buy limits vs buy stops on chart trader/DOM

[DangerBoy]

Hi guys

Just a quick question regarding order types, why is it that on chart trader if I left click at the Asking price I am only able to enter a "buy stop" order as opposed to the DOM where I am able to put a "buy limit" order at the asking price. Is there any particular reason that the chart trader doesn't allow "buy limits" at the asking price? This is for Eurex Futures through IB.

Thanks for help
Ross

[NinjaTrader_Jason]

Hello Ross,

If you submit a buy limit order above the last traded price (or at the last traded price) it will act like a market order - the order will fill at the price the market is trading. You can test it in the SuperDOM by submitting buy limit orders above the last traded price in simulation yourself.

Since a market order acts the same, buy limit orders are excluded from the right click menu in ChartTrader. The same applies for sell limit orders below the last traded price.

In order to submit a buy limit order in ChartTrader, you will need to right click below the last traded price. A sell limit order above the last traded price.

[DangerBoy]

do you mean that Ninja converts the buy limit order placed at the ask price to a market order and sends it to the broker?

Or that they are similar in functionality in that they both execute instantly because I would argue that even though they are similar from that aspect, the market order can still attract slippage if the ask were to move higher in between the placement and execution while theoretically a buy limit can never be executed higher than the placement price since it would never chase the ask. I say theoretically because obviously in a highly liquid market placing a limit at the current ask for the most part gets filled but there could be an instance where latency and the sequence of orders mean that the ask volume dries up before the buy limit entered is executed and the ask then moves away from the buy limit leaving it unfilled.

This is of course in the case where the first statement at the top doesn't apply. So I guess if point one does not apply then I'm trying to understand the second point. Obviously if point one applies then point two is irrelevant.

Sorry to get all technical, I would just really like to understand the inner mechanics of the order matching.

[NinjaTrader_Jason]

NinjaTrader does not convert orders. A buy limit order above the last traded price will act like a market order since it will fill at the price the market is trading, since it is a better price.

If you submit a buy limit order at a certain price, but once the order arrives at the exchange the last traded price is higher than the limit order price, the limit order would remain at the limit price waiting to be filled.

I suggest to submit limit orders in the SuperDOM if you need to submit buy limit orders at the ask price.

[DangerBoy]

ok so they are not the same, that confirms my understanding is correct. Thank you.

One last question then for the week If the the time and sales window shows last transacted at say 137.88 at say 11:09:09 and the bid is shown as 137.88 at 11:09:09 and the offer is shown as 137.88 at 11:09:09 (I assume this is possible given my above example it stands to reason that two limit orders can be matched where a sell limit is entered at 137.88 and at the same time a buy limit order is entered at 137.88, effectively a meeting of the bid and offer price without the use of a market order to hit one side or the other). How does the Time and Sales classify this volume? At bid or at offer.. it is important because I'm trying to assess the accuracy of Volume Delta.

Thanks

[NinjaTrader_Jason]

Each execution will add to the volume in the Time and Sales window. The Time and Sales window does not make a difference between bid and ask volume - it will only reflect total volume.

The numbers next to the ask and bid price is market depth data - the amount of contracts waiting to be filled at that price.

[DangerBoy]

In my Time and Sales all entries are colour coded based on what is transacted at bid and what is transacted at ask, default colours are green,blue and black.

Not sure if we're on the same page here.

So in order for you to colour code the entries you have to determine volume at ask and volume at bid via some algorithm, so I'm asking what happens in the scenario i described above where limit orders meet, in this case colour coding at bid and at ask doesn't make sense to me.

[NinjaTrader_Jason]

I assumed you referred to the total volume in the Time and Sales window.

I never seen an instance where last traded price, bid and ask price are the same on the exact same moment. I do not see how this is possible either. The Time and Sales window reports executions and color codes them accordingly.