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My broker is Stage5 via CQG. I don't have proof my orders are being placed behind the arbitrage grouping but when price comes down and starts hitting the limit orders it seems like I'm last to be hit.
For example, I put in an order and I'm in queue position 57
the blob moves down and the queue jumps to 257. My order doesn't get filled until all 257 seem to be liquidated. I would think I'm in position 57/257 but it acts like i'm in position 257/257 once the arbitrage train comes in.
Can you help answer these questions from other members on NexusFi?
Yes, it's live. I have live through Tradingview where I made the trades, but only sim through Jigsaw so I can't really test it on Jigsaw where I'd see a more complete picture of what's happening on the DOM.
Update: interestingly I tried to test it again and now I'm getting the message
"Non-tradable symbol. Symbol CME_MINI:MESM2019 cannot be traded through CQG." That's the same message I was getting last week and when I emailed my broker he said on May 22nd "Regarding micros, Gain/CQG/TV do not have the routing setup properly yet but this should be available Sunday night" That was last week and this week it's been working but very strangely. Like when it first worked there was a 6-8 point spread between the bid and ask. I haven't seen that in futures for a while. Then it was doing the behavior described above. And now it's turned off again.
It appears micro MYM DJIA is working so I'll play with that while things are sorted out.
I have the opposite problem on the CL. I get filled almost instantly at my limit no matter how many orders are in front of me. (unless of course nothing trades at my limit)
I am sure they can lift and replace orders putting everyone else in front, but they can't step on your order and put you behind if you keep your order in.
The best explanation is "in house" orders crossing the book which has happened for as long as I have been watching trading activity.
I was recently talking to my Broker (Vinny at GFF) about platforms and I learned that open outcry no longer takes place in the "pits" for order execution. They are still there but trade electronically on devices. That could explain the orders crossing the book in front of you if they are trading against each other???
I asked Vinny if there was no more screaming and yelling? He said OH YES they still scream and yell, but they are screaming and yelling AT each other..... NOT for the filling of orders.
The thing to remember here is that we are like little fruit flys buzzing around and causing problems. I am surprised they let us trade at all. The people who have 100's of millions of dollars to trade own these markets and they have the right and ability to trade with each other without any of our participation. That's why "in house" trading has always been crossing the book for as long as I can remember.
In the CL they like to do all kind of crazy things to us. It is always a rush when I place a sell limit one tic above where it is trading and they instantly pull offers for 7 tics. ha ha. I get filled at my limit but cant trade out without taking a 6 tic loss.
Also I dont think the pro's trade defensively like we do. From what I can see they are on the offensive and aggressively slamming the offers and lifting the bids when they see opportunity.