ESTX50 slippage

Discussion in 'Index Futures' started by KS96, Jul 5, 2007.

  1. KS96


    For the first time in years,
    I had a 4 pts slippage in ESTX today at 14:52:05 CET.
    Hard stop @ 4542, filled at 4538.
    What the heck?!?
  2. Vince1


    I also had a rare 2 or 3-tick slippage on a stop last year - also on an event. Today, Trichet was speaking++
  3. KS96


    Is there a time priority in stops?
    There were many contracts traded between 42 and 38,
    just not mine...
  4. Vince1


    Seems so...

    "Stop orders are only triggered upon reaching the stop limit. In this case they are automatically entered as market orders in the Eurex order book, where they are executed according to the price-time priority principle"

    "If several market orders are booked in the order book, the Eurex® system takes into account the timestamp of the orders to establish matching priority. The earliest market order entered receives the highest priority."
  5. KS96


    Well, i was standing at 42 for around 13mins
    (according to the charts, the oldest stops at 42
    were from 1h10mins ago), >10k contracts traded
    that minute and it seems I got filled last @#$@#&*

    something stinks

    never experienced nor heard of a 4-pts slippage
    in ESTX before
  6. Have you guys considered that it's a holiday week and volume is down in the US which affects markets world wide. ECB also had a rate announcement, unchanged I heard, buy BOE raised. I don' t trade stoxx50 yet, but have been watching it this last week and reading up on it. A trader on another thread from Europe, said some European traders he knew where taking the week off due to the 4th in states causing low volume.

    Funny thing when I have looked at Stoxx50 it tracks the S $ P, but with less chop.
  7. FGBS


    Saw that but looked like it was one big order going through for 2000 in reasonably empty book... was your stop for 1? 30? 50? or the 500 that caught the 39 and 38 together?

  8. never mind the holiday week, it was during the ECB press conference....been a lot fo talk across Europe about protectionism lately. i think Trichet was asked a question about it. The story in FT about German Government saying certain German companies could not fall into foreign ownership, caused the Dax to get ironed a 100 pts last week.