Conversion time for exchange held stops

Discussion in 'Order Execution' started by rdg, Sep 21, 2007.

  1. rdg


    Does anyone have any data on the distribution of times required to convert an exchange held stop order to an active market or limit order? I'm specifically interested in eCBOT and Globex. I recently had a case where it took 6 seconds between a trade taking place at the stop price before my order was inserted in the queue. Since that's 2 orders of magnitude slower than I would expect to see, my guess is that the order wasn't actually held at the exchange despite what my broker has told me. It would be interesting to know just how slow the exchanges can be to aid in further modeling. Thanks.
  2. rdg


    Bump. Anyone come across any such data?