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buy limits several levels above best ask will get executed as market ie at best ask.
vv for sell limits. this standard algorithm guarantees that no errors
will be generated in case price is misspecified. it is used in many electronic markets.
used to be not the case some years ago.
if there is bad tick in TS and it generates a market order ( on next bars open ) or stop
order the fill that you will get will be based on real market, not on bad tick.
the trade off in TS autoexecution is that you either let the order be executed and signals
in synch or not executing the order and then manually synchronizing the trader with
the signal on the chart.
this is all because there is no way to prevent TS from generating arrows on bad ticks...
those guys are not on the level to figure simple thing like that...
frustrating... but it makes TS autoexecution feature on higher resolution time frames not
functional.
it all starts from the root of the problem, lack of reliable bad tick filter.
well, if they can't do it then someone else who's smarter will.
bilo.
----- Original Message -----
From: DC
To: Jeff Meek ; omega-list@xxxxxxxxxx
Cc: DC
Sent: Monday, June 03, 2002 11:10 AM
Subject: Re: Bad ticks caused by Wrong Orders
Jeff,
thanks for fedback.
I talked to my broker and he assured me that a buy limit order placed above the
market
on Globex will be executed right away. He himself placed several times such
wrong orders,
of course, by mistake.
Then I have asked him: At what price was it executed?
His answer was that usually it is at market price. However, he cannot
guarantee that price. It could be anywhere between market and wrong
-- much higher limit price.
I need to do more research to find out a penalty for thes types of wrong
orders caused by bugs in EL code or by human mistake.
DC
----- Original Message -----
From: "Jeff Meek" <jeff@xxxxxxxxxx>
To: "DC" <dc010225@xxxxxxxxxxxxx>; <omega-list@xxxxxxxxxx>
Cc: "DC" <dc010225@xxxxxxxxxxxxx>
Sent: Monday, June 03, 2002 8:37 AM
Subject: Re: Bad ticks
Unless I am mistaken, a buy limit order placed above the market on Globex
will be executed by Globex at the current market price. That is in fact how
Globex brokers simulate a market order on Globex, which has no native
support for market orders. The broker takes your market buy and puts it on
Globex as a limit buy order 10 points (for ES) above the market.
This is one reason why ES has so few "bad ticks". Human error of this kind
results in a market order, not a whacked out fill way off from the current
market.
Stocks are a different animal of course...
-Jeff
> BUY @ P3 Limit, where P3 = P1 + Delta points, i.e.
> instead - sign, a + sign is used in Buy formula.
>
> This bad order is placed above the market, and I am
> expecting that PATS will snatch it right away and
> execute it within 2 sec.
>
> Other market participants will see a spike in prices
> above current market equal to Delta. They will interpret
> it as a "bad" tick. Only I will know it was a bug in my
> EL code.
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