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HockeyPlayer


Total Posts: 117
Joined: Nov 2005
 
Posted: 2016-10-26 20:40

CME has a number of TAS (Trade at Settle) markets and speed is often mentioned as especially critical in the TAS markets. When CME released the FPGA based order entry gateways then released them in TAS markets first.

Why are the TAS markets so speed sensitive?

katastrofa


Total Posts: 350
Joined: Jul 2008
 
Posted: 2016-10-26 21:30
I suppose because they are done at price unknown when the order is placed, there can be a flurry of cancellations / placements as the market converges to the settlement price.

ThomasJ02


Total Posts: 33
Joined: Feb 2009
 
Posted: 2016-10-26 23:30
There's a silly little trade in the TAS where you try to stuff your market making orders in the instant the market opens so you get priority in the queue. So everyone is racing to hit the gateway at approximately the same time at market open. This happens in all FIFO markets to some extent, but it's particularly prevalent in TAS because the market opens and closes every day and there's no multi-day GTC orders.

katastrofa


Total Posts: 350
Joined: Jul 2008
 
Posted: 2016-10-27 10:19
I see.

radikal


Total Posts: 253
Joined: Dec 2012
 
Posted: 2016-10-27 20:10
100% free money for winning q position

Trading firms love free money

There are no surprising facts, only models that are surprised by facts

OTS


Total Posts: 20
Joined: Oct 2009
 
Posted: 2016-11-11 01:46
Radical

Why would you say "100% free money for winning q position"? Even if you get priority you still need to exit the trade. Most CME contracts with a TAS market close on a VWAP of some time period. i would think that hitting that vwap would be challenging
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