Market Order Futures Stupidity

Discussion in 'Order Execution' started by trade2212, Oct 11, 2008.

  1. When I place a market order for an equity on INET, 99.9 percent of the time I get filled right where I should (based on level 2) and usually in less than one second. I recently opened a futures account and I’m wondering how dangerous it is to do the same with futures. I would be trading the ES only, using IB, and placing a market order for 1 contract with an attached stop loss. Can I expect the same efficiency I have experienced with INET or am I playing with fire?
  2. Surdo


    Put it this way, in Friday's market you could potentially get filled up/down 10 FULL ES points, depending on your execution speed.

    I strongly suggest you employ limit orders if you plan on lasting a second trading session!

    Please take a look at a 1 ES minute chart of Friday's session, if you don't believe me.

  3. HooLee


    1. Not now. It's been good for years, and will be good later, but not now.

    2. What's your style? Retracement maybe, breakout never.
  4. I use market orders with no problem. Depends on what futures you are trading.
  5. You have the dom data... all you need is your order execution speed. You already have calculations to guage where you will be filled. Buffer 100ms for execution and 2000ms for confirmations.

    ps. not stupid at all if its calculated and part of your strategy. In many ways it can be a competitive edge.
  6. I'd love to know what platform will send a market order and get 10 full ES pts filled later. If that's even remotely true (which it's not) then time to get a new broker and/or internet connection.

    I love the over-exaggeration around here...

    ... send a market order and get filled 10 ES pts later...

    sure thing!

  7. hopeful


    Looking at ES one-min bars - some of them moved 5 points in a minute. If it takes more than 3 seconds to get filled on a heavy volume day then you need to get a better broker before they make you broker than you already are.
  8. high99


    10 pts? 40 ticks? What, are you nuts?
    Just watch the spread. It stays consistently .25 except in VERY fast times.
    Just keep an eye on the spread prior to firing your round.
  9. ES From 9/29 - 10/3

    A/B Spread Ticks
    0.25 43346
    0.5 7515
    0.75 334
    1 57

    Tick Increments:
    .25 46179
    .5 3652
    .75 898
    1+ 523
  10. cookding


    I like using market orders myself but other more experienced traders have warned me the same... something like 6 points slippage. I will take their words for it in this environment. I have definitely seen it falling out of bed in 1 second... news or no news.
    #10     Oct 13, 2008