Order queue priority for amended trades

Discussion in 'Order Execution' started by z z, Feb 9, 2018.

Do you loose your spot in the order queue?

  1. Yes for both increase and decrease of quantity - so do submit orders broken down

    2 vote(s)
  2. Keep for decrease, but lose for increase - so do not amend, submit new

    1 vote(s)
  3. It depends on our broker

    0 vote(s)
  1. z z

    z z

    Hi all,

    If you amend a limit order, specifically change the quantity, do you loose your place in the order queue, and can your broker 'screw you' (while they are supposed to let the limit order through the exchange. I am using IB for now).

    E.g. you place two contracts at a certain price, say on NYMEX, and this has been sitting for a while. As the price comes closer - or for any other reason, you wish to cancel one of the two contracts, which is a quantity update from 2 to 1.

    If you had placed two orders with quantity 1, then of course you will keep your place for the other order as they are independent. In turn, I would expect increasing quantity does not work [or does the old quantity keeps it's place?], in any case you probably would submit a new order.

    Any help much appreciated.
  2. CALLumbus


    As soon as there is a change in your order (cancel and renew, change quantity, change limit price...), you jump back to the end of the queue. Same with Iceberg orders, only the child order (the shown quantity, the tip of the iceberg) is in the queue. When one child order has been filled completly, another child order will be submitted to the market but positioned at the end of the queue again. This continues until the complete parent order has been filled and there are no more child orders to submit.

    Ok, this was maybe a bit off topic, but just to show that anytime you change something about your order in the book you hopp back to the end of the queue.

    Regarding increasing the size of an order... if you really change the original order, say from 1 to 10 contracts, then it is a new order now and you jump back to the end of the queue. If you add an additional order of 9 contracts then you have 1 old order with 1 contract that remains at its place in the queue and a new order with 9 contracts that goes to then end of the queue.
  3. i960


    As @CALLumbus basically said, if you touch the order it's going to get cycled to the end of the queue. This is done so that a given trader couldn't monopolize an early queue position and then change their order size based on dynamically changing market conditions.
  4. comagnum


    I never sit in queues (limit order book) - I always take liquidity using a market with protect order for US markets, overseas is different - usually a limit order is required.

    When price hits my desired level - I want to get in immediately.
  5. CALLumbus


    This makes sense for many different instruments and styles of trading.

    In certain instruments however (for example FGBS, FGBM, FESX, ZN ...), you can build your whole trading style and edge around getting an advantegeous position in the queue.

    In other markets like for example the FDAX or the HSI, RBOB or HO the queue position for a certain tick is almost meaningless.
    comagnum likes this.
  6. rb7


    It depends on which exchange you are referring to (trading rules, market models, etc.).
    But on most exchanges supporting the FIFO model, if you decrease the size of your order, you are keeping your priority in the queue. For all other modifications, you are loosing it.
  7. z z

    z z

    Makes sense thx all