Unless you are trading 1000 lots, why wouldn't you be filled? The ES book is as liquid as piss on a plate! How large are you trading that being filled in ES would ever be an issue?
I know what FOK means, I just just do not understand why you would ever use it trading ES? FOK is not the same as AON btw. Go back and re-read the Series 7 book, chapter one!
You still have not answered my question, what kind of size are you worried about "partial fills" in ES?
I have experienced partial fills in 20-50 range.Only do this size once a month, daily stuff is smaller.
I'm too lazy to go look this up for sure but I think a Fill or Kill order must be entered at the current price or it will immediately be killed. Also, even if you enter it at the current price you may experience a partial fill and the remainder will be killed. What I think you are wanting is an All or None order. Generally price will need to run through your order price before you see a fill. And, you won't be in line with other orders at your price. And, I'm not even sure such orders are accepted on the ES.
Thank you for a constructive reply.I was a broker for a while, AON were good types of orders for equities. I think you are right, no AON with futures.
why not just trade at the high volume times of day? emini volume is somewhat predictable. Or why not spread it out on different liquid indexes?