Please visit our E Mini futures day trading course web site at: http://www.easy-emini.com/The CME Group has assembled an excellent guide for futures order placement that I believe will be or help, especially if you are new to E Mini and other futures markets. While this is not inclusive of all types of orders, it is a good start for the basics.
2.1 Futures and Options Order Types
The following order types are supported by CME Globex for both futures and options:
• Limit Orders
• Market-limit Orders
• Market Orders with Protection
2.1.1 Limit Orders
Limit orders allow the buyer to define the maximum purchase price for buying an instrument and the seller
to define the minimum sale price for selling an instrument.
Any portion of the order that can be matched is immediately executed. Limit orders submitted for buying an
instrument are executed at or below the limit price. Limit orders submitted for selling an instrument are executed
at or above the limit price. A limit order remains on the book until the order is either executed, cancelled,
or expires.
2.1.2 Market-limit Orders
Market-limit orders are executed at the best price available in the market. If the market-limit order can only
be partially filled, the order becomes a limit order and the remaining quantity remains on the order book at
the specified limit price.
Example: Market-limit Order (Bid)
1. The client sends a New Order to CME Globex.
- Bid, ESZ8, Market-Limit.
2. CME Globex responds with an Execution Report - Order Confirmation.
3. The market-limit order becomes a limit order at the best available market price (90025).
Order Types Futures Options
Limit X X
Market Orders with Protection X X
Market-limit X X
Stop-limit X
Stop Orders with Protection X
Hidden Quantity X X
Minimum Quantity X X
Orders
Electronic Trading Concepts Version 1.8 Page 7
4. CME Globex sends an Execution Report - Partial Fill.
- 2-Lot @ 90025
5. The remaining quantity rests on the book at 90025.
2.1.3 Market Orders with Protection
Market orders with protection are intended to avoid cascading market orders being filled at extreme prices.
Market orders with protection are filled within a pre-defined range of prices referred to as the protected
range. For bid orders, protection points are added to the current best offer price to calculate the protection
price limit. For offer orders, protection points are subtracted from the current best bid price.
CME Globex matches the order at the best available price level without exceeding the protection price
limit. If the entire order cannot be filled within the protected range immediately, the unfilled quantity
remains in the order book as a limit order at the limit of the protected range. Refer to www.cme.com/files/
PriceBanding.pdf for a list of the "no bust" ranges for products.
2.1.3.1 Example: Market Order with Protection Bid
The following example illustrates how the client interacts with CME Globex to process a market order with
protection bid.
1. The client sends a Market Order to CME Globex.
- Bid, ESZ8, Market Order.
- Best Offer = 90025 and Protection Points = 600.
- Protection Price Limit = 90025 + 600 = 90625.
2. CME Globex sends an Execution Report - Partial Fill.
2-Lot @ 90025
3. CME Globex sends an Execution Report - Partial Fill.
3-Lot @ 90300
4. CME Globex sends an Execution Report - Partial Fill.
3-Lot @ 90550
5. Next Best Offer = 90675. This value exceeds the protection price limit. CME Globex places the remaining
quantity on the order book at a protection price limit of 90625.
2.1.3.2 Example: Market Order with Protection Offer
The following example illustrates how the client interacts with CME Globex to process a market order with
protection offer.
1. The client sends a Market Order to CME Globex.
- Offer, ESZ8, Market Order.
- Best Bid = 90000 and Protection Points = 600
- Protection Price Limit = 90000 - 600 = 89400
2. CME Globex sends an Execution Report - Partial Fill.
Orders
Electronic Trading Concepts Version 1.8 Page 8
2-Lot @ 90000
3. CME sends an Execution Report - Partial Fill.
3-Lot @ 89900
4. CME Globex sends an Execution Report - Partial Fill.
3-Lot @ 89650
5. Next Best Bid = 89300. This value is below the protection price limit. CME Globex places the remaining
quantity on the order book at a protection price limit of 89400.
2.2 Futures Order Types
The following order types are supported by CME Globex for futures only:
• Stop-limit Orders
• Stop Orders with Protection
2.2.1 Stop-limit Orders
Stop-limit orders are activated when an order's trigger price is traded in the market. For a bid order, the
trigger price must be higher than the last traded price. For a sell order, the trigger price must be lower than
the last traded price. After the trigger price is traded in the market, the order enters the order book as a
limit order at the order limit price. The limit price is the highest/lowest price at which the stop order can be
filled. The order can be filled at all price levels between the trigger price and the limit price. If any quantity
remains unfilled, it remains on the order book as a limit order at the limit price.
2.2.2 Stop Orders with Protection
Stop orders with protection are intended to avoid cascading stop orders being filled at extreme prices. A
stop order with protection is activated when the market trades at the stop trigger price and can only be executed
within the protection range limits. The order enters the order book as a limit order with the protection
price limit equal to the trigger price plus or minus the pre-defined protection point range.
Protection point ranges are equal to 50% of the product's "no bust” range. Refer to www.cme.com/files/PriceBanding.
pdf for a list of the "no bust" ranges for products. For bid orders, protection points are added to
the trigger price to calculate the protection price limit. For offer orders, protection points are subtracted
from the trigger price.
CME Globex matches the order at all price levels between the trigger price and the protection price limit. If
the order is not completely filled, the remaining quantity is placed in the order book at the protection price
limit. Refer to “Stop Spike Logic” on Page 11 for more information.
2.2.2.1 Example: Stop Order with Protection Bid
The following example illustrates how the client interacts with CME Globex to process a stop order with
protection bid.
1. The client sends a Market Order to CME Globex.
• Bid, ESZ8, Stop Order, 90000 Trigger Price
2. A trade occurs at the trigger price of 90000. The order is activated and CME Globex responds with an
Execution Report - Order Confirmation (Notification that order was triggered).
Orders
Electronic Trading Concepts Version 1.8 Page 9
• Trigger Price = 90000, Protection Points = 600
• Protection Price Limit = 90000 + 600 = 90600
3. CME Globex sends an Execution Report - Partial Fill.
2-Lot @ 90025
4. CME Globex sends an Execution Report - Partial Fill.
3-Lot @ 90300
5. CME Globex sends an Execution Report - Partial Fill.
3-Lot @ 90550
6. Next Best Offer = 90675. This value exceeds the protection price limit. CME Globex places the remaining
quantity on the order book at a protection price limit of 90600.
2.2.2.2 Example: Stop Order with Protection Offer
The following example illustrates how the client interacts with CME Globex to process a stop order with
protection offer.
1. The client sends a New Order to CME Globex.
• Offer, ESZ8, Stop Order (with protection), 90025 Trigger Price
2. CME Globex responds with an Execution Report - Order Confirmation.
3. A trade occurs at the trigger price of 90025. The client's order is activated and CME Globex responds
with an Execution Report - Order Confirmation (Notification that order was triggered).
• Trigger Price = 90025, Protection Points = 600
• Protection Price Limit = 90025 - 600 = 89425
4. CME Globex sends an Execution Report - Partial Fill.
2-Lot @ 90000
5. CME Globex sends an Execution Report - Partial Fill.
3-Lot @ 89900
6. CME Globex sends an Execution Report - Partial Fill.
3-Lot @ 89650
7. Next Best Bid = 89300. This value is below the protection price limit. CME Globex places the remaining
quantity on the order book at a protection price
Please visit our E Mini futures day trading course web site at: http://www.easy-emini.com/
Futures trading involves substantial risk and is not suitable for all investors
No comments:
Post a Comment