Limit order fills on US and TY

Discussion in 'Financial Futures' started by TraDaToR, Apr 16, 2007.

  1. TraDaToR



    Does somebody has experiences about limit orders fills on TY and US? On those instruments, it seems like the algorythm is FIFO.

    So what is the typical time frame to use to have a chance to buy at bid / sell at ask through limit orders? I know it depends of the book, levels... but what would you consider a good TF to get a chance to be filled ( on tops and bottoms of bars for example... ) ?

    For example, if I use a typical channel system which shorts limit on UpperBand and buys limit on LowerBand on 30 min TF, is it too fast ?

  2. Avoid the pit. Trade what's on the screen instead. That way, you'll know whether or not your order has been filled immediately. Getting confirmation from the pit can be slow.
  3. TraDaToR


    Yes, thanks for the advice, I use TS for my automated trading, so I only trade electronic markets.

    Does anybody else has some experiences of limit fills on TY and US and would like to share?
  4. My only experience is negative. If you're not willing to come inside on the bid or ask, you will not get filled until the move is over.

    The liquidity is just too deep. You're 4000th in line. :)
  5. TraDaToR


    Even if your timeframe is 120 min? Daily? There are a lot of big lots coming out...

    On ES( I know it is totally different ), you have a chance to get filled on highs and lows since you use 30 min at least. There is part of the book moving with price and updating whenever there is a new bid/offer level and thus you instantly gain rank in the order queue.

    Is it not the same with US, TY? Is there no market making models whose limit orders are constantly moving with price ?

  6. The only way to know for sure is to try, anything else is just conjecture.

    One major difference between ES and US/TY is the number of ticks move in a day. 8 in US may be typical as opposed to maybe 50-70 on ES (ATR on ES is 1% ish?)?
  7. TraDaToR


    ok thanks