Are there any brokers or trading platforms that can provide a "Fill or Kill" limit order for futures trading? For example, if I place a limit order at price X trading the emini S&P during a very volitile time, I want to either be filled at that price or have the order canceled (ie: no slippage). Is this possible? Thank you.
Sure - just need to use a stop limit with 0 ticks allowed for slippage. It depends on the trading platform, but with T4 ( http://www.ctsfutures.com/content/t4/ ) it's very easy. I use this feature every trade actually and allow for 1 tick slippage and have never had problems.
J - I may have misunderstood your question. If you are looking to buy above or sell below the current price, then my suggestion will work. If you are using a regular limit order, not quite sure since I don't trade like that. Sorry for any confusion.
You didn't say which exchange. ECBOT supports IOC orders (Immediate or Cancel) natively while CME does not.
Thanks for everyones help. I am trading CME. I am interested in either stop or limit orders. My current broker does not have this feature and I have been slipped up to 10 ticks trading currency futuers during news time. It would be great to find a broker that will not slip me and will just cancel the order if the price deviates too much.
J - like I said, if you are able to use buy stop limit or sell stop limit orders, then a platform like T4 thru Mirus or ProActive Futures will do exactly what you want. I like the T4 platform in this regard b/c it's very quick and easy to use the stop limit function. Each DOM is independent and you can set your stop limit acceptable slippage amount based on each DOM, not just a general setting. And it can be changed with a click or two.