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John thanks for jumping in on the mis information campaign, although it
seems to have a life of its own now. As virtually everyone is or soon will
be using the FIX API all orders will be equal.
>
> > A couple of notes:
> >
> > 1) There are two places that stops can be held by the CME. One is in
> > Globex2. These are stop limits. The second is in something called the
> Order
> > Manager Server. This is where stops and market orders are sent by some
> > firms. There is a throttle on the stops and market orders whereby they
> are
> > converted into big "or better" limit orders, as determined by the
specific
> > member firm. My clearing firm, ED&F Man International, Inc., uses a 16
> tick
> > limit order for stops and market orders for emini S&Ps and emini
Nasdaqs.
> It
> > is my understanding though that the OM server only holds orders for
TOPS.
> > Orders entered from the FIX API do pass through the OM Server for
> databasing
> > (to be manipulated by a product called FirmSoft) but are passed directly
> to
> > Globex2. Firms may hold the stops themselves ( I can think of a couple
> that
> > do ) or they may preprocess the orders themselves and convert these into
a
> > stop limit to be sent directly to Globex2 and handled there.
> >
> > 2) Of the firms that hold stops remotely to be sent into Globex2 once
the
> > price has traded, these stops have just as much chance of being quicking
> > accepted into the queue of orders as the Order Manager Server, depending
> on
> > the pipe used to connect them and the distance the orders must travel.
> Still,
> > we are talking about miliseconds in most cases.
> >
> > 3) Yesterday was huge. Here is the press release from the CME:
> >
> > GLOBEX(R)2, Equity Index Products, E-mini Nasdaq 100 Set Single Day
> >
> > Volume Records as CME Moves Record $6.4 Billion Through Banking System
> >
> > CHICAGO, Jan. 4 /PRNewswire/ -- Trading volume on Chicago Mercantile
> Exchange
> > Inc. (CME) soared to the second highest level in the exchange's 103-year
> > history Wednesday as the Federal Reserve Board unexpectedly trimmed key
> > short-term interest rates. Yesterday's single-day volume of 2,115,007
has
> > been surpassed only once before, on Feb. 4, 1994, when 2,191,819
contracts
> > were traded -- also the day of a Fed rate move.
> >
> > Electronic trading volume on CME's GLOBEX2 system yesterday set a
> single-day
> > record of 286,628 representing 13.6 percent of total volume. CME equity
> > index products also set a new daily record of 250,668. E-mini Nasdaq
100
> > futures volume reached a new high, with 115,139 contracts changing hands
> as
> > the index posted its greatest single-day upward price move. The
previous
> > record for GLOBEX2 was 263,277 on Nov. 30, 2000; for index products the
> > record had been 233,611 on Nov. 30, 2000; and for E-mini Nasdaq 100 the
> > earlier mark was 105,721, also on Nov. 30, 2000.
> >
> > In addition, CME's Clearing House successfully moved more money than
ever
> > before through the banking system during the course of its regular daily
> > mark-to-market settlement procedures-$6.4 billion. The greatest sum
> > previously transferred for a single trading day was $5.2 billion on
April
> 14,
> > 2000.
> >
> > The Fed's move also triggered the second highest level of trading volume
> for
> > CME's interest rate products, including its flagship Eurodollar futures
> > contract; yesterday's 1,551,454 interest rate product total included
> > 1,285,677 Eurodollar futures. The record was also set on Feb. 4, 1994,
> when
> > 1,680,276 interest rate products changed hands, including a record
> 1,335,000
> > Eurodollars.
> >
> > The burgeoning trading volume comes as the exchange completed the
busiest
> > year in its history, trading more than 231.1 million contracts with an
> > underlying value of $155 trillion in 2000.
> >
> > Regards,
> >
> > John J. Lothian
> >
> > Disclosure: Futures trading involves financial risk, lots of it! John
J.
> > Lothian is the President of the Electronic Trading Division of The Price
> > Futures Group, Inc., an Introducing Broker.
> >
> >
> > In a message dated 1/4/01 2:33:24 PM Central Standard Time,
> > catapult@xxxxxxxxxxxxxx writes:
> >
> > << Doesn't matter if I'm already there with my stop order. The floor
> > brokers are a day late and a dollar short if they are reacting to the
> > news. That's what I love about Globex. It doesn't play favorites. But
> > actually, my comment was directed more at the bit about the floor
broker
> > fumbling with his deck to dig out your order. Not relevant to the
> > current discussion. Sounds like fills were still pretty bad (although
> > it's not too surprising, I guess) if Rich's order was in the Globex
> > system and he took a 15.5 point hit. I was just trying to get a sense
of
> > how well people got filled as I didn't have an order working then and
> > it's good to know these things.
> >
> > Rich, here is what I'm showing for ticks between when your stop was
> > elected and your fill price was touched. This is crummy BMI data so, no
> > doubt, it's missing a number of ticks. There were a LOT of trades in
> > there so, if I were you, I'd be pressing my broker to make sure they
> > aren't queuing your stop orders. It sure looks that way to me.
> >
> > > I checked with my broker and he tells me
> > > that they use the FIX API and the way stops work for globex is they
are
> > > sitting in a globex order management computer and when the stop is
hit
> > > it is sent in as a limit with 20 points above or below your price.
> >
> > That doesn't tell me if it's sitting in a CME computer or a Best
> > computer. BIG difference. If you want to be first in a price shock,
your
> > order needs to already be at the CME. >>
> >
> > To unsubscribe from this group, send an email to:
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> >
> >
> >
> >
>
>
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>
>
>
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