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Native Orders Accepted by Major Futures Exchanges

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Server-Side
OCO
Bracket-Orders

#1

A request for Matt! Can you post a list of all the “native” orders that are accepted by the major futures exchanges? What is native on Eurex markets (e.g. DAX) is not 100% the same as CME. For example, a stop-limit order sent to Eurex will get rejected (Eurex takes stops as native not stop-limits) but the same order will be accepted at CME. And a question that’s be good to answer in such a blog post. What is the difference between a native “stop” at CME and a native “stop-limit” at CME? Is the former just the latter with an exchange-coded limit set X points from the stop price? A new blog post explaining the nuances as to which orders are “native” on which exchanges would be great.

Also, I think some of the phraseology confuses some traders. It’s isn’t true to say that bracket orders or OCO orders “reside” on the execution feed’s servers (of certain providers). The orders themselves - if they are native orders - reside on the exchanges. It is only the ‘cancellation logic’ that resides on the execution feed’s servers. If a trader is long the DAX at 11460.00 and has a profit target of 11480.00 (native sell limit) and a stop-loss of 11440.00 (native stop order), set as One Cancels Other, then both these orders will “reside” at Eurex at two stand-alone orders. It is just the logic that knows to cancel one order when the other order gets filled, that is hosted by the execution feed’s server.

And then there’s the difference between a bracket order and an OCO order. Another nuance. These terms are thrown around by technical folk, that to the untrained eye aren’t obvious. A bracket contains the initiating entry order and the OCO. Whereas the OCO is just the profit and stop-loss components. I’m learning that with CQG (via Sierra) a bracket order’s logic resides on my computer (i.e. it is not server-side) whereas the OCO logic resides on CQG’s server.

A lot of talk exists on a lot of bulletin boards about latency but if a trader is using native-held orders for a stop-loss I’m not sure how relevant it is. For traders who trail their stop (which means getting in the queue again with every trail movement) it seems particularly irrelevant.


Multicharts and setstoploss( Stoploss * bigpointvalue) does it guarantee the SL is on the broker Server?
#2

@simtrader good points on the topic. Let me explain the orders as permitted by the exchanges.

CME:

Limit Orders are permitted. This is pretty obvious.

Market Orders are permitted. In reality, they are called Market Orders With Protection. Market orders with protection are filled within a pre-defined range of prices referred to as the protected range.

Stop Orders are permitted. In reality, they are called Stop Order with Protection. This becomes a market order when triggered. Stop orders with protection prevent stop orders from being executed at extreme prices. A stop order with protection is activated when the market trades at or through the stop trigger price and can only be executed within the protection range limit. The order enters the order book as a market order with the protection price limit equal to the trigger price plus or minus the pre-defined protection point range.

Stop-Limit Orders are Permitted. Stop-limit orders are activated when an order’s trigger price is traded in the market.

  • For a bid order, the trigger price must be higher than the last traded price.
  • For a sell order, the trigger price must be lower than the last traded price.

After the trigger price is traded in the market, the order enters the order book as a limit order at the order limit price.

There are additional qualifiers such as Day Order, Good-Til-Canceled, Good-Til-Date, Fil and Kill, Fill Or Kill, minimum quantity and display quantity.

As far as Eurex, and to keep it simple, on top of Limits and Stops, they do allow bracket orders. One-Cancels-the-Other order

I hope this helps you. Please let me know if you have any questions.

Matt Z
Optimus Futures
www.optimusfutures.com