trade bust on comex

Discussion in 'Order Execution' started by kotika, Aug 20, 2005.

  1. kotika


    I was fool enough to put in a market order for Z5 gold at comex, having seen a reasonable current bid and ask something like bid 4651, ask 4657

    What i saw next chilled my heart... i was filled at 4525, then that trade showed busted, and refilled at 5150.

    The first question is:
    What should i have done? Could i call the desk and ask it to be busted?

    The second question is:
    What should i do next time? Can i not trust the quote at all? From what i read in this forum it seems quotes are somewhat binding in an electronic market. Does anyone know what the specific rules are at comex? Was it a market maker who pulled their quote?

    The most funny part is that even some time after this happened, quote was still showing
    bid 4651
    ask 4657
    last 4515

    Any experience filling market orders on commodity exchanges would help...

  2. Sounds like you traded Z6, not Z5?

    I suppose when you don't trade front month they get alot more leeway in screwing market orders?
  3. TGM


    You must have put in this order at night? On the Access system?

    Always put in limits near the market or right on the market. Don't fool around with market orders on Comex at night.
  4. in a case like this ... do it immediately ( call trade desk of your firm )
    do not waste time posting on ET

    also ... use limit orders in overnight trading
    and always double check that the price is
    correct before entering ( esp. if entering a trade
    in a illiquid market )

    -What should i have done? Could i call the desk and ask it to be busted? -
  5. kotika


    To answer some of the things you brought up:

    1) yes i'm trading far out months in commodities. so yes, it was z6.

    2) This was during the day, half hour before close...

    3) I did call the trading desk about 1hour later, what they said the rule is : the trade has to be away from nearby prints, before or after. So, since there simply wasnt any other prints within at least half hour, there is no way to establish that it was away from prevailing prices!

    Still, I just dont understand how can it possibly be that a market sell order fills (much) lower than an existing bid in the order book? That bid was not taken out by someone else, in fact it was still in the book after my market trade printed.

  6. Unless you are trading the electronic contracts, the prices you are quoted may just be indications, not firm bids w/size attached.

    A bit OT, but has the liquidity in the large electronic contracts (ZG, ZI) gotten any better?
  7. kotika


    I dont think there is any liquidity in the after-hour market, unless its the front month. In the out months you will only be hit if the market moves fast and hard against you. You will regret getting a fill...

  8. Pabst


    It's easy to figure out what the premium in Gold is between delivery months. Compared to the price Oct/05 was trading, was your fill "out of line?" Gold appears to have a carry charge of about $1.75 per oz. per month. Thus if your fill was around $20.00 over the then current price of GCV05, then you got an ok fill.
  9. tomcole


    You need to ask for an explantion, from your broker AND Comex Compliance section.

    Take these steps-

    1. At the time of your order, figure out the spot price of gold. Gold settles on a T+2 day basis, then calculate number of days to the FIRST delivery day of the futures contract from spot settlement day.

    2. Ask your broker for a gold forward rate for the period and do the math. You may get either a dollar qoute or a percent qoute, either way, you can figure out the other. Is your price close?

    2.a. Ask for a spot efp price to the first delivery date of the futures contract you were trading. Close?

    3. Please post the brokers name, as these are pretty rudimentary steps your broker should protect you on. You did use a market order though, which gives them latitude.

    Depending on how far away your price is after doing the above, you may get an adjustment.

    I think shows a chart of one year gold price on their website, so it may give you some guidance as well.
  10. kotika


    Thank you all for the suggestions!

    Actually what seems to have happened is it got executed $10 below, then busted and adjusted without my intervention.
    The adjusted price was still perhaps a couple below "fair market", so the loss was not significant to me. I was a bit shocked at first, and just trying to find out what to do if things really go wrong.

    Particularly i was asking how come the posted bid-ask were not binding, as i think it had size attached.
    What i got at Refco from my rep and the trading desk was best characterized as "i didnt do it, call the other guy" type of reply.
    They seemed to deny the fact that there was ever a busted original fill. I suspect this is because they dont want to admit the mistake made by the floor broker.

    That the game is *generally* stacked up against the small guy is not surprising and not a news to me, what i still dont understand is why your own broker would not look out for your interest, esp in a non-electronic market.

    #10     Aug 23, 2005