Today, I made 23 PIT energy orders (Crude (CL), Heating Oil (HO), Natural Gas (NG), unleaded gasoline (RB). They were all market orders parked until 9:02am est (2 minuts after the PIT open).
Of 23 trades placed, 2 were filled...
Email pending, trade filled @136.60 (6/25/08 9:03) 6/25/2008 Buy to open 1 CLQ8 at market DAY Cancel Reverse
Email pending, trade pending 6/25/2008 Sell to open 1 CLU8 at market DAY Cancel
Email pending, trade pending 6/25/2008 Buy to open 1 CLV8 at market DAY Cancel
Email pending, trade pending 6/25/2008 Sell to open 1 CLX8 at market DAY Cancel
Email pending, trade pending 6/25/2008 Buy to open 1 CLZ8 at market DAY Cancel
Email pending, trade pending 6/25/2008 Sell to open 1 CLZ9at market DAY Cancel
Email pending, trade pending 6/25/2008 Buy to open 1 HON8 at market DAY Cancel
Email pending, trade pending 6/25/2008 Buy to open 1 HOQ8 at market DAY Cancel
Email pending, trade pending 6/25/2008 Sell to open 1 HOU8 at market DAY Cancel
Email pending, trade pending 6/25/2008 Sell to open 1 HOV8 at market DAY Cancel
Email pending, trade pending 6/25/2008 Sell to open 1 HOX8 at market DAY Cancel
Email pending, trade pending 6/25/2008 Buy to open 1 HOZ8 at market DAY Cancel
Email pending, trade pending 6/25/2008 Sell to open 1 NGF9at market DAY Cancel
Email pending, trade pending 6/25/2008 Sell to open 1 NGH9at market DAY Cancel
Email pending, trade pending 6/25/2008 Buy to open 1 NGH9at market DAY Cancel
Email pending, trade filled @12.800 (6/25/08 9:15) 6/25/2008 Buy to open 1 NGN8 at market DAY Cancel Reverse
Email pending, trade pending 6/25/2008 Buy to open 1 NGQ8 at market DAY Cancel
Email pending, trade pending 6/25/2008 Buy to open 1 RBN8 at market DAY Cancel
Email pending, trade pending 6/25/2008 Buy to open 1 RBQ8 at market DAY Cancel
Email pending, trade pending 6/25/2008 Sell to open 1 RBU8 at market DAY Cancel
Email pending, trade pending 6/25/2008 Sell to open 1 RBV8 at market DAY Cancel
Email pending, trade pending 6/25/2008 Buy to open 1 RBX8 at market DAY Cancel
Email pending, trade pending 6/25/2008 Sell to open 1 RBZ8 at market DAY Cancel
Pit fills will always be crappy, Ross. We rely on pit data feeds which are slow and inaccurate. If you want very fast, speedy fills, either: (1) use electronics (best), or (2) AutoTrade your own system at OpenECry. By AutoTrading your system, you insure that C2’s fill reports will be slightly more timely and accurate than the typical data we get from quote feeds.
I’d like to investigate your complaint, but I have no idea which system you’re talking about. Let me know, and I’ll take a look.
the point was, they were market orders. They weren’t filled at all…
Ross: Which system, so I can look?
called "unnamed" (test)
I’d like to investigate your complaint, but I have no idea which system you’re talking about. Let me know, and I’ll take a look.
You can choose ANY of my systems, Matt.
I am waiting for orders filling almost EVERY day on average 1 1/2 hour.
My systems trade stocks. No “crappy pit data feeds”.
Right now you can look at system Antares A10.
Order: sell ASH @ limit 50.19
It is 11:00 hour now. ASH trades above $50.50 from 09:40 hour (above $52.00 last 30 minutes!) but my order is still sitting in the system.
It is my every day experience.
Bob
Thanks for the heads-up, guys. Thanks to your complaint, I do indeed see an issue with the way CPU time is being allocated to process pending signals, and I think I can make a fix that should improve these situations. Let’s observe how the rest of the day and tomorrow’s opening orders work for you. Please keep me posted. - MK
Thanks for the heads-up, guys. Thanks to your complaint, I do indeed see an issue with the way CPU time is being allocated to process pending signals, and I think I can make a fix that should improve these situations. Let’s observe how the rest of the day and tomorrow’s opening orders work for you. Please keep me posted. - MK
Hi Matthew,
is this related anyhow to the problems I had with my Eurex trades in my system Cassiopeia the past days?
Palladium, Platinum, heating oil, natural gas, Rb (unleaded gas), the meats, and many other futures have CRAPPY volume. And other futures, the pit volume is better than the electronic version. Better volume equals better price.
Also, the pit futures have some of their own characteristics. The correct answer is not to “do the electronics instead.” That is like telling someone who specializes in nasdaq futures, to use the russell instead.
Matthew, 21 out of 23 widely-traded energy pit contracts didn’t activate even with MARKET orders, parked until trading hours started!!!
Jose: Nope. That Eurex issue was something else, and it looks like it has been fixed. Please let me know how orders on Eurex go for the next few days.
Alas, 8,000,000 systems called “unnamed.” No idea which is yours, since yours apparently is being run under a different user name (?). Please email me the system id number so I can make sure I solve the problem you’ve reported. Thanks…
the trades were purged. I am only using the system to test methods.
But following is exactly how the 23 trades listed above were entered. And only 2 made it. All you have to know is, this is what I did in the trade entry screen:
Buy (or Sell)
CLU8 (or any of the other pit contracts in my previous post of 23 trades).
(leave as market)
Park Until: 9:02am. (which is 2 minutes after the open).
All of these trades should have filled easily.
If your fix today does not correct this, I am guessing there is something wrong with your "Park Until" logic or timing, in concert with some of the major pit contracts.
But let us see how your change does tomorrow.
Hi Matthew,
it does not seem to work properly yet.
Right now, my system has a long EuroBund position which was executed at 09:03. This was a stop BTO with associated limit/stop STC orders which was input in C2 before market opening and was parked until 02:00. The unparking worked well.
However the limit and stop STC orders which were linked to the entry order have not been passed yet to my OEC account (30 minutes passed).
I guess that if the limit/stop is reached, C2 will count the trade as closed although in my account it will still be open. After a while, C2 will try to synchronise and close the position in my OEC account with a market order.
[LINKSYSTEM_31126530]
it happened exactly as I was fearing for both trades today.
33314289 STO 1 EXU8 @ STP 3423 DAY 6/26/08 2:00 6/26/08 5:47 3423
33314296 BTC 1 EXU8 @ STP 3443 GTC 6/26/08 5:48 6/26/08 6:37 3443
and
33314115 BTO 1 BDU8 @ STP 110.64 DAY 6/26/08 2:00 6/26/08 3:03 110.64
33314123 STC 1 BDU8 @ STP 110.44 GTC 6/26/08 3:04 6/26/08 7:23 110.44
I was again lucky that the markets did not move quickly. In both cases, the limit/stop orders were not passed to OEC after opening and the synchronisation between C2 and my account took several minutes after C2 closed the position.
As I often have to trade with pre-defined "open -> limit/stop" strategies, I prefer not to trade my system again until I am 100% assured that this problem has been solved.
It could have been ruinous today…
[LINKSYSTEM_31126530]
again just right now there is an EuroBund position open in my trading system. The trade was input during the night and it was parked till 02:00 AM EST. The stop entry order has been triggered but the associated limit and stop orders have not been passed to my OEC account.
Jose: Thanks for pointing this out. We are looking into it now. - Matthew
ok, now not even a market order to close the position is working…
