Futures execution question

Discussion in 'Order Execution' started by Klamath, Feb 24, 2009.

  1. Klamath


    I don't have much experience trading futures. Today at 8:39:02 central my ATS placed a buy limit order on the ES at 751.75 through IB. At 8:39:08 my IB datafeed showed the bid-ask as 751.5 to 751.75. Since the ask was at my limit order to buy around 6 seconds after the order was placed, shouldn't I have been filled?
  2. Big AAPL

    Big AAPL

    You would think so...but it would have needed to trade through that price for a guaranteed fill.
  3. It did, he bid 751.75 if the offer is 751.75 he must be filled. Yes you should have been filled.

  4. Stosh


    I'm not an expert either but it seems that if, for example, there were 10 bids on the books at 751.75, but only 5 offers to sell at 751.75, then only 5 bids would get filled. I suppose those bids that had been there the longest, would get filled first.....don't know for sure. Maybe someone will elucidate... Stosh
  5. There was a plus tick bid a second later, so looks like IB/your ATS was slow and you parked your order on bid. Check the execution report when exactly you got accept on the order.

    09:39:03  751.50 x 751.75  510 x 79   
    09:39:03  751.75 x 752.00  32 x 706   
    09:39:03  79s751.75 
    09:39:09  751.75 x 752.00  187 x 282   
    09:39:09  751.50 x 751.75  685 x 1   
    09:39:09  187s751.75                      <- here was your fill