Untradeable Fills on ICE TF Futures Contract

In the last several days, C2 fills on the Futures TF contract have been so bad, that I consider it untradeable. i.e. On Monday I had a C2 fill that was 6Points ($600) per contract different from the strategy and trades placed via Ninja/PatSystems. That particular bad fill was in my favor, but we all know that isn’t going to happen in real-time. Also on both Monday and Tuesday a different strategy made 3 small winning trades via Ninja, but all three trades showed as losers on C2 (about $225/contract per trade difference). A third strategy had a losing trade this morning, and its real entry point was 2pts different from what C2 recorded ($200/Contract).

Fixing the incorrect entry/exit points doesn’t address the underlying problem that is causing such terrible fills.

If the real cause is a combination of how C2 records market orders and the irratic movements and wide spreads on the ICE TF, we and any subscriber’s need to know that! [LINKSYSTEM_32506954]

I recently made changes (I’d like to call them “improvements”) in the way background quote processing is being done. Unfortunately these changes introduced a problem which caused a higher-than-normal number of incorrect fills.

The good news is that I think the problem is now solved (as of 14:15 ET Oct 15). Please report via a trouble ticket any bad fills that you received prior to this and I will be happy to correct.

This problem – recently introduced and now fixed – did not affect AutoTraders, and, in fact, systems with AutoTraders still received the exact same fills their autotraders received.

I do apologize for this problem. I think you’ll notice improvement going forward.