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Direct MessagesDate/Time: Sun, 28 Apr 2024 16:09:57 +0000
[User Discussion] - Limit Order Execution - Futures
View Count: 464
| [2020-05-15 14:22:53] |
| User670970 - Posts: 4 |
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I'm developing a strategy on the Mini Nasdaq Futures. According to your documentation, "A Sell Limit order will only be filled when the Bid price is equal to or greater than the limit price. And it will be filled at the Bid price when this condition is met." Would it be possible to use the Last Trade Price, rather than the Bid/Ask. Unless I'm mistaken, with futures, if the Last Trade Price goes above my sell limit order, the limit order is filled. According to your documentation "When the best Bid and Ask prices are both beyond the last trade price, and the conditions for filling the order have been met as explained above, the last trade price will be used to fill the order." I've had this case before. Limit sell order. Last trade price coming out of the Spread Bid/ask, going above my order and going below it again. Unexecuted order. Is this the default or do I need to set something up? About the Last Trade Price that comes out of the Bid/Ask on BBO feeds, this is frequent and seems to be a compression issue between raw trade/quotes feedsand BBO feeds In attachement, the same situation seen with the SC Data and with a history of trades and Bids/Asks coming from tickdatamarket The following table explains the conversion process between the Quotes and Trade flows into a single BBO flow. Data in red is not transmitted. As the movement is short, we lose the rise of the Ask to 8389.50 and the Last Trade Price seems to come out of the Spread Bid/Ask. |
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