Queue position?

Discussion in 'Order Execution' started by kcgoogler, Jul 15, 2011.

  1. Anybody knows any retail/prop platform that shows you the queue position for orders; i am specifically interested in ES but even for stocks.

  2. tt
  3. ?
  4. LeeD


    As far as I can tell exchanges don't communicate the order position in the queue even to their best customers.

    So, your best chance is a company that builds a (very non-trivial) queue reconstruction algorithm, pays for every "level" of market data (as opposed to 5-10 levels of best bid/offer sizes) and further pays for the priviledge to distribute this data to you in the form of "position in the queue".
  5. what would you do with that information? just curious.

    someone mentioned x-trader. I didn't think CME provided this information.

    X_TRADER® 7 provides integrated charting with X_STUDY™. Major enhancements to MD Trader®, include the ability to convert Treasury prices to yield and view Position in Queue (PIQ) on working orders.
  6. Agreed, I don't believe they do. One must read the fine print.

    MD Trader® "Display depth of market, implied prices and volume, volume at price, estimated position in queue and average price of position at a glance to assist in making trading decisions."
  7. I think CQG could do something like this. They have a trading a program that allows you to see all the orders sent to market and pulled (i forget the exact name now).

    only catch is you cannot see the whole order book with this, only the 5 or 10 levels the exchange allows.

  8. Good question :p. Here is one way you can use it; say i am sitting with a limit order to sell at the ask and it gets filled without price crossing through me; if i can see my queue position i can tell whether i was filled as part of the flush out at the price range (not good even if price doesnt steam past me for the next few seconds) or if there are a bunch of fellows behind me; and i really got a good fill. If former, its very powerful information because i will probably get out of the trade; or something like that.

    Just one example.

    Specifically i was comparing my ES fills on TOS and NT and have been observing slightly better fills on NT with mirus. To definitely be able to say if there is a difference i should be able to see my order as it goes through the queue in both these cases (yes some other broker showing it wont help because i cant see my order going through these platforms but it just triggered the thought).


    So i have seen it being used at a prop firm (closed prop) and was curious if there are retail/prop firm platforms available to customers that have this ability. Most likely they were using their own algorithm to reconstruct based on when their orders are placed monitoring fills from that time on.