Getting fills

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kerel

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I started trading the eMIni S&P using an automated strategy I devised. For starters, I only used one contract. In the last month I see that rarely get any fills, only around 10% of the time.

My questions are:
1. Is this normal?
2. Does it depend on the how long ago the order was placed, i.e. is it First-Come-First-Serve?
3. Isn't trading with only one contract supposed to get real easy fills in a liquid market such as eMiniS&P, as opposed to trading several contracts at once? Or will several contracts get a percentage of them filled before my one contract?

Thanks, kerel.
 
I am placing limit orders (long or short have the same outcome) and I see that if the market only touches my limit price I don't get the trade and only once the market goes above what I requested do I get my trade filled.
 
Could someone please explain to me what limit and market orders are? I was told I could swing trade FTSE 100 shares out of market hours by using limit orders, but I dont know what they are.

And also the process of going "short" :eek: I know the definition but cant seem to grasp how this would work in real time... thanks.
 
A market order will get you an immediate fill, but you will pay up the spread because if you are buying or selling "at the market" then you are hitting the nearest bid or offer in the market depth.

A limit order means you are joining the back of the queu and waiting for a fill at that price. In the emini S&P if you look at your market depth for the price you enter your order at, there will always be hundreds, if not thousands of contracts on offer at the price - before you enter your own order.

Globex (the CME's order matching system, on which the emini S&P trades) works on a fifo matching process - fifo means first in first out, its a queuing system basically, so when you enter your limit order you join the back of the queu and wait for the hundreds or thousands of orders in front of you to trade first before you will get your fill.

Its just the way it works, if you use a limit order you better count on price trading through your price in order to get a fill. if its important you get a fill, you need to use market orders and pay up the spread.

a couple of terms you should look up in the traderpedia are:
Order
Spread

If you are using a trading system that uses limit orders, perhaps you should also look up
"Commercial trading systems" in the traderpedia too, coz trading systems that use limit orders will very often give highly deceptive results in backtesting simply because limit orders will seldom get filled.
 
soosta said:
And also the process of going "short" :eek: I know the definition but cant seem to grasp how this would work in real time... thanks.
Click to expand...

its the opposite of going long or buying.

by shorting, you are selling something before you own the commodity. You can do this in futures because the contract is for "future" delivery. You would do this on the assumption that you can buy the commodity to supply it to the person you already sold it to at a lower price.

Same old principle of buy low, sell high - the difference between the two is your profit margin, except if you short you are selling high before you later buy low (hopefully).

Obviously, if you get this wrong, you need to buy higher than you sold and the subsequent difference between sell and buy is your loss.

Make sense?
 
Arbitrageur said:
... if you use a limit order you better count on price trading through your price in order to get a fill. if its important you get a fill, you need to use market orders and pay up the spread.
Click to expand...

I can't speak directly for your system and the implications this would have, but it might be worth using stop orders to get in. A stop will guarantee trade entry because it becomes a market order when the price is hit. You won't get fills as good as the limit order ones, but they shouldn't be too far off in a liquid market like the EM.
 
Surely if I wanted to go long at the price a share closed on after market hours it would immediately be filled at opening the next day as it would still be the same price?

Or am I right in saying (As someone said above) there will be hundreds/thousands of similar orders placed over night, and it is a case of first come first served? By this time the price may have fluctuated due to supply and demand? Would this mean I would automatically be bound to buy at a different, higher price?

Excuse my ignorance, I dont claim to know much about trading.. :|
 
You absolutely cannot assume that the market will open at the same price as the previous close. There are a lot of "overnight" variables. Keep in mind too that the EMs effectively trade 24 hours.
 
Very well explained Rhody Trader, because the close of the previous days action is no reliable benchmark for the following day's opening.

However, having said that, in a real bear market everything falls and continues to fall and in every bull market everything rises and continues to rise, in both scenarios, until they stop.
 
the emini's trade afterhours with an overnight session. most globex contracts trade near 24hrs.

Stocks dont, but that doesnt mean they dont change in value over night, hence why stocks gap open
 
Thanks alot Arbitrageur, that's good to know and I will look the terms up in traderpedia.
 
Can anyone tell me if there is a way of finding out the level of market orders to limit orders for a particular futures market.?
I know exchanges give out the number of contracts traded, but is there anyway of finding out what that's made up of?

Thanks
C
 
cd173 said:
Can anyone tell me if there is a way of finding out the level of market orders to limit orders for a particular futures market.?
I know exchanges give out the number of contracts traded, but is there anyway of finding out what that's made up of?

Thanks
C
Click to expand...
Now that's interesting, because no one, to my knowlege has ever asked this question on these boards. Never thought of it, but it could be relevant to price progression and regression when you think of it.
 
cd173 said:
Can anyone tell me if there is a way of finding out the level of market orders to limit orders for a particular futures market.?
I know exchanges give out the number of contracts traded, but is there anyway of finding out what that's made up of?
Click to expand...

Easy - the standard volume bar at the bottom of your chart shows the total of marketable orders that traded.

Volume shows market orders. Obviously, for someone to place a marketable order, say a buy market for example, someone else has to take the other side of that order and go short... enter the guy who placed a limit order. He's waiting for his fill at the price he's prepared to go short at... the market order hits the offer - his offer, and the limit is filled short, the market order is filled long. Both sides are happy.

So for every market order placed, there's a limit order that its filled against. Market orders dont meet in the middle. You either pay up the spread with a market order, meaning, you hit whoever is offering/waiting to trade on the other side of the spread, or you wait with a limit order for someone to hit you with a market order.
 
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