If you're inclined to market making or working bids and offers - it is paramount to understand how each electronic trading exchange allocates order fills. Legitimate Resting Orders are always given priority. It's important to know that if you are using automation it must be approved in advance by the CME. (work with your FCM on this - if you're using the canned TT, CQG IC, or Orc tools that's already been done) Depending upon your strategy your automation may receive a "conditional" order tag by the CME - which means that your strategy will always be 'tail end Charlie' in the order queue priority. For example - if your automated strategy injects bids and offers for September 2020 Eurodollars based upon certain June 2020 Eurodollar best bid/best offer price levels then your orders will be tagged by CME as "conditional". Some select items of note: Generally speaking, all energies on the CME-Nymex and ICE exchanges are FIFO matched (First In, First Out). The CME equity indices (ES, NQ, YM, etc.) are FIFO matched. The most liquid and popular FX futures on CME are FIFO. The less liquid FX are typically Pro Rata matched. CME STIR (ie, Eurodollar) Interest Rate Futures blend a small FIFO allocation (TOP) with the balance filled via Pro Rata. The CME/CBoT 2 and 3 Year Notes are 40% FIFO 60% Pro Rata. The CME/CBoT 5's, 10's, 30's, Ultra are FIFO. https://www.google.com/url?sa=t&rct=j&q=&esrc=s&source=web&cd=6&ved=2ahUKEwjxrYqbucTlAhUJnKwKHUxUDesQFjAFegQIABAC&url=https://www.cmegroup.com/globex/files/globex-product-reference-sheet.xls&usg=AOvVaw2icQeEFWAwDQ1BadmExdCm
Thanks. Good info even for plain ol' retail to understand... Order mods reset your place in the que, as does the moment stops turn into marketable orders. In the latter, the ms/time between stop and marketable is basically "lost". Please correct me if I am wrong.
FIFO is the easiest thing to understand in the universe. Imagine you are on a long line to see a movie. You get to the front of the line and are about to get your ticket. Just as you are about to get your ticket from the teller, you have to jump out of the line because you need to piddle. After your piddle, you have to get into the back of the line and start over. It really is that simple. Look at it from a swing-trader perspective... If I am long ES at 2900, and my exit was placed months ago at 3000, there was nobody else on the book before me. I am the only person on the book selling at 3000. As time passes, people who want to get out at 3000 will have to pile in behind me, to get their movie ticket. They pile up on the book at 3000. I am number 1 to get out when someone buys my 3000 ticket. So if we now have 100 people behind me trying to buy that 3000 ticket, but I bail out of the line, and cancel my order for whatever reason... I want back in to sell at 3000, I am at the back of the queue. I am now #100 on the line. Not #1. FIFO.
interesting. Where can I get more info on market making? I am keen to know how do they do it, what tools do they use, what does it take to be a market maker ...