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.