Details of the CME price matching algorithm?

Discussion in 'Trading' started by archer001, Oct 25, 2006.

  1. ddunbar

    ddunbar Guest

    That's an important point I left out. Thanks for pointing that out. Decreasing an order size while not changing the price will not effect your place in the cue.
     
    #11     Oct 26, 2006
  2. If I have a 1000 order and define a max show 100, then what is the priority of the remaining 900 orders?

    Given the following orders:
    Trader A E-mini S&P Bids 9330 for 3 lots @14:47
    Trader B E-mini S&P Bids 9330 for 1000 lots @15:05 with max show = 100.
    Trader C E-mini S&P Bids 9330 for 2 lots @15:06

    Then, after the first 100 order for trader B is executed, will the next 100 order be placed after trader C? According to the GLOBEX brochure--- "the next 100 lot is entered into
    the market as a new order"--- I think so.
     
    #12     Oct 26, 2006
  3. Supercomputers do the work
     
    #13     Oct 27, 2006