My orders do not get filled, need help!

[leovirgo]

I have started direct access futures trading with TradeStation. I trade YM futures. But my orders do not get filled.

When I use limit orders, it takes ages to fill. Sometimes it is filled in about 10 seconds. Mostly, it is easy to take a trade but my exit orders do not get filled. Thus, I am stuck in a position when the market moves against me in a volatile situation.I find it difficult to scalp.

Anybody can help me? I use matrix to enter orders. The market (price) passes through my order price but did not trigger it.

When I used 'market order', the executed price was 15points against me!

I thought direct access trading is easier than CFD or SB for scalping.

Which platforms/brokers are better? Is there any better execution method?

Thanks........

 

[rossored]

I no longer trade YM, but I used to via IB.

If it took longer than 1-2 seconds to get filled, I'd normally pull it. YM is pretty liquid so you shouldn't be experiencing those sort of delays, although limits might affect the fill. I've always used MO's, and with IB as I said, the fill was almost always instant, certainly in market hours.

 

[Directional]

its just the way it works with limit orders - you join the back of the queu so you have to wait for all the market depth in front of your order to trade before you will get your fill. Basically, if you want a fast fill, use a market order, or a marketable limit order and pay up the spread.

there are several thread about fills on limits.
http://www.trade2win.com/boards/showthread.php?t=16004
http://www.trade2win.com/boards/showthread.php?t=16493

 

[Directional]

Anybody can help me? I use matrix to enter orders. The market (price) passes through my order price but did not trigger it.

When I used 'market order', the executed price was 15points against me!

I thought direct access trading is easier than CFD or SB for scalping.

Are you sure you have the same contract symbol loaded up into your matrix ladder as in your charts?

if you're looking at the front month @YM in your chart, but looking at the expired June contract, or a Dec contract this might explain these discrepancies.

if price trades THROUGH your limit on market depth, you'll be filled. Not if it merely trades AT your price.
You should never have 15 ticks slippage in YM though with a market order, unless you are trading in the middle of the inight or some other illuid hour. you should be able to see the nearest bids and offers in the matrix ladder though, so you should know what price you'll get filled at with a market order.

 

[leovirgo]

I no longer trade YM, but I used to via IB.

If it took longer than 1-2 seconds to get filled, I'd normally pull it. YM is pretty liquid so you shouldn't be experiencing those sort of delays, although limits might affect the fill. I've always used MO's, and with IB as I said, the fill was almost always instant, certainly in market hours.

Hi Rossored, thank you for your reply. It shouldn't be. I will keep you posted about my experience.

 

[leovirgo]

Are you sure you have the same contract symbol loaded up into your matrix ladder as in your charts?

if you're looking at the front month @YM in your chart, but looking at the expired June contract, or a Dec contract this might explain these discrepancies.

if price trades THROUGH your limit on market depth, you'll be filled. Not if it merely trades AT your price.
You should never have 15 ticks slippage in YM though with a market order, unless you are trading in the middle of the inight or some other illuid hour. you should be able to see the nearest bids and offers in the matrix ladder though, so you should know what price you'll get filled at with a market order.

Hi Arbitrageur, thank you for your reply.

Yes, two symbols matched, YMM06 in both of them (2 weeks ago). I can understand about my limit orders not get filled but 15 points slippage is thats bothering me. I was trading at market hours, in fact during busy times, not lunch time. At that time, the cash market moved very quickly up and down, the YMM06 were falling behind for about 10 mins in terms of the chart pattern. I was trying to exploit it. I managed to scoop a few times, But I ended up in the unwanted position with the loss much greater than earlier scalps. I gave my stop order very late. So the sooner I enter orders the better it is?

One thing- I didn't subscribe to market depth but somehow the market matrix ladder for June contract was available for me. Initially I couldn't see intra day 5min chart but after about a month, I could load them. Is it because of that technical gap that some of my orders dont get filled?

 

[Directional]

look in your matrix ladder at the top near the symbol - does it say YMM06(D) <- with a (D) next to it?

if you dont subscribe to the data, you'll be seeing delayed data - this might explain why your fill was so far off the market, as the prices you see in your depth will not match the current market.

if its not delayed, then I note you said you were looking at the cash market? remember that the cash and futures will trade at different prices, because the futures price is a different market with different variables (like cost of carry, fair value etc)

But if you're sending a market order, always look at the matrix ladder for the nearest bid/ask - you should ALWAYS know what price your fill will be if your hitting the market - excepting in very fast markets.

 

[TWI]

Post this to TS forum and see what they have to say.
I have had this problem when there have been network problems but it is rare.

 

[billiondollars]

look in your matrix ladder at the top near the symbol - does it say YMM06(D) <- with a (D) next to it?

if you dont subscribe to the data, you'll be seeing delayed data - this might explain why your fill was so far off the market, as the prices you see in your depth will not match the current market.

if its not delayed, then I note you said you were looking at the cash market? remember that the cash and futures will trade at different prices, because the futures price is a different market with different variables (like cost of carry, fair value etc)

But if you're sending a market order, always look at the matrix ladder for the nearest bid/ask - you should ALWAYS know what price your fill will be if your hitting the market - excepting in very fast markets.

This must be the cause.

 

[leovirgo]

Thank you all

look in your matrix ladder at the top near the symbol - does it say YMM06(D) <- with a (D) next to it?

if you dont subscribe to the data, you'll be seeing delayed data - this might explain why your fill was so far off the market, as the prices you see in your depth will not match the current market.

if its not delayed, then I note you said you were looking at the cash market? remember that the cash and futures will trade at different prices, because the futures price is a different market with different variables (like cost of carry, fair value etc)

But if you're sending a market order, always look at the matrix ladder for the nearest bid/ask - you should ALWAYS know what price your fill will be if your hitting the market - excepting in very fast markets.

Hi Arbitrageur,

That is the situation. I did not know the meaning of (D) in the symbol. I thought I was given access because of the frequency of the trades. I will subscribe to the real time data, it only cost 50 bucks or 10 ticks. I have given 15 ticks for not using the right data. Will let you know if I can get it right.

Thanks to everybody who has shared market wisdom. It's invaluable.

 

[HankScorpio]

look in your matrix ladder at the top near the symbol - does it say YMM06(D) <- with a (D) next to it?

if you dont subscribe to the data, you'll be seeing delayed data - this might explain why your fill was so far off the market, as the prices you see in your depth will not match the current market.

if its not delayed, then I note you said you were looking at the cash market? remember that the cash and futures will trade at different prices, because the futures price is a different market with different variables (like cost of carry, fair value etc)

But if you're sending a market order, always look at the matrix ladder for the nearest bid/ask - you should ALWAYS know what price your fill will be if your hitting the market - excepting in very fast markets.

CBOT eMINI data (in this case mini DOW) is free with TS (and most others), including market depth - so it is not a case of not subscribing to the data (check your TS subscription, it will be ticked and marked as free).

However, as with many data vendors, TS experiences delays. What is even more disconcerting is the fact that TS charts (and perhaps the Matrix) run on a lower priority thread, and during busy times when your CPU is loaded, do not update in near-real time.

Always have a T&S window open with TS to and make sure that the price on the Matrix/chart/whatever-you-use-to-trade matches what is streaming on the tape (T&S), as the T&S runs on a higher priority thread.

Of course, it may also be due to crap fills on the YM :?: