Question to Limit Orders and Fills on the ES

Discussion in 'Order Execution' started by JW12, Sep 24, 2003.

  1. JW12



    i have a question about your Trading experience the ES with Limited Buy and Sell Orders. I didnt have trade the ES in real until yet, so i can not really imagine whats happended with this Orders.
    My Question: How many times it happens, that the lastprice hit the limit but the own order will be not filled ?
    Is there a subjectiv value ( maybe as sample "until yet, i never seen that the price hits more then 10 times in a few seconds and my order wasnt executet, but the highest one was aorund 8 times ( hits my Limit ) without execution...) you can tell me ?
    Who has experience with stuff and can tell me a little bit about.

    best regards Juergen
  2. acrary


    Happens all the time...I tried to get a short at 1027.75 this morning and watched others get filled, but not me...
  3. 168


    watch the volume on the bid and ask,if it's a buy limit,let say buy 1026.00 limit,then if the ask is 400 at 1026.25 and the bid is 50 or 70 at 1026.00,then you probaly will get fill at 1026.00.if the askis 400 and the bid is 200 or more ,then forget about it,no fill.
  4. Ebo


    Its very simple in the E mini.
    If it trades through the bid and you are on the book bidding you are filled. If it does not trade through, there can be Bidders ahead of you much like a NYSE or ECN book. Your explanation made no sense. Pay the offer and you are filled. I am not a scalper so .25 means nothing to me when I want to be filled.
  5. Quah


    First come, first serve. If you are first in line when your limit price trades, you will get filled. Very simple.

    If you are not first in line, you wont get filled until everyone in front of you gets filled. It's impossible to speculate otherwise.
  6. Ebo


    Well put!

    Take the Spellcheck button for a test drive!
  7. Hi,

    Does somebody know what goes into the market depth figures for the ES and NQ as displayed by IB? I suppose all native limit orders are included. What about stop and stop-limit orders? What happens with market orders, do they have to show up at all?

    I have not yet come across a rigorous description of this.

    Thanks for commenting,

  8. Foz


    You can probably find this on the CME website, but stop and stop-limit orders do not go into the order book until the stops are triggered -- so they don't show up on the market depth.

    Market orders are turned into limit orders by Globex2. The limit is somewhat above (below) the market for buy (sell) orders. The purpose is to limit spikes from oversized trades. The practical reality is that the orders immediately take out the offer (bid) and they don't sit in the order book.