I subscribe to one of the most popular systems on C2 – LUCIDMNQ. As it becomes more popular, the slippage becomes more of an issue. Currently each trade results in about 130 MNQ contracts being issued as market orders. My understanding is that C2 paces these market orders in order to not flood the market, which could result in poor executions. This makes sense to me. The problem is that I think C2 is doling these orders out too slowly – I’m guessing around 1 contract per second. The result is that each trade is now taking over 2 minutes for all subscribers to get filled. This will only get worse as this system gains more subscribers. I believe that the market can handle a faster pace of market orders than this. As proof you can observe the executions of the ares system, which triggers based on a stop order (which is not throttled by C2). One of the recent entry trades filled 300 contracts with minimal slippage. My suggestion to @MatthewKlein and the C2 team would be to significantly increase the pace of the market order throttling.
The CME dictates the speed we are “allowed” to send orders. Let me see what’s happening on that strategy and maybe we can bring it up for discussion again with the CME.
I was wondering why systems with a few subs were getting perfect fills - thanks for the heads up and clearly this has a huge impact in the results going forward; notably one trade last week has a 50 point difference regarding best and worst fill! So with, say, 200 subscribers we are looking at a 3-minute difference in fills it appears. Very odd that unregulated forex markets can close out trades in milliseconds whereas the so-called regulated exchanges take so long…
The most recent entry of LUCIDMNQ (short 2 contracts at 7pm ET on 9/13/22) took about 5 minutes to execute. My final fill was a full 12 points worse than the first fill reported. For now, this system continues to make profits even with the slippage. At some point, the delays will take away all of the edge that this strategy manager seems to have.
Why not use limit orders ?
Limit orders may not get filled. This could cause you to miss profitable entries, or even worse, not get out of losing positions.
Wrong . Limit orders in this particular situation are mich better.
5 minutes to get filled ?! Thats terrible, mnq can move 200 points in these few minutes .
I note that the latest trade took 2.5 seconds per contract to complete ( 151 contacts in 5 minutes) It does not take a genius to extrapolate this to 300 taking 10 minutes - clearly self-defeating longer term. Other investment providers in the same space, using a profit share model, have slippage limits which once reached closes the investment to new investors - very selfish I appreciate - but provides some stability and reassurance to those already invested. Is there any reason why C2 can’t ‘bundle’ all these orders into one before sending to the exchange? Other options include using alternative brokers or entering trades manually - Int Brokers has a nifty app…
This system appears to having a meltdown today - signals are way off IB prices…
These limits are imposed on us by the CME exchange. The CME believes that C2 is so big and powerful, that we can disrupt the markets (i.e. cause prices to change) when a popular strategy on C2 places an order. So it tells us we must slow down orders a bit.
To all strategy managers who think this stinks: well, it does!
However… the one positive thing to note is that C2’s caution in preventing market disruption helps protect you from liability and regulatory action. I know this is only a small comfort, but it is something. Also keep in mind: if you were running your own hedge fund, without C2, you would face many of these issues yourself. You can’t just dump a huge order on the CME, if doing so affects prices in a way the CME does not like. The CME will come after you, and fine you. Or worse.
In summary: yes this is frustrating. But it is the way our world works. Our superiors at the CME (and market regulators) do not want prices to move too much. You may think this is stupid. (I do.) But we need to play by the rules.
On a technical level: keep in mind that the speed at which orders can be released into the markets is dependent on top-of-book liquidity. If you trade a contract that only trades one or two contracts at a time, your orders will be slowed down. If you trade a contract where the top-of-book is larger, you may not notice any slowdown at all.
Top of the book for mes contract is better than mnq . So thats an important note , and something developers should keep in mind before sending signals .
Fesx contract is even better top of the book .
@MatthewKlein Thank you for looking into it and for the detailed explanation. Does this slowdown also apply to non-marketable orders? The reason I ask is that I am also trading the ares system (as I mentioned earlier) and that system enters on a stop or limit and upon execution there is a pair of orders for the stop and take profit (i.e., a bracket order). With the most recent trade it took several minutes for those two orders to appear in my account. This usually would not be a problem, but if the market moves really fast then the price could blow past the stop.
Strategy Manager is closing the trades with profits but because of slow executions’ subscribers trades are getting closed in negative… this is becoming worst day by day @MatthewKlein
This strategy tends to rely on one or two big ‘home runs’ per month, with many of the short-term trades closing with varying degrees of success - but scalping will definitely not work for the investor with any C2 system longer term, however successful the provider. To be fair to the provider this is not his usual strategy, and he may be just testing the market after recent losses.
Have you told the strategy manager to switch from “broker transmit” to “platform transmit”? Currently Lucid is using broker transmit, meaning only when an execution is registered into his live trading account it would be routed by C2: all at market orders and obviously creating slippage. Ares, on the other hand, uses platform transmit. This means that orders (stop and limit) are sent directly from his platform (e.g. Tradestation or whatever he uses) to C2 and will immediately be replicated in your broker as live stop/limit orders. This creates way less slippage. Tell LucidTrades to switch to Broker Transmit (he can maintain TOS by subscribing to his own strategy).
I just made another interesting observation with these throttled MNQ executions – the throttling appears to be across all of C2 and not just for a specific system. I subscribe to two systems that trade the MNQ – LUCIDMNQ and MNQ Day Trader. The executions for MNQ Day Trader are usually very quick, since there are currently very few subscribers. However, when the market started dropping hard this morning, both systems went short at roughly the same time. Because LUCIDMNQ was generating a lot of sell orders, the MNQ Day Trader orders had to also wait in line for executions. Unfortunately, this resulted in a delay of over 2 minutes for both systems and quite a bit of slippage.
Is the delay also present in auto trade connected to IBKR?
What about entering manually?
I have subscribed but haven’t got broker acceptance yet, what are your experiences?
Well 14 minutes to open 300 positions is clearly not sustainable going forward for a system just 6 months old…maybe having some sort of investment fund rather than multiple individual trades would be a better model going forward for this sort of investment.
The last STC order of LUCIDMNQ for 1 contract (order #142340273) took a full 12 minutes! This was during the regular trading hours too. @MatthewKlein Is the CME rule specific to C2 or do all other auto-trade platforms have to trade market orders at this rate?
I think I’m going to be forced to unsubscribe from this system unless this issue can be resolved to some degree.