ES Who gets priority on limit orders!?

Discussion in 'Index Futures' started by GCast, Oct 2, 2003.

  1. GCast

    GCast Guest

    Hi, my system involves placing limit sell orders at pre determined prices, now does anyone know who gets priority, like who is 1st in line to be executed @ say 1012.25. because I always get my order in say 30mins before the strike price, I see multiple orders going off with just me flashing waiting to be filled.

    It seems like the ES has to always go 1tick above my exit price before I get a fill!! How come!? who are all these people getting filled before me!??
     
  2. Limit orders get time priority on the CME. First in, first out.

    What execution software are you using?
     
  3. Pabst

    Pabst

    Globex matches trades by time priority. Presumably there are orders in front of you. If you're placing an order several points away from the current market it's safe to assume that there is a few hundred in front of you.
     
  4. GCast

    GCast Guest

    velocity_trader Hi, I am using IB with Globex select for execution.

    Pabst yea, maybe I am just in a que with others well in front of me, but it does seem to take a while!
     
  5. That's just how the eminis trade. If the pressure is high enough to take out all the orders that were placed around the time the price was at that particular level the last time, it usually spills over a tick or more.
     
  6. good scalping idea right there :) gotta do 50 cars to go for 0.25 or 0.5 though :)
     
  7. I tend to glimpse at the size when I go in.....and the fills come back "just about right" in my estimation of where I am in the deck.
     
  8. def

    def Interactive Brokers

    gcast,

    once you submit an order it will usually get to the exchange in less than 1/2 second. Once you are at the exchange (confirmed by the green status button on the TWS) NO ONE can jump ahead of your order unless they enter in a higher price.

    As suggested, take a look at the market depth before you submit an order and you'll get a better idea of where you stand in the queue.
     
  9. mBear

    mBear

    Because CME uses a first in - first out system, all users have equal access, from large to small. However, most large traders do not enter orders well in advance. Therefore, if you know what price you want to enter well in advance (e.g. day before, or even before day session opening) enter the order then. Use the GTC or good till cancelled as the order type for orders the day before. When I do this I am the first to fill when price touches my limit order.

    However, the longer I trade, the less I do this and the more I want to wait and see the market react to the price before entering. I am more willing to enter at the market and loose a tick or two and gain the advantage of watching how the market reacts around my anticipated entry.

    Note: I use IB as my broker.
     
  10. H2O

    H2O

    Consider using market orders. That way you make sure you get the trade you want.

    The spread on the eMini is usual 0.25 and since you know you prices way ahead, I asuume you're not scalping for ticks. Might be worth the extra 0.25 to enter te trade at the time you like.
     
    #10     Oct 5, 2003