Execution of Futures Trades

C2
21

Hi, James:

Let me answer the questions that I can, and try to gracefully punt on the rest. Answers follow, in order of increasing complexity:

  1. 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 sequence in which account/orders are submitted to the exchange are newly randomized with each and every order. No one account always goes first or last. Always random.

  1. Do limit orders avoid issues related to CBOT Rule 575.D?

Orders that are entered as limit orders by the strategy will be sent initially to the exchange as limit orders (and thus will not be delayed by C2). However, if the limit orders are not entirely filled by the exchange, but are only partially filled, they will be converted to market and thus will be subject to CME regulations. Conversions to market are necessary to keep accounts in sync with Strategy Model Account intentions.

  1. 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?

I’m not able to discuss Collective2’s conversations or relationship with the CME in these forums, or interpretations of any particular regulation. I can say only that Collective2 does its best to fulfill market regulations imposed by the CME on market participants.

I wish I could provide more information, but hopefully the answers to the other questions will be helpful.

Matthew

1 Like
22

Thanks for the info, Matt. If you are able to share in the future it would be helpful to understand CME’s concerns because I really don’t understand it given the sizes we’re talking about here.

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Orders that are entered as limit orders by the strategy will be sent initially to the exchange as limit orders (and thus will not be delayed by C2).

What if the limit order is immediately marketable? In other words, if the current NQ price is 21495.00 and the strategy issues an order to buy at limit of 21500.00, would this order be delayed even though it would be equivalent to a market order?

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Limit orders that are marketable are treated as market orders.