I have my broker call down to the floor and tell them either : 1. Step up and honor the other market. or, I will -> 2. Cancel and replace my order, sending the business to the other exchange. I do not pay directly for cancels (although I am certain it is built into the price via minimum commission). I trade more than a 10-lot at a time, so I do not get hit with minimums anyway. My broker receives Payment for Order Flow and routes to NITE. However, if I want to route to another exchange where NITE is not the DPM/LMM/Specialist, I just call up and reroute at no charge.
Thanks for clearing up the cancelation issue for me. Yeah, generally I will replace to get a better fill. Rarely would I not execute the trade at all. As for the ES O/N bid ask spreads and market depth, they suck. But more than that, because it's so illiquid the prices are just not very relevant. Europe or Asia can be moving all over the place and the ES may or may not be reacting "logically" so you just don't have any confidence with the price. Is it valid or is it just some price that happened to get filled on a few lot basis? And the other bids and asks are usually pretty far from the "market." So there really is little depth around whatever the price might be.
After two days with the cancel in full effect it seems obvious to me that it is a ploy to; 1. Keep your order at a particular exchange 2. Make a fee whether a trade takes place or not 3. Try to force traders to pay the spread 4. An attempt to sidestep electronic linkage ( a whole new line of questions). Anyone else notice a slowdown today on CBOE ? It took over three minutes to get a sell at the bid order executed today. Routed SMART. Claimed they were "very busy".
Seems everytime i see something that interest me, i try to hit it, i see the color turning green, suddenly the bid dissapears and a few seconds later my offer comes in the market. This happened 4 times in a row allready today. Seems like they are adding additional challenges in the market ...
Seven times in a row now, it takes forever for my order to reach te market. And yes these options were between bid and ask (DIA-options), nevertheless seems strange ... more like someone holding back my orders, or would i be too paranoid thinking this ?
Well no it wouldn't be paranoid but here's how CBOE works it.....at least on OEX. Lets say the spread is 10.00 x 11.00 and you enter a buy order at 10.40. The MM looks it over first and it gets displayed internally. If no one on the floor wants the trade it gets posted to the bid side. Usually takes 45-60 seconds to post. I'll go out on a limb a guess it works the same on DIA. My opinion is that if the MM executes it without displaying to the public, you probably shouldn't have made the trade )
I assume the new cancel fees are treated like commission fees and debits fees end of month ? my option trades got hit thursday with what at first glance seems like a high amount in cancel fees. 17-APR-2003 Order Cancellation Fee -19.05 total number of contracts executed 1 contract 20 exectutions 6 contracts one execution