Where to find Eurex order execution rules?

[maxima]

How Eurex executes orders on future markets (Bund for instance)?

Is there ECNs and MMs?

Can MM put an order in the queue for say 10 and then at last second to edit it into 1000 holding the same position in the queue?

Is there priorities that can change the queue? I use IB. Will my order goes same way as anyone else's? Is there exceptions?

If I place stop-loss as a limit order on Bund... can there be a sleepage? Can spread move through limit order placed before the move and not to fill the order?

Thank you

 

[grantx]

Max,

There are no mm's - the markets are me, you, and anyone else. I doubt changing a quantity would be allowed - a new order would have to be submitted which would go to the back of the queue.

No priorities - first in, first out.

Grant.

 

[A Dashing Blade]

Can MM put an order in the queue for say 10 and then at last second to edit it into 1000 holding the same position in the queue?

Nope, at best, a new order for 990 will enter at the back of the queue

Is there priorities that can change the queue? I use IB. Will my order goes same way as anyone else's? Is there exceptions?

No, yes, no

If I place stop-loss as a limit order on Bund... can there be a sleepage? Can spread move through limit order placed before the move and not to fill the order?

Yes, absolutely. A stop-loss order effectively means "sell/buy at market if my limit price is touched"
Typical slippage on the bund is only going to be a tick or two BUT, recently there was an incident that meant you could have been 1 whole point off-side (there's a thread on these forums about it)

 

[maxima]

changing a quantity would be allowed - a new order would have to be submitted which would go to the back of the queue.

If you place an iceberg (tranch) - you submit as much as you want and in the back of the queue will go only the rest - that part which you didnt display in order book.

Also you can change the quantity. And yes - it will go back to the queue but it will be the same order.

I was looking for a document like this: http://www.euronext.com/fic/000/011/015/110157.pdf

where an exchange actually describes how they execute orders.

But I still would like to see a document from Eurex. And also I would really like to see ECN Ids in Eurex order book.

Here: Dealing With Technology they note ECN members (like Citibank, Hsbc, Merrill Lynch etc). So they do exist.

So I am having guess that there are different levels of access. And probably ECN members can see detailed book and other (like you said - me and you) will see a wee of gypsy gold.

:whistling

 

[maxima]

Typical slippage on the bund is only going to be a tick or two BUT, recently there was an incident that meant you could have been 1 whole point off-side (there's a thread on these forums about it)

Sorry didnt get it from first read. 1 whole point - i.e. it jumped from 114 to 115? Wow.. Looks like pro decided to shake off all small noisy people who disturb the market with their 1-2 contract trades

But my question actually was completely stupid. I apologize. Stop-loss as a limit order is complete nonsence as it will be executed at same time as the entry order and you get at least 1pt penalty automatically... It was me being stupid.. Sorry.

 

[maxima]

So I am having guess that there are different levels of access. And probably ECN members can see detailed book and other (like you said - me and you) will see a wee of gypsy gold.

I am answering here to myself. See : http://www.trade2win.com/boards/tra...-see-detailed-order-book-bund.html#post431927

I just realised that there are pro and non-pro subscription to Eurex data. So most likely these are levels of access I was guessing about.

If I'd trade for an arcade I'd be receive 10 levels of price (still not sure of ECN IDs)....

 

[grantx]

Max,

There is only one ECN and that is Eurex. There are no mm's but big names - Citi, Deutsche Bank, Dashing Blade, etc do trade but they have no advantage or preference over us mere mortals when trading.

There is loads of free documentation on Eurex regarding how they trade. I think it's in the Rulebook or similar.

Grant.

 

[maxima]

Max,

There is only one ECN and that is Eurex. There are no mm's but big names - Citi, Deutsche Bank, Dashing Blade, etc do trade but they have no advantage or preference over us mere mortals when trading.

There is loads of free documentation on Eurex regarding how they trade. I think it's in the Rulebook or similar.

Grant.

Thanks Grant!

Will proceed tomorrow.

Can I ask - Are you signed as a pro? Do you have access to 10 levels of price or 5?

 

[grantx]

Max,

Anyone can get 10 levels if there are 10 levels (all Eurex have 10 levels but you could get 20 levels for an enormous sum per month). Chicago (Merc or BOT) dropped their levels to five on some fixed interest.

Grant.

 

[maxima]

Max,

Anyone can get 10 levels if there are 10 levels (all Eurex have 10 levels but you could get 20 levels for an enormous sum per month). Chicago (Merc or BOT) dropped their levels to five on some fixed interest.

Grant.

Anyone but me. IB provides 5 (each side - are talking each side right?) and they say that this is what Eurex feed for non-pro is and they dont manipulate data (which I belive - why would they?)...

Seems I am the stupidiest person here

May be I should have filled as a pro?

 

[arabianights]

You cannot see who you are trading with (you might have a good idea though)... There is no legal way around this that can be mentioned on a public forum.

I would guess the difference between a pro is that they would have to be registered as a tradeR with Eurex... Dunno how useful that is really presumably you'll be able to cross trade and claim rebates but you'd also be subject to exchange discipline.

 

[maxima]

You cannot see who you are trading with (you might have a good idea though)... There is no legal way around this that can be mentioned on a public forum.

I would guess the difference between a pro is that they would have to be registered as a tradeR with Eurex... Dunno how useful that is really presumably you'll be able to cross trade and claim rebates but you'd also be subject to exchange discipline.

OK no IDs. I understood.

But why everyone has 10 levels of price and I have only 5 through IB (and they claim that what Eurex supplies to them)... ?!?

Is there anyway I can trade Eurex futures from home with decent commission, fast server and 10 levels of price??

Cheers

P.S. Of course if it is not a secret

 

[grantx]

Max,

I am a 'Non-pro' user, and IB are talking bolllocks. Switch vendors.

See attachment.

Grant.

 

[maxima]

Max,

I am a 'Non-pro' user, and IB are talking bolllocks. Switch vendors.

See attachment.

Grant.

Well. IB - it what everyone was hailing . Can you please give me a hint on who these guys are?

 

[grantx]

Max,

Low comm's, decent connection, trade from home - Yes, put up £20k trading capital minimum (the more you put up, the greater choice you have). See this link and contact everyone. Emphasis is on scalping/releatively large volume per day.

Trading Arcade Index - Traderpedia

Forget identities - it's irrelevant to anything.

Grant.

 

[maxima]

Max,

Low comm's, decent connection, trade from home - Yes, put up £20k trading capital minimum (the more you put up, the greater choice you have). See this link and contact everyone. Emphasis is on scalping/releatively large volume per day.

Trading Arcade Index - Traderpedia

Forget identities - it's irrelevant to anything.

Grant.

Thank you. Will do a list and call everyone. Hope they wont run away / bancrupt before I finish the list

What woudl you say - will 50-70 contracts a day excite any of them (for first few months)?

 

[grantx]

Max,

The mm's you refer to are mm's in Eurex's cash bond trading facility. That's all I know on this subject.

Grant.

 

[maxima]

Max,

The mm's you refer to are mm's in Eurex's cash bond trading facility. That's all I know on this subject.

Grant.

Grant dont worry abt MMs and IDs. It seems that the solution I though is going to buy me few months of free trading to learn (having IB + Ninja) - is not a real solution..

I need to concentrate on finding a proper broker now (seems I wont excite any arcade trading an hour a day unless they already have bought a flight to Bahamas and are packing suit-cases)

Thanks for your help!