Which Futures Market Fills Limits Fastest?

[nourozi 10]

Hi guys, does anyone have an idea of which futures market out of 6e, 6a, 6b or es would fill limit orders the fastest?

 

For example if my buy limit order was 5 ticks below the market. Then the market came down, touched my limit and reversed. Which of the futures markets would most likely fill the order? Also be good to know your reasoning.

 

I assume it would not be the ES due to the saturation of HFTs which use limit orders.

 

Thanks.

[tradingwizzard 10]

Hi guys, does anyone have an idea of which futures market out of 6e, 6a, 6b or es would fill limit orders the fastest?

 

For example if my buy limit order was 5 ticks below the market. Then the market came down, touched my limit and reversed. Which of the futures markets would most likely fill the order? Also be good to know your reasoning.

 

I assume it would not be the ES due to the saturation of HFTs which use limit orders.

 

Thanks.

 

I would be interested to know that too.......

[BlueHorseshoe 10]

Hi guys, does anyone have an idea of which futures market out of 6e, 6a, 6b or es would fill limit orders the fastest?

 

For example if my buy limit order was 5 ticks below the market. Then the market came down, touched my limit and reversed. Which of the futures markets would most likely fill the order? Also be good to know your reasoning.

 

I assume it would not be the ES due to the saturation of HFTs which use limit orders.

 

Thanks.

 

Hi Nourozi,

 

Although it's simple to formulate, I am afraid that your question is one of the most difficult that you could ask, as it concerns market microstructure. The first thing that you need to know is whether all these contracts trade with FIFO order books . . .

 

If you can be bothered to pursue this topic, take a look at my posts in the thread HERE, in which I began to build a model for estimating position in queue (I failed!).

 

Regards,

 

BlueHorseshoe

 

*** HFTs sitting at limit is not quite the issue with the ES - how the depth of book is balanced by orders that cross the spread for each of these markets is the question. You basically want a ratio of DEPTH-at-BID/ASK:EXECUTED-VOLUME as your basis of comparisson, I think . . .

Edited July 9, 2013 by BlueHorseshoe

[tradingwizzard 10]

Hi Nourozi,

 

Although it's simple to formulate, I am afraid that your question is one of the most difficult that you could ask, as it concerns market microstructure. The first thing that you need to know is whether all these contracts trade with FIFO order books . . .

 

If you can be bothered to pursue this topic, take a look at my posts in the thread HERE, in which I began to build a model for estimating position in queue (I failed!).

 

Regards,

 

BlueHorseshoe

 

*** HFTs sitting at limit is not quite the issue with the ES - how the depth of book is balanced by orders that cross the spread for each of these markets is the question. You basically want a ratio of DEPTH-at-BID/ASK:EXECUTED-VOLUME as your basis of comparisson, I think . . .

 

you failed meaning you are stuck or giving up?

[BlueHorseshoe 10]

you failed meaning you are stuck or giving up?

 

Hi Tradingwizzard,

 

I abandoned the attempt after hitting a brick wall in terms of the data that I could get from TS / limits to my programming ability. I also became doubtful that I could successfully apply the model to make money, even if I were to suceed in building it.

 

There's a lot of divergent discussion on that thread, but I only ever made a dozen or so posts - if you're interested then reading through those would make clear the process I went through and explain why I thought it worthwhile.

 

Probably this is something I will return to at some future time . . .

 

Regards,

 

BlueHorseshoe

[tradingwizzard 10]

Hi Tradingwizzard,

 

I abandoned the attempt after hitting a brick wall in terms of the data that I could get from TS / limits to my programming ability. I also became doubtful that I could successfully apply the model to make money, even if I were to suceed in building it.

 

There's a lot of divergent discussion on that thread, but I only ever made a dozen or so posts - if you're interested then reading through those would make clear the process I went through and explain why I thought it worthwhile.

 

Probably this is something I will return to at some future time . . .

 

Regards,

 

BlueHorseshoe

 

thanks for the answer

[mehandi12 10]

I would be interested to know that too.......

[handle 10]

The only platform that I know of that tells you where you are in line for a limit order is X-Trader. It is expensive but would likely tell you how many orders are pulled vs. real as price hits your entry...

 

The market that has the most fake orders is likely to fill you.

 

Not sure if that helps, but...