Quick question on ES fills

Discussion in 'Index Futures' started by ddog, Dec 21, 2011.

  1. ddog


    If I put in a limit order to buy ES at 1227.00 limit, would I only get filled if the bid is 1226.75 and the ask is 1227.00 or could I get filled if the bid is 1227.00 and the ask is 1227.25? (Small order).
  2. depends where you are in the queue, if you are at the front then you could get filled without the market trading through the price.
  3. ddog


  4. syrre


    often it "trades through" levels several times before moving to next, so chances are often good to get filled even if it doesnt go to the next level.
    and sometimes you could also be there for ages without get done.
  5. jmoo


    The es is thick you may get no fill if it doesn't hit your level.
  6. Yeah you really have to place the limit order hours in advance to be at the top of the queue. If you're trading in 10-50 minute timeframes and setting limits after opening trades you will get hit most of the time (ie 99%) when the bid falls below your limit (trades through). In that case, since the spread is usually 1 tick, it really doesn't make a difference if you use MKT orders to close a short at ask for example (just pay attention to the book).
  7. do you guys even trade?
    I doubt it

    The levels are so thin these days, that top or not, you can get filled on the bid or ask pretty easy.
  8. really? 500 or less contracts is thick?


  9. ammo


    the bots are placing and removing multiple hundred lots at all times,so if you had the order sitting there for 30 minutes or more,you might get filled,sometimes if i want to buy 27 and its 27-.27.25 and you are going to pay 27.25 anyway,you can go in with a mrkt order and get the 27 because the mrkt order moves ahead of the bid,rare though,it has to be when someones hitting the bid
  10. If you are testing/sim trading, you should assume price needs to trade through your level by 1 tick. In live trading, you might get a fill if it does not trade through your price during normal conditions.

    Since this is a holiday week and volume is lighter, you might have a better shot at getting your limit filled w/o trading through -- but -- during normal conditions, the only way to assume a fill is a trade through your entry level by 1 tick.
    #10     Dec 22, 2011