My system is based on a specific price, specific number of contracts, and chart patterns.Developed over 5-6 years, thanks for the idea though. As I ramp up the contracts, trying to fine tune things.
When you have any doubt about order types, I'd personally go straight to the exchange as they have different rules. http://www.cmegroup.com/globex/files/GlobexRefGd.pdf FOK orders on p.14. Yes you can do it. They have a good alternative if you can figure it out -- set the minimum quantity to the order quantity -- I don't know how to do this but maybe your broker would. Also the Globex Control Center (or whatever it's called) is very good; you can call them. I've used Fill-or-Kill orders many times but differently: pit broker at NYMEX wouldn't get the job done (esp common in the options ring if placing orders within the bid/ask spread), so I'd ask for Fill or Kill (or even just ask to pull the order) and *like magic* you're filled. So Fill or Kill can get the floor brokers to hustle a little. Obviously not relevant to Globex... Oh, on Globex, a little off topic but if you ever need to bust a trade you have EIGHT MINUTES to call the Globex Control Center. This can be extremely important so you should have the number on hand imo. 312.456.2391.
1) From the perspective of the futures exchanges, All-or-None orders are "uncompetitive" and "detrimental" to the customer. 2) From the perspective of the stock exchanges, they'll accept All-or-None orders because they're quite content to screw their customers.