Lets say I just want to hit close price with a pre-defined number of contracts, but it has to be guaranteed to be filled, in order to do automated systematic trading, how do I achieve good execution for this? I am using TT... Thanks!
tt has a free add on application that will let you split your order up in chunks and submit the chunks is short time frame. i'd call it a sliced up MOC order as you can set it up to start sending orders at whatever time you like, like 1:59:00 and send in slices every 10 seconds or so. a few guys in my group use this when they're heading out the cubs game and won't be around for the close. i know they're coming out with some sort of synthetic order manager that replaces that addon. i got this info second hand so don't know much. a tt rep told a guy in my office about it and left some paperwork with screenshots. you can create your own order types for stops and icebergs etc and tell their server when to send the order. ..looks pretty cool but i haven't use it
I'm not sure what 'guaranteed fill' means unless you are willing to set very generous order fill parameters. TT is the best, and I have used it since 1998, but you will only get filled if the contracts are there for the taking.
I meant if your system tells you to buy 1000 contract at settle, how do you "guarantee" that your 1000 contracts get filled, and at the settle price(or with more favorable costs)
There's no such thing as a "close price" with futures. That's better; you want the Settlement price, guaranteed. In general, you can't have it. Now you know. The responses you get would be more helpful to you if you would take the time to be clear and specific, rather than having bone and me ask for clarification. For example, to what exact contract are you referring? The answer to that would likely make a difference in the information you get regarding the solution, as not all tradables are created equal.
Ipso Facto the 'close' is settled after the market is officially 'closed' - and it can vary, many exchanges have published calculation procedures. In OTC markets, I have actually argued about the closing marks with the exchanges. You are never guaranteed anything in trading. No such thing. And just because you see something printed on a chart does not mean it actually traded anything of note there. I have also gotten fills at prices never published on charts. Bloomberg Time and Sales is very, very good.
The "Fill or Kill" (FOK) order type is what mizhael is looking for. FOK orders are canceled if not immediately filled for total quantity at the specified price or better. No partial fills. Reference to FOK order types on Globex: http://www.cmegroup.com/globex/files/GlobexRefGd.pdf At the FIX protocol level, you can simulate a FOK order by setting the FIX tag 110 (Minimum Quantity) value equal to the FIX tag 38 (Order Quantity) value. Traders who use this order type are not called FOKkers.
Like Ellis said, FOK ( Globex even supports FAK for that matter ) might be one idea, but his statement "how do you "guarantee" that your 1000 contracts get filled, and at the settle price(or with more favorable costs)" leads me to believe that he still doesn't quite understand the question he poses when he started the thread in the first place. The fact of the matter is that the officially posted settlement price is determined after the market is closed to trading. Furthermore, conditional orders like FOK and FAK go in the back of the order queue at all electronic exchanges unless there is price improvement - and he wants no worse than 'settlement' prices. No free money here, move on. You don't know what the settlement price is going to be until it is too late for you to do anything about it.