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Today Mischmash executed market orders to sell MNQ in the opening minutes. The first order was filled by Tradovate at 9:35AM EST. The last order was filled by Interactive Brokers at 9:40AM EST. In aggregate the orders were for 196 MNQ contracts, or less than 20 NQ contracts. If you have been in the futures markets for a while, you’ll know that this is teeny tiny volume. So the question becomes, why does it take 5 minutes between the first fill and the last fill? The difference between the first fill and the worst fill is 143.25 points! At 100% scaling to Mischmash, that’s a $1,432 difference regardless if the trade is a winner or loser (and not relevant).
As a point of reference, Ares filled 733 MNQ contracts today at the same time and within 1 point of each other. So my question to the group is what is causing the delay in order execution?
Is this a order signal problem from the manager? It seems like it’s not if the strategy executed through C2 at 9:35AM.
Is this a problem with C2? If so, why are certain strategies executing faster (Ares) than others?
Is there a solution or workaround on this? 143 points on MNQ is an enormous difference, even in fast markets. Slippage is expected during fast markets but this isn’t really acceptable.
The CME requires that we delay orders so that we do not affect the market. Otherwise they fine us. Yes, they believe C2 has the power to move markets. The delays are based on available top-of-book quantities.That is why some contracts fill faster than others. Again, this is policy of the CME. It is unfortunate. We try our best to work within the constraints they impose on us and try to get the fastest fills possible.
Thanks for the answer. But how does this explain execution for the other strategy where it was executed at the same time? Is it time dependent? What are the factors that drive this?
My understanding is that a marketable limit order would be treated like a market order. Perhaps one solution would be to trail the limit orders a tick or two away from the market price until they are all filled (like a Relative order with Interactive Brokers). I’m guessing that would add too much complexity though.
It seems like the managers could just put in a limit order that’s like 30pts away from the signal, no? That’s more than enough slippage, and if someone doesn’t get filled 140pts away from the initial fill then it’s a missed trade. There are days where the entire range of the day is less than 140pts. Pretty ridiculous.
Also, @MatthewKlein - I don’t talk to the CME so will take your word that there are considerations for fills, but do you ever show the CME your order sizes? It would seem very silly of them to somehow limit you when the entire order is less than 20 NQ. For the level of sophistication they have surely there are filters to block out a 2000k order dump but allow in the 20 lots. By my eyeball estimate NQ (not MNQ) had 27k lots traded between 935 and 940 today.
Yes its true the CME will fine . Its not just about total volume during that minute its more about top of the book bid/ask available size , and its clear the NQ and MNQ are very thin , unlike bonds futures for example .
A quick solution would be to contact the manager and ask them to try to avoid trading certain times , the open of the market for example . Why they didn’t execute the order few minutes before the open , afterall its a market order .
This also works with Broker Transmit?
I always understood Broker Transmit to mean that C2 also turns a limit order from the manager into a market order for the followers. So does the limit and stop order only work without Broker Transmit?
I realize that NQ’s TOB is thin vs. bonds where someone can sling 500 lots at a time, but to suggest that .07% of volume in the time span impacts execution such that it needs to be spaced out over five minutes? Yeah not buying that.
I agree 100%. It seems like the pace could be dialed up by a factor of 10 (which would be 30 seconds to execute the orders instead of 5 minutes) and it would still have negligible impact on the market.
Ok I found the lowest volume since the open today for a 10 SECOND interval and it was 160 lots for NQ. We’re talking about one of the most liquid instruments on earth here during one of the heaviest volume periods (open).
Its about the size of the bid and ask not the volume , in another words the nq and mnq is one of the least liquid futures contracts .
Also another thing to consider is manyC2 futures systems trade this contract and maybe many of them will execute some trades at the same time . So its not just one system ,it could be dozens of systems trading it at the time . So collective2 has to consider this .
I understand what you’re saying and I think we’re just talking past each other at this point. I’m sensitive to your point, and if I had data to tell me that across C2 we’re impacting the market I would be fully sympathetic to the issue. I don’t, and based on what I do know it seems like we’re a needle in the haystack w/r/t the volume and impact on the market.
Thanks to PhysicalTrader for the info. For those interested here is the event referenced:
Still surprised by this since many other, larger players do swing the price of NQ consistently and we’re just a drop in the ocean, but I understand it.
I am still interested in your input on a few outstanding questions given what’s already posted:
Is C2 still in touch with CME regarding its footprint? What are the thresholds for CBOT Rule 575.D in terms of market impact? Is the impact based on all systems collectively through C2 or individual strategies?
Do limit orders avoid issues related to CBOT Rule 575.D?
How are orders executed within the C2 system? E.g., which accounts get to execute first and which ones last, and how is that determined?
The straightforward answer to your questions is that Ares utilizes Webtrader to enter positions using stop or limit orders. These stop/limit orders from C2 subscribers are sent directly to the CME servers, where the number of contracts is visible on the exchange’s order book. As a result, the impact on price movement is minimized, eliminating the need for a “slow drip” market order restriction, as seen in Mischmash.
