I recently started trading some futures on globex, I noticed that during times of low liquidity, even if my limit order is the best price offered/asked and there is small amounts of volume going through (1-10 contracts every few min), I dont seem to be getting many fills. Does anyone know much about the globex order book or where I could find information on how it works? I looked around the globex site with no luck on finding a description of their order book. I believe my orders are the best price between 20-50% of the time in question, but I seem to be filling less than 1% of the volume during these times (sometimes i need to wait 60+min for a fill). I was wondering if the fact I am only offering/asking for 1 contract right now has a negative effect on my fills. Do traders offering orders of size 10 or 20 get to jump line in front of me and get filled first on globex? Thanks
Some can queue up in front of (or behind ;-)) other participants. I am not sure that that happens after hours -- they have to be market makers and get that privelege for providing liquidity. You can only say that something is wrong if, say, selling, you offer at 1450.00 and the offer becomes 1450.25 without getting a fill. Here is a link about LMMs and TOP orders: http://www.cme.com/trading/get/abt/functionality/lmm.html
would it be possible to be part of the LMM program through IB? or would you need to be a member and trading directly on the exchange? there is a pdf at the bottom of the link you posted. it lists all CME forex futures as 'F' or FIFO matching. would that mean that there is no LMM matching for them?
You didnt say which broker you use, but i presume IB from your last post. Is your limit order shown as green or blue in TWS? Im not sure and ive never asked IB, but when my limit order is part of an OCA group (eg part of limit-stop bracket order) it shows as blue and im not sure if its live on the exchange or not, i believe it is not but cant say 100%.
Here is another link that indicates that the e-mini s&p 500 has LMMs: http://www.cme.com/files/PriceBanding.pdf Yes, everything is FIFO, but some participants can jump to the front of the queue -- their order will be filled before everyone elses. If you're at the front of the queue -- first in line -- your order will be filled as soon as someone hits it, unless an LMM steps in front of you before you're hit. In that case the LMM will get the fill. I guess anyone with $$$ and anything else that is required can be an LMM. I don't think IB is one. Even if they were, they wouldn't share with anyone else.
i am specifically interested in currency futures. in that pdf it lists the matching mode of the currency futures as 'F'. I wonder if that means that noone is allowed to jump in the queue using LLM privileges.
Notice the sentence that contains the link: Please see the CME Globex Price Banding by Product for the list of products which use the LMM allocation algorithm. It shows equity futures, options on equity futures, ... , and foreign exchange futures. I think that the fact that getting in the queue requires a limit order tends to indicate that the participant isn't in a hurry. People in a hurry use market orders or, if selling hit the bid and, if buying, hit the ask.
slightly confusing. at the bottom of the PDF it lists all the matching modes. Many using 'LMM' matching, 'F' does not seem to? or maybe you are right and every symbol listed in the pdf have some level of LMM matching beyond the matching modes descriptions. I should probably email CME for clarification.
I think the algorythm for currency futures is FIFO. It says "see the PDF for products using LMM algorythms" but it contains all algorythms , not just LMM ones. C E S T V X means there are LMMs, F means it's FIFO.