CME Order Rejects and Data Differences in Platforms

There are many risk in trading. One risk in algorithmic trading are technology risks. There are technology risks that we can control and technology risks that we can not control. When the CME rejects orders in a fast market, it is a technology risk that we can not control. It requires a human to monitor the strategies and make sure that the order is placed manually and the trading system automation is synchronized.

It is also possible to write superior code to manage it all. In this case, there would need to be some advanced code to re-submit orders that were rejected until they are accepted. This may generate a long list of orders that are rapidly fired and if the CME changes its protocol, who knows what would happen. It is possible that many more orders than originally planned, once the CME accepted these orders again, could be submitted.

There are also discrepancies sometimes in trading based on data differences. We cannot control the accuracy of the data or changes that the data provider may submit. I have found that over time this evens out.

Today we saw both cases were orders were rejected for a strategy that entered at 10:00 am EST after the ISM services. Orders were rejected for Pulse NQ on some platforms. We also found that there were some data differences between platforms. Since the market dropped right away for a long entry, the opportunity to re-enter at a better price existed.

We go over the details of both scenarios in the video as we discuss Pulse NQ.

It is important to manage strategies during economic news releases or use an Auto Trade Systems Broker to help manage these scenarios.

Economic reports are released on a regular basis at 7:30 am CST, 8:45 am CST and 9:00 am CST. (8:30, 9:45, 10:00 EST). We have been in a vicious news cycle the past 8 months as well with breaking news at any time.