filling ES with Limit order on bid: timings

Discussion in 'Index Futures' started by allesim, Mar 14, 2003.

  1. allesim


    I trade ES and NQ

    For ES, usually I place LMT orders like
    BUY on BID
    SELL on ASK

    During 9:40 - 11:00 I got executed with at least 10 secs delay.
    Sometimes 15-25 secs.
    I got executed faster (2-5 secs) only if trade goes against me.

    For NQ, no matter which time-frame, no matter if trade goes against me or not, executions are much faster (2-10 secs).


    How long does is take averagely to your order to get filled, supposing you fire 'ES 1 contract Buy Limit order on BID'?

    1a) in the 9:40 - 11:00 time frame? 2-3secs? 10-15secs? more?

    1b) in the lunch time? 10-15secs? 40-50secs? more?

    What is your comment about this remark:
    ' when orders get fast filled on the bid it often means the trade will go against them'

    How can you explain that for NQ, though less liquid than ES, such orders get filled almost instanly?

    I use IB-TWS & hotkeys (one key-touch to setup and fire the order), fast PC, fast 2MB Internet, etc
    Thanks and waiting
  2. Ditch


    Interesting observation you made on fills on the NQ. I think a reason might be that the majority of the scalpers is trading ES nowadays.
  3. nitro


    I am confused...How do you know that there is a "delay?" Do you mean a delay from the time the order goes in and you get filled, or a delay from looking at tick data from another data vendor, noticing that your limit price has traded _thru_, and then you get filled? Finally, how close to the time the price you want are you putting your limit order in, i.e., say the market is 830, do you put in an order to sell at 830.25 now, or has the order to sell at 830.25 been there from say when the market was at 828.75?

    The ES "book" keeps an electronic FIFO stack, which means that there may be several dozen if not hundreds of orders in front of yours, they get filled first...

    Also, what kind of connection do you have to your broker, and which broker is it?

    nitro :confused:

  4. Nothing mysterious. In a more volatile market like NQ
    you will get a buy-at-bid (or sell-at-ask) a lot easier.
    Another factor is the size of the bid that you are joining.
    Joining a bid size of 200 contracts in ES is different from joining 20 contracts in NQ.
  5. allesim


    Thanks to all of you for your kind reply


    delay: since I use hotkeys, my order are entered very fast: just 1 click (0.2 sec), they are aknoweledged (live!) in much less than 1 sec, say 0.5 sec

    On TWS screen, an order is live (aknoweledged) when the status column becomes green (from blue)

    from the 'green light' to the order executed I experience this strange 'delay' of 15-25 secs

    broker: IB-TWS
    size: average 2-3 ES contracts
    Internet: fast 2MB or E1 (equivalent to US T1)
  6. buy the bid may never get filled. And the ONLY time you will get filled is if the market ticks against you. That's what buy bid means. It means "I want the market to go up, but first I want it to go down and fill me."

    Man, the ask is the going price you pay to buy. If you want to get fancy and try to buy the bid, then who knows what may happen.

    If you want to buy at an even better price, you can buy bid minus 1, or buy bid minus 2, or buy bid minus 12.
  7. If you are buying the bid, and selling the ask, then how could you know how long the delay is? You are put in line when you do this.

    Try buying the ask, and selling the bid. You are still put in line, but in most market conditions you should be filled in a second or two. If you are chasing a market, you still may not get filled.

    As for the NQ being quicker, maybe the line there was just shorter. Both NQ and ES should be about the same if you aren't trying to take the spread.

  8. you connection speed..
    is this a business regulated service or residential?

    also, are you within your nearest city bounds or in the country or offshore?

    (hint: there's far more to the connection than just the last mile)
  9. The time it takes for your order to go green is the execution speed. Not execution of the actual fill which is dependant on where you are in line at the current bid or ask. When your order goes 'green' that means you are in the Globex system just waiting for all the contracts in front of yours to be hit. 10-15 sec is not unusual for you to get "filled" if you are near the last in line.

    From reading your initial post and your response to replies, it would seem to me that you don't really have a good understanding of the mechanics of trade execution. I would suggest getting a thorough understanding of bid/ask and Globex rules, IB orders etc...
  10. saico


    Just for an example: I enter a buy limit order (ES contract) with a limit price +3 of the current ask. A second trader does the same order with a limit +2, at the same time. Does the limit order which is nearer to the current ask in normal market conditions guarantee a better execution price, or a faster execution because of a better position in the Globex system?


    #10     Mar 14, 2003