Trading Edges That Last
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Scary Day
Following chart is a 89-tick chart on Emini S&P. It shows the sudden sell off we experienced today at 1:09 pm to 1:10 pm Eastern Time.
I usually hide my limit orders with my order entry application. It would place the MIT (market if touch) order when the market trades near my price. It works fine all these years until today.
My buy order was set at 1560 to trigger. What happened was that my internet connection to the brokerage was somehow delayed and when the price tagged 1560, my MIT order was not confirmed.
Look at the chart where the vertical line marked with 13:09:59. At that point my order should have been placed to the brokerage and routed to the exchange for execution already because ES has traded 1560 two bars earlier.
But that did not happen.
Instead my order was stuck in unconfirmed state for more than 10 seconds and when it is eventually routed, it was triggered 4 bars from that line on the chart. I did get a better fill at 1558.50. That was pure dumb luck.
Just imagine if it has gone the other way quickly my order would not be executed and I would be stuck with the position thinking that I have it closed at my target price. It is a shocking experience.
I have not decided whether I should place my MIT orders earlier (i.e. doing it when the last traded price is within 5 points instead of 2 points) or if I should simply park it at the exchange.
I think everyone who use bots to hide their orders need to reflect on this incident and make necessary changes to deal with the potential disaster scenario like today.
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