FIFO rule kills futures traders profits!

That's your 1st problem. Very difficult to scalp the ES because of its "high noise".

 

I love noise. That's why i am a successful ES and NQ scalper. So that's not the problem at all

 

Power to you!

 

Just for clarity, in the futures universe FIFO and Pro Rata are order matching algorithms employed by the futures exchanges - doesn't have anything to do with the brokers. If you change anything about your initial order (such as quantity), that requires a new message it requires a new order tag and you go to the back of the order queue line. Same on CME, ICE, Eurex, LIFFE, SIMEX, etc..

 

Then put your big boy pants on and get TT X-Trader and clear an FCM directly.

You mention all of these smallish Introducing Broker firms - you do realize that you are going through three ECN's, doubling your messaging and running two risk checks? That's not an optimum scalping situation by any standard.

 

he’s referring to lot allocation, not execution on the floor

 

I'm referring to electronic order matching. Lot allocation on the screen. FIFO and Pro Rata.

 

We have used average prices at our company. It’s really hard to do post transaction analysis because you have to recreate the entire stream of trades.

If you need it because it’s affecting your decision making then either 1. You have to do it yourself (I do this in excel), 2. You have to switch software, 3. You have to challenge why it’s affecting your decision making.

 

I know. OP is referring to lot allocation for the purpose of realized gains.

 

OP has other problems that he is blissfully unawares of. Like doubling his message routing (two credit checks per message - Ouch!) because he uses Introducing Brokers. If he used TT and cleared an FCM directly he'd be a big boy scalper.