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Which futures market fills limits fastest?


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nourozi
New Zealand
 
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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.

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 kevinkdog   is a Vendor
 
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nourozi View Post
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 can't comment on 6A or 6B, but my experience is that I get filled on limit touches a lot more with 6E than ES. But, I have never made a direct side by side comparison at 5 ticks. So, some of the difference I've seen might be due to the strategy I was using.

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Last Updated on July 8, 2013


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