I trade CL and stock index futures and I frequently get filled at high/low ticks of a price turn. However, I place my orders at levels where there's likely to be a pool of liquidity (such as a lot of stop orders getting triggered). The only time I fail to get limit orders filled at high/low ticks of a turn is when very few contracts trade at that price or if I hem and haw and don't place my order until price is very close to the level I want in at.
I'm surprised no one mentioned the broker/platform being used, as the possible source of the problem. In particular, server-side vs. client-side orders. Each broker has it's own requirements for working with orders from the various platforms available for the brokers clients. Server-side orders are not a given. What does that mean? It means, if the combination of broker and platform does not support server-side orders, your order is held on your local trading rig!! a.k.a client-side. Placing an an order "yesterday" (or anytime) means nothing if your order lives client-side, waiting for an appropriate moment (determined by broker/platform combo) to the brokers server, for further forwarding to the exchange. Server-side orders are not a given. You must check with your broker to see if your broker/platform combo allows/accepts server-side orders, and the exceptions and limitations of the feature for the particular platform.
I bet a steak dinner that the broker is IB. OP can place orders far away from market and make sure they show up in the book. Cancel and replace multiple times, enter an odd number of lots in order to verify it is indeed your order. Then fucking leave IB and get to a reputable FCM.
I did this. It shows up in the book. Verified with DOM running with a different broker. This is for Futures. I don't know what happens in stocks. My stock trades are very infrequent for me to really bother looking into it. But for futures, it works exactly as it is supposed to. See how Sierra Chart handles CME Stop orders, for example How IB handles futures orders GLOBEX Reference Guide. See page 11. There are NO stop orders. If you place a stop order, it will be held by your broker, or it will be converted to a Stop Limit as IB does. Please. There is no shenanigan going on here with Futures orders. It is all working exactly as advertised. If it seems it is not, call your broker. Hell, call CME. They will answer questions. They do not bite over the phone. Let's stop the FUD please
You're only partially correct. I also use OEC and AMP. They all have the same problem. Additionally, it doesn't matter whether it shows up on the DOM. I'm sure it does. The real concern is where I am in the queue by the time it reaches my price. If I am first in line when the order was placed, then I should be the first to get filled. This is clearly not the case.
Weird. Glad I don't have your problem. Try switching front ends. New TT has true server side regardless of broker. Got nothin else. Best of luck?
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