wondering,if the min vol for grains in the pro rata for ecbot is 10 then anything under 10 would become fifo? eg. i put an order:sell 4 at 283,some other computer then adds another 4. my order should get priority? thanks
I don't think so... It's pro-rata whatever the number of contracts, but orders of more than 10 have priority over , let's say, 2 different 5 lot orders on the same bid( 20 lots ). In your example, you would have no priority over the other 4 lot guy. Random algo in this case. I always get priority when I place a 3 lot over a 2 lot for example. I'm sure to get the first lot coming... Not sure about the more than 10 lots exception...
thanks alot for the reply. lately its been crap for me thats why i'm checking. in my example what happened was a buy came in and bought 4. i got 1 and the other bastard got 3 even though my 4 was first. usually they split it 2 and 2 which is fine. last week it was worse i had a 6 bid another guy adds 4 and he gets all filled before me.now thats fukd up lol wonder if they are going to change to fifo when they move to globex?
I don't know if it is my market datas, but I usually see missing( or hidden) size on grains with both IB and TS( IB displays relatively more... ), so it can be an explanation( one other undisplayed size for your 4/4 bid example... ). But I agree there are really strange things sometimes. One day I joined a 30 bid with 1 lot, making a 31 lot bid. One lot comes and ... I get it. There 's still a 30 bid... WTF? To me, those problems are more data related than crazy algo stuff...
i think you're right about the data. i thought it was an Ib data malfunction but it looks to be ecbot. market depth is pretty much useless now. thanks
Just for the record, what I initially said about a 10 lot guy against 2 5 lot guys is just non sense... Of course the 10 lot guy will have priority 'cause it's pro-rata... but I think he will get all the incoming lots, up to 10 if he 's not competing against an other 10+ lots trader... Does someone who has knowledge of ag eCBOT algos clarify this? Thanks