I would like to find out what would be the difference in potential price fills in fast markets
between STOP ORDERS which would be sent at the same time and same price between
Aurora based server (like Rithmic) and Cermak based server (like GainCapital/CQG).
Which of these could have a chance for potentially smaller slippage in case of fast market
(see Gold Futures example below) for the already placed server-side STOP ORDERS before the event
took place. I wasn’t trading this scenario but was curious what potential fills could be expected?
What could have happened, If I had a series of STOP orders between 1293 & 1297 price levels for /GC, could I expect that I was filled at the levels of the ORDERS or just next 1 or 2 ticks worse, or would I be filled in a cluster fill at the top (no vol climax anywhere during the first 5 seconds “the oval drawing area”?
Is there a way to anticipate the smaller slippage by the proximity of the data feed server to the exchange/matching engines or should the slippage be identical or very similar since the order is already server-side and the connectivity between the trader and server is irrelevant in this example, IMO.
How would the pre placed STOPS differ in general for the fills on:
ES, CL, GC and 6E contracts in the above scenario?
P.S. *Correction re: the chart below. There was “no” massive buying, as the volume was normal, but
rather the amount of buying quickly exhausted the available Offers liquidity (some of those orders could
have been my STOPS. So I am still trying to understand if I am to expect slippage or not too much
for my server-side orders in the order book.
Thanks a lot.