To: Louis V. Lambrecht who wrote (27671 ) 1/15/2002 3:04:16 PM From: Michael Watkins Read Replies (1) | Respond to Every time one of these stop runs happens, questions come out. Since I was already in the loop answering some of Rok's questions:cme.com lfgfutures.com The exception to that is for E-Mini S&P and E-Mini NASDAQ. For these markets, the CME arranged for a special tool capable of "handling" Stop orders and Market orders, but there are some important differences to regular Stops and Markets which you should be aware of. In the case of Market Orders, the systems obtain a last price from the Globex2 price feed, either add or subtract a maximum collar, and then place the order to the Globex2 matching engine as a limit order. Stop orders are held in queue and when the price feed from Globex2 indicates that the order has been elected, a last price is obtained from Globex2, the collars are applied, and again the orders are entered into Globex2 as Limit Orders. In most instances, this smoothly handles the transition, but in extreme conditions, there can be important fraction-of-a-second delays that can result in greater than expected slippage or even an unfilled order. Consult your order desk for the specific rules used to handle this situation.
