Re: Bad ticks caused by Wrong Orders

["DC" <dc010225@xxxxxxxxxxxxx>]

I have sent inquiry about "Buy Limit orders at prices higher than market"
for ES market (not pit but electronic) directly to the Technology Group of CME.

If they respond I will share info with you. I might take up to three(3) days.

DC

----- Original Message -----
From: "DC" <dc010225@xxxxxxxxxxxxx>
To: "Jeff Meek" <jeff@xxxxxxxxxx>; <omega-list@xxxxxxxxxx>
Cc: "DC" <dc010225@xxxxxxxxxxxxx>
Sent: Monday, June 03, 2002 10:10 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.