Support Board
Date/Time: Fri, 04 Sep 2026 20:18:47 +0000
Post From: CME matching cycles and stop orders
| [2026-09-04 16:04:11] |
| curious16 - Posts: 48 |
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I would be grateful if you could provide insight into how SC (with Denali feed) represents individual CME matching cycles. When using a single trade chart, there are three options: (1) show raw ticks, (2) combine into summary trades, (3) combine trades with same price and side. Does one tick using option (1) always equate to one matching cycle? What does one tick equate to when option (2) is used? I'd like to understand exactly when CME stop-market orders get activated. The stop price obviously needs to be met or exceeded in a matching cycle and this then activates the stop order as an aggressive limit order in the next matching cycle. I know there are no true stop-market orders with CME - what you get is an aggressive limit order with a maximum aggression depth set by CME. When there are large bursts of trades within one millisecond, it is important to understand whether a stop is triggered and executed, or whether a stop might be missed. A good example for such situations occurred today 08:30:01.108 in the ES. When using option (1) to display single trade ticks, we get 110 sell trades within the same millisecond starting at 7761 and ending at 7745. In this burst of trades, SC shows four successive ticks sell@7754.75 followed by two ticks sell@7753.50. That is, there is a 5 tick gap after the 7754.75 trades. Assume we had a sell-stop-market order with 7754.75 stop price active before the first sell@7754.75 occurs. Would the stop order activate and execute at this same price? Or would the stop order execute at the next lower price (7753.50)? Thanks in advance for your help. I get it that this may seem quite subtle, but there is no way for anyone other than a few colocated high frequency traders to react during such trade bursts, hence it seems important to understand how the stop order mechanism works and under what conditions a stop may be missed. |