Quick general question regarding futures brokers. What determines the quality of your fills? Will it be different from broker to broker trading the exact same market and size? I saw a comment where someone complained about fills with Tradovate, but I have no reason to read into it not knowing which products were traded, volume or at which time. I can only say that trading with Ninjatrader Brokerage and Dorman, I pretty much never had any slippage or issues getting filled trading anywhere between 1-5 contracts on ES.
Like you said, @Laissez Faire its hard to comment with out additional information on market, situation etc. All orders in futures go to the same exchanges, which is a huge advantage of futures in general IMO. Once there all orders are treated the same regardless from which broker they come from. Differences can occur based on servers connectivity, speed, if certain brokers risk gateway may slow down the order etc.
It's not the broker, but the data feed you are trading through. The broker is the facilitator, the data feed is the executioner.
That doesn't make sense. Care to elaborate? If I submit an order in advance, be that a limit order or a stop market order, I fail to see that the data feed should matter.
Mmm, I might be speaking out of turn on this, because I use CQG. They are my data-feed provider but also trade executioner. I suppose there are datafeed providers that do not execute trades on the exchange.
Futures orders are matched on the CME Globex electronic platform. I don't think the broker "executes" anything per se, beyond submitting your order on your behalf after you clicking a button on your trading platform. I fail to see how data-feed is a factor here other than giving you the correct (up-to-date) price quotes in order to make a trading decision. The question is if I should expect any differences from say executing from Interactive Brokers or Ninjatrader Brokerage. For this example, let's assume the same datafeed is used for both.
I would assume the answer is zero difference, because there is only one book and pretty much every broker through their datafeed has millisecond access to the book.
That would be my assumption, too, but I don't know exactly how brokers route their orders and if there would be differences based on that. I did see that comment from a Tradovate users complaining about fills, but without knowing anything else, I don't really know and can't trust that information. What I do know is that my fills generally are instant and excellent. So I know what I got.
The difference (generally) is the time it takes from you clicking submit to the order being working on GLOBEX. This is affected by which data feed you're executing from, what risk checks the FCM is running before the order is approved, and your physical distance to the data center that your data feed is housed in (and that data center's proximity to the exchange data center in Aurora).