Experts on CME Order Matching

[Predictor 11]

I've always been under impression that for CME markets like ES the orders are always processed in FIFO. However, I've seen cases where I can't get my fills even though it seems like I should. I've heard of pro-rata matching for market makers.

 

Can designated market makers/liquidity providers put orders in front of queue? I know its probably just me. I haven't heard of any ability to do this but just wanting to make sure.

 

I've seen what appears to be new aggressive HFT trading in ES that is making it more difficult for me to get fills. I suspect the algorithm they are using, already.

 

Here are all CME order matching algorithms. This is FIFO.

http://www.cmegroup.com/confluence/display/EPICSANDBOX/Match+Algorithm+-+FIFO

Edited February 25, 2013 by Predictor

[TheDude 10]

Only STIRS (Eurodollar) on CME are pro-rata.

 

I *think* NYMEX has market maker priority, but Im not 100%. I dont think there are designated market makers in ES.

 

Youve either got a crappy platform like Pats or Ninja, or a crappy broker. Maybe both.

 

TT has an EPIQ feature so you can see your position in a FIFO queue, and also another feature that allows you to see how many orders are in front of you.

 

Take a free trial of TT or use their sim and see if you get the same experience. All good brokers offer TT, and the sim is fairly accurate as its based on live data.

[Predictor 11]

Dude,

Thanks for info my program also has simulated order queue position. But, I don't use it in that way. No, I think it was just bad luck earlier today. There were less then 200 cars left on a level and I wasn't able to get filled. Its probably an effect of tending to take my orders off at near pivot high and lows. I usually try not to do that actually so that I can ensure fills.

 

There appears to be an HFT algorithm that will slam the offer/bid at certain times, i.e by shooting in market orders. I understand how it works but not quite willing to share it. One algorithm will shoot in orders in front of order book imbalances which shows up in my program quite nicely. I believe there is another algorithm working too which I'e identified which is causing my problems.

 

Curtis

Home - OrderFlowDashPro

 

Only STIRS (Eurodollar) on CME are pro-rata.

 

I *think* NYMEX has market maker priority, but Im not 100%. I dont think there are designated market makers in ES.

 

Youve either got a crappy platform like Pats or Ninja, or a crappy broker. Maybe both.

 

TT has an EPIQ feature so you can see your position in a FIFO queue, and also another feature that allows you to see how many orders are in front of you.

 

Take a free trial of TT or use their sim and see if you get the same experience. All good brokers offer TT, and the sim is fairly accurate as its based on live data.