Hi all, I am looking for reading materials for order execution and market micro-structure in commodity futures area. For example, are there darkpools in futures trading and how liquidity is sourced...? Any pointers would be highly appreciated...
Futures darkpools - LOL Ever hear of the CFTC? Ever hear of Globex? http://www.cmegroup.com/globex/introduction/ And look at the "Related Links".
Are there "dark pools" in the futures market? Yes, but only in the crude oil trading - mostly in the Gulf of Mexico - LOL - just kidding! -g
The globex site has plenty of information on market microstructure, specification and pricing for futures. Here are some useful links: cme globex reference guide http://www.cmegroup.com/globex/files/GlobexRefGd.pdf cme globex platform http://www.cmegroup.com/globex/introduction/ FIX/FAST API http://www.cmegroup.com/globex/resources/fix-fast-market-data-format.html CME futures spreads functionality http://www.cmegroup.com/globex/files/SDKfutures.pdf http://www.cmegroup.com/globex/files/FuturesSpreadsonCMEGlobex.pdf cme implied spreads http://www.cmegroup.com/globex/files/ImpliedPriceOverview.pdf http://www.cmegroup.com/trading/interest-rates/files/Butterflies.pdf One big difference you will notice from the equity markets is the implied quote functionality (first generation and second generation). No there are no dark crossing pools for futures.
Thanks a lot but these are too technical and too IT oriented... I am looking for the finance/economic side of how the markets work at micro-structure level, instead of FIX, messaging, communications protocols, etc... Thank you!
If you go through the platform documentation, reference guide and implied spreads, it should cover everything you need to know about these markets operate such as types of orders accepted, how orders are placed, how orders are matched, how orders are executed/filled and settled and how price is discovered. This defines the market micro-structure. As with equity securities, a commodities futures price is determined primarily by the supply and demand for the commodity in the market. There are many economic, political and geographical factors that will have an effect on the price of a particular commodity. e.g., weather plays an important role in pricing of rice futures, political instability in middle east will affect the price of oil futures. This is not specific to any market.
I understand CME migrated all their matching engines to new ones. Is there official information on latency and reporting data changes?