a market order does not have slippage problems - the person using a market order has, or does not have a slippage situation impacting on their potential profits - since you only have a slippage situation when the market is going the way you hope it would - its far worse to get a better price than you planned because the market is going against you - or not?
Cooltrader... One other study I did you might find interesting... I compared the fills in the big Nasdaq and the e-mini. The study was conducted by repeatedly entering market orders for 5 e-minis and 1 large Nasdaq at the same time. I alternated which one got entered first and they both got entered within seconds of each other. For the emini's, of course, I had the fills within a second. For the large Nasdaq's I had an online TOPS direct access to the Mann Financial traders on the floor. I would get my fills back in 5 to 15 minutes after someone entered them in the online system. The result was that you get better fills in the e-mini with 95% confidence. Of course it took a little longer to get the trades done via the pit, but you would expect that, due to the small delay, sometimes you would get a better price and sometimes a worse price as the market moved in those seconds. That was true, but _on average_ the price was worse in the big Nasdaq's. Now, no matter how many contracts I want to put on, I use the e-mini's. Aaron Schindler Schindler Trading
Aaron Now that is what i call a study - thankyou for that Do u think the fact it was one nasdaq main meant it was not prioritised and did you allow for the fact that the emini and the main might be different prices at the same moment in time How could you tell the real fill price relative to the particular market since the main contract data is always going to have a delay, and even an intra-minute move could skew results - although i realise that gut can basically tell you which is or is not working
Another thing I am wondering is how the exchange/globex handles orders that have the same price. If the price is hit, which orders get filled first?
Orders with the same price are matched so that the order received first at the Globex host computer is matched first.
I don't even understand the purpose of the large contract anymore. It just seems like the electronic markets are more efficient and accessible for investors, small or large.
I thought orders should be filled this way, But I am a little skeptical about it. If big orders with hundreds of contracts come in first, small orders with a couple of contracts may never have a chance to get filled. Based on my experience, that is not true.