14 1.25 +0.11 2010-06-13 18:00:00.143898 1090.50 1 12 1.25 +0.11 2010-06-13 18:00:00.143735 1090.50 1 11 1.25 +0.11 2010-06-13 18:00:00.143502 1090.50 1 10 1.25 +0.11 2010-06-13 18:00:00.143271 1090.50 1 9 1.25 +0.11 2010-06-13 18:00:00.143089 1090.50 1 8 1.25 +0.11 2010-06-13 18:00:00.142878 1090.50 1 7 1.25 +0.11 2010-06-13 18:00:00.142723 1090.50 1 6 1.25 +0.11 2010-06-13 18:00:00.142492 1090.50 1 5 1.25 +0.11 2010-06-13 18:00:00.142342 1090.50 3 4 1.25 +0.11 2010-06-13 18:00:00.142055 1090.50 1 1 1.25 +0.11 and here's es sept: 2010-06-13 18:00:00.168208 1087.50 5 244 2.50 +0.23 2010-06-13 18:00:00.168073 1087.50 6 239 2.50 +0.23 2010-06-13 18:00:00.167881 1087.50 10 233 2.50 +0.23 2010-06-13 18:00:00.167664 1087.50 1 223 2.50 +0.23 2010-06-13 18:00:00.167456 1087.50 1 222 2.50 +0.23 2010-06-13 18:00:00.167280 1087.50 20 221 2.50 +0.23 2010-06-13 18:00:00.167098 1087.50 2 201 2.50 +0.23 2010-06-13 18:00:00.166863 1087.50 1 199 2.50 +0.23 2010-06-13 18:00:00.166668 1087.50 10 198 2.50 +0.23 2010-06-13 18:00:00.166490 1087.50 10 188 2.50 +0.23 2010-06-13 18:00:00.166351 1087.50 1 178 2.50 +0.23 2010-06-13 18:00:00.166222 1087.50 5 177 2.50 +0.23 2010-06-13 18:00:00.165881 1087.50 5 172 2.50 +0.23 2010-06-13 18:00:00.165690 1087.50 5 167 2.50 +0.23 2010-06-13 18:00:00.165466 1087.50 5 162 2.50 +0.23 2010-06-13 18:00:00.165322 1087.50 82 157 2.50 +0.23 2010-06-13 18:00:00.165168 1087.50 1 75 2.50 +0.23 2010-06-13 18:00:00.164896 1087.50 10 74 2.50 +0.23 2010-06-13 18:00:00.164686 1087.50 4 64 2.50 +0.23 2010-06-13 18:00:00.164573 1087.50 10 60 2.50 +0.23 2010-06-13 18:00:00.164280 1087.50 3 50 2.50 +0.23 2010-06-13 18:00:00.164112 1087.50 3 47 2.50 +0.23 2010-06-13 18:00:00.163952 1087.50 2 44 2.50 +0.23 2010-06-13 18:00:00.163702 1087.50 1 42 2.50 +0.23 2010-06-13 18:00:00.163524 1087.50 5 41 2.50 +0.23 2010-06-13 18:00:00.163284 1087.50 1 36 2.50 +0.23 2010-06-13 18:00:00.163106 1087.50 6 35 2.50 +0.23 2010-06-13 18:00:00.162952 1087.50 1 29 2.50 +0.23 2010-06-13 18:00:00.162698 1087.50 2 28 2.50 +0.23 2010-06-13 18:00:00.162457 1087.50 1 26 2.50 +0.23 2010-06-13 18:00:00.162352 1087.50 5 25 2.50 +0.23 2010-06-13 18:00:00.162101 1087.50 1 20 2.50 +0.23 2010-06-13 18:00:00.161935 1087.50 1 19 2.50 +0.23 2010-06-13 18:00:00.161670 1087.50 8 18 2.50 +0.23 2010-06-13 18:00:00.161027 1087.50 4 10 2.50 +0.23 2010-06-13 18:00:00.160891 1087.50 1 6 2.50 +0.23
Dude! I know! This why it doesn't make any sense. Here goes, situation summarized: Data (e-signal): June contract (M0): Low: 1091.75 Sept contract (U0): Low: 1087.5 TWS shows in the Trades area with a buy fill below both of these lows on each contract as I pasted up a few. Obviously that doesn't add up. Which means either those fills don't exist and TWS somehow has a couple of phantom trades in there, or my data on the other end is correct. I see OldTrader above has different lows than this (the lows that would be consistent with those fills TWS shows me getting as I pasted few posts up). So which is it that you guys are saying is off? The fills that seem silly as they are below the lows, or that those trades can be correct as my low of session data is incorrect?
im showing the same numbers as old trader and everyone else in the world.....im not sure if people should be trading if they don't know how to look up the numbers if they think their data is wrong without going on a message board and asking. But I won't jump to conclusions without further info. Anyways, here's the best advice i can offer: type cme.com on your browser, click on e-mini S&P 500 on the right quote bar and, voila, the high, low, and current price are displayed delayed by 10 minutes.....some say it's magic so in conclusion, yes you should have got filled at those prices on the open
OldTrader, thanks. Few "faces" I enjoy seeing here. The choices were bad fill report, or bad data. It appears my Esignal data is lacking this evening as it still showing the incorrect lows. In any case, case closed on this one.