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ES vs CL order fullfillment


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  #1 (permalink)
 himmel 
San Francisco
 
Experience: Intermediate
Platform: SierraChart
Trading: CL , Emini
Posts: 10 since Feb 2011
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I'm typically a CL trader but I've been playing around with an ES practice/paper trading account. So far I've noticed some very different aspects with order fulfillment...on my CL live accounts I almost always get my order filled on both sides (entry and exit)...I would say 95 percent of the time...unless things are extremely volatile.


On the ES I noticed it acts in a more of a first-come-first-serve manner and I'm interested in hearing comparisons for the two...I could see that as an issue with exits...particularly if you were hindsight trading...even if a price point is touched it doesn't necessarily mean your order would have been filled.

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  #3 (permalink)
 RichardHK 
Hong Kong
 
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The difference is in the depth of market. CL may be filling you more easily because there are simply less orders at price in front of you before your fill. For the ES you may have dozens or hundreds of orders in front of you, so needs time, as well as exhaustion of all orders in front of you. Both markets should be filling on first come first served.

Richard
Hong Kong
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 kronie 
NYC + NY / USA
 
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RichardHK View Post
The difference is in the depth of market. CL may be filling you more easily because there are simply less orders at price in front of you before your fill. For the ES you may have dozens or hundreds of orders in front of you, so needs time, as well as exhaustion of all orders in front of you. Both markets should be filling on first come first served.

there are some order types that precede and jump ahead in the priority queue than others,
some of the lowest level priority are the limit or resting orders (there are so many types and combinations)

ES, with its plethora of retail participation, will naturally have a vast excess of orders at each handle (defined as depth) than the more restrictive CL contract, or GC, or SI or 6E. whether through higher common intra-day margin requirements or higher ATR and drawdown, those contracts listed above vary vastly from the ES, and its accessibility to the retail customer..

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Last Updated on July 9, 2013


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