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A great summary, Earl, and thank you for
that.
I use both Best Direct and Interactive
Brokers. Best uses the Fix API, and I think I read in an earlier post from John
that this means that stops are held on their servers. I wasn't aware of that and
will need to check. I have always known that IB's stops were held on their
computers and this has concerned me, not because of bad fills as they are very
rare, but because occasionally IB loses its connection to Globex, and at that
moment you're sitting out there naked.
Which brings me to my question to the
experts on this list. For protective stops (entry stops may be a different
matter) doesn't it make sense to always use Stop/Limit orders with, say, a 20
handle limit and thereby ensure that your stop is sitting at the CME and WILL be
executed, barring a shutdown in Globex itself? Or am I missing
something?
Andrew
<BLOCKQUOTE
style="BORDER-LEFT: #000000 2px solid; MARGIN-LEFT: 5px; MARGIN-RIGHT: 0px; PADDING-LEFT: 5px; PADDING-RIGHT: 0px">
----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
Earl Adamy
To: <A
href="mailto:realtraders@xxxxxxxxxxx";
title=realtraders@xxxxxxxxxxx>realtraders@xxxxxxxxxxx
Sent: Saturday, January 06, 2001 8:31
AM
Subject: [RT] Re: Electronic Stop Order
Handling (Futures)
John, I for one certainly appreciate your time and patience
in explainingwith as much detail as possible, how stops are handled. If I
might, I'mgoing to take a crack at summarizing what you've said from the
POV of theretail trader with respect to stops on electronic (e.g. Globex2
and A/C/E)futures trading systems:a) most, if not all, orders (of
all types) arrive on the exchange computersvia TOPS or FIX
routingb) stop orders, depending on order handling system deployed by
the broker,are held in one of 3 places: a broker "folder" on the exchange
servers, thebroker's own servers, or the remote client computer. In no
event, are stoporders part of the system "book".c) as prices are
received from a real-time price feed, the stop orders arechecked, and if
triggered, released to the order execution system where theybecome part of
the system "book" on a first in, first out basis (sameprice).d)
the time delay required to move stop orders from the stop folder to
thesystem book is a function of: transmission time/delay of the real-time
feed,unknown priorities in processing broker stop folders on the
exchangecomputers, processing capabilities of broker and/or remote client
computers,and the transmission time required to move the triggered stop
order to thesystem "book".e) high quality, high speed direct
communications connections probably addlittle to the total time while
poorer quality connections e.g. dialupinternet might in fact incur
significant transmission delay. Thus, stopsheld on a broker server might
incur near negligible delay compared to stopsheld in broker folder on
exchange server, however stops held on a clientdialup internet connection
might incur considerable delay.f) stop with limit orders are handled
differently than stop orders in thatthey are held as part of the system
"book".g) Globex2 can handle 35 transactions per second (1 order every
30milliseconds), which might itself impose limitations in execution under
fastmarket conditions.Forgive me (and please correct), if I have
missed something important here.EarlTo
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