CME Stop placement rules

ScottB · 06-21-2012, 10:06 AM

Hi,

It may be of interest to those who do not already know that CME stop placement rules will cause a rejected order - Order Type Not Allowed if you hit or cross the market with your stop order.

I have verified this with the CME trade group and thought I would pass it on. Where this becomes important is if you were attempting to move a stop to breakeven (especially algorithmically via a calculation) and price moves prior to your order reaching the CME matching engine.

I have tested this is simulation mode and it does not appear NinjaTrader enforces the rule. There may be a setting for this and I do know you can write a custom fill routine to enforce it yourself.

I just thought I would pass this on.

NinjaTrader_Matthew · 06-21-2012, 10:25 AM

Thanks for sharing your experience with these items on our forums.

ScottB · 06-21-2012, 10:29 AM

Matthew, you are quite welcome; my pleasure.

I have been discussing the difference in resources of the average retail trader and the average institutional/professional trader (I am on the institutional side) with some colleagues and found that this type of information is one of the key differences.

06-21-2012, 10:06 AM	#1
ScottB Senior Member Join Date: Jan 2009 Posts: 413 Thanks: 0 Thanked 20 times in 20 posts	CME Stop placement rules Hi, It may be of interest to those who do not already know that CME stop placement rules will cause a rejected order - Order Type Not Allowed if you hit or cross the market with your stop order. I have verified this with the CME trade group and thought I would pass it on. Where this becomes important is if you were attempting to move a stop to breakeven (especially algorithmically via a calculation) and price moves prior to your order reaching the CME matching engine. I have tested this is simulation mode and it does not appear NinjaTrader enforces the rule. There may be a setting for this and I do know you can write a custom fill routine to enforce it yourself. I just thought I would pass this on.
	Facebook Twitter YouTube

06-21-2012, 10:25 AM	#2
NinjaTrader_Matthew NinjaTrader Customer Service Join Date: Apr 2010 Location: Denver, CO, USA Posts: 4,770 Thanks: 158 Thanked 562 times in 553 posts	Thanks for sharing your experience with these items on our forums. Matthew NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
	Facebook Twitter YouTube

06-21-2012, 10:29 AM	#3
ScottB Senior Member Join Date: Jan 2009 Posts: 413 Thanks: 0 Thanked 20 times in 20 posts	Matthew, you are quite welcome; my pleasure. I have been discussing the difference in resources of the average retail trader and the average institutional/professional trader (I am on the institutional side) with some colleagues and found that this type of information is one of the key differences.
	Facebook Twitter YouTube

Thread Tools
Show Printable Version Email this Page
Display Modes
Linear Mode Switch to Hybrid Mode Switch to Threaded Mode

Similar Threads
Thread	Thread Starter	Forum	Replies	Last Post
Can I Put Rules on Parameters?	Crassius	Indicator Development	4	03-30-2011 10:18 AM
Enforce Discipline Rules	JonathanMtl	Suggestions And Feedback	1	09-21-2008 10:46 AM
Menu Visitation Rules	RVRoman	General Programming	3	09-05-2008 09:24 AM
Internal Order Handling Rules for Stop Limits	wayneFH	Strategy Development	7	06-14-2008 06:39 PM
Stop order placement	pgabriel	SuperDOM and other Order Entry Windows	4	11-16-2007 05:22 AM