Quality of Execution

Discussion in 'Order Execution' started by roland5599, Feb 3, 2009.

  1. Hey Everyone,

    My first post!!

    I have developed a scalping strategy for the ES. I have done extensive back-testing and run the strategy against live market streams with paper trades. On paper, this is working very well for me. My concern is that I have not yet traded with live orders and until this point, I have always focused on longer term trading.

    My account is set up with Mirus Futures and I am planning to use Ninja Trader and Zen-Fire as my tools. I will be trading only single contracts initially though at times it may be as high as 4 contracts.

    My question is, how well do LMT orders execute with these services? Will I typically have to see price trade through my LMT? Will it vary? What percentage trade on touch vs transgression?

    Any help here would be appreciated.
  2. auspiv


    order management on ES and the like is first in, first out (FIFO).

    say there are 200 contracts on the bid, and you place a buy limit on the bid for 2 contracts. now there are 202. the first 200 contracts will need to be bought or removed before yours get hit.

    sorry if that is too basic
  3. chartman


    Order management is by the 3 p's, price, priority and preference.
  4. Mario66


    this should be based on the quality of the fill and the reduction of slippage. If you enter an order and are filled .20 away go get another broker.
  5. DmanX

    DmanX Guest

    Huh? ES moves .25 per tick. And funny enough, on market orders that's about as much slippage as one will see.

    As to the OP's question; sometimes it will have to trade through your limit sometimes not. Depends on where you are in the cue with you limit order or how many limit and market orders your limit is being matched against.
  6. Thanks for the replies, I guess I will just have to start trying it out and see what happens. I am going start assuming 50% of limit orders will need the market to trade through to execute.
  7. kxvid


    price= limit price of the trade
    priority= place in queue behind other trades
    preference= ??? help me out

  8. market orders
  9. chartman


    Quote from kxvid:

    price= limit price of the trade
    priority= place in queue behind other trades
    preference= ??? help me out


    Order placement is by what is known as the 3 p's:
    Price= limit price of security's bid/offer
    priority= place in queue based on time
    preference= size of order

    If everything is the same as far as price and size, a new order is placed in queue behind other orders of same price and size based on time of entry.
    If a new order is at same price but larger in size, then size will go before others in queue regardless of time.

    This is a little known fact of trading that a majority of active traders are not aware.

    For those non-believers, if you have access to Level II, go to a penny stock quote, for your own protection in case you get an execution, and place an order at the same current best bid/ask price being displayed. First place an order at the same size and see where it goes on the queue. Then cancel it and place an order 100 shares more in size than the current largest order size being displayed and see where your order goes in the queue regardless of time priority.

    I was a stockbroker for over twenty five years and one of the complaints was always, "I had an order to buy 100 shares of XYZ and it was not executed and a trade was done for 500 shares at my limit price. Why?". The canned answer was always, " there were stock ahead of yours". But since order placement is not required for the RR test, the majority of brokers did not know why their customer's order was not executed. They just repeated what the order desk told them.
  10. promagma


    Chartman, you talking about Globex or Nasdaq / BATS / ARCA etc. ?
    #10     Feb 8, 2009