ECBOT fill

Discussion in 'Index Futures' started by illiquid, Jan 22, 2004.

  1. This morning the following occurred: I had an limit offer to sell 5 contracts, and from what I saw I was the only offer at that price other than some arb program which was offering at the same price every once in a while.

    Now this: on the tape, I see that I was filled for 1 contract, then one more, but then I see a 25 contract fill at the same price (someone had lifted part of the arb program) after which I had sold another contract. This left me with 2 contracts to be sold at the same price (which was at the time the high of the day), yet how could the 25-lot go before my 5 had been taken out? I am pretty certain that I saw half of the 50-lot offer reduced down to 25 while my offer was still there -- any explanations for this?
  2. H2O


    Doesn't a market order take preference over a limit order ?
    Maybe this happened...
  3. For a market order to sell to be filled at the same price I was offering would require a bid at my price, so that wouldn't be possible (or else I would be filled).
  4. Well anyways, I found out that either IB's software or the ecbot itself does something called "netting" of trades and that prices might be not entirely accurate *shrug*.
  5. illiquid,

    A/C/E / Eurex did a netting process.
    E-CBOT does _DEFINITELY_ not "net".
  6. Dunno, that was the explanation given to me by the customer rep guy (yes I used the phone :()
  7. Then he was not up-to-date.
    Although I did not understand the process fully what you descibed in post #1, I can tell you that eCBOT

    1) does not net prices, but sends a
    continous market data stream
    2) there is a price - time priority
    cheque for Dow-Futures and Bond-Futures.
    There are products (Money-Market, do not trade it, don't know exactly) where matched buys/sells are allocated
    by percentage instead of price-time priority.

    What product did you trade ?

    I assume, the solution for what happened was, something you saw was not what really happened, maybe delayed quotes, maybe you saw something wrong etc.
  8. Was trading YI, offering 5 contracts at what at that point was high of day. Got a couple contracts filled, then saw 25 filled at same price, then one more filled leaving me with 2. The only thing I can really think of is perhaps the software showed that larger arb offer at my price when it was actually lower? Is YI traded only in .005 increments?
  9. ILLIQUID.. cannot explain your situation but i can state this fact.... since we been trading bonds on ECBOT i am having MUCH MORE limit orders not getting filled on the first touch. anyway just sharing for what it worth??
  10. seem very knowledgeable..... how does ECBOT handle market orders????
    #10     Jan 22, 2004