Question related to market order

[lightsun47]

Hello,

I have a specific question related to market order trade executions.

Basically I want to know if hitting market order during the regular NYSE open session in ES futures will fill 100 (or more) contracts order right away or not. I understand there might be a loss of 1 to few ticks for the price to get filled but want to know if all 100 contracts can be filled simultaneously or not.

Thank you.

[NinjaTrader_Tyler]

Hello lightsun47.

Thank you for using NinjaTrader.

I would expect some amount of delay and slippage when submitting a market order for that number of contracts to a live account. How much delay occurs before the order completely fills will depend on market conditions at the time the order is submitted. If your data feed provides Level II data, the SuperDOM or Level II windows can be useful for gauging the number of resting orders that exist in the queue at a given price level. This information can help you make an informed decision about when to enter the trade.

Below I have provided links with more information about the SuperDOM and Level II windows:

https://ninjatrader.com/support/helpGuides/nt8/en-us/superdom.htm

https://ninjatrader.com/support/helpGuides/nt8/en-us/level_ii.htm

Please let me know if I may be of further assistance.

[bltdavid]

I have a specific question related to market order trade executions.

Basically I want to know if hitting market order during the regular NYSE open session in ES futures will fill 100 (or more) contracts order right away or not. I understand there might be a loss of 1 to few ticks for the price to get filled but want to know if all 100 contracts can be filled simultaneously or not.

Why?
Do you have fears that your market order for 100 ES contracts is too much for the market to absorb?
Such fears are unfounded.

Or, perhaps you do have a very specific worry but you're using imprecise language?
For ex, give us better terms than "right away" and "simultaneously" ...

[lightsun47]

There's no 'fear'.

It was just a simple question.

Never assume things.

[bltdavid]

There's no 'fear'.

It was just a simple question.

Never assume things.

Apologies, I meant no offense.

I trade the ES, and watch the Level II data a lot -- I don't trade anywhere near 100 contracts, but
on the ES, this amount seems incredibly easy to fill, especially during the NYSE open session.

I mean, during those hours I usually see many hundreds of contracts waiting as limit orders at almost
every price level on the ES. I think your attempt to buy or sell 100 ES contracts at the market during
NYSE open session would be handled easily, quickly, and with no hiccups whatsoever.

[Not so with every instrument out there. I watch Level II on CL and YM quite a bit, for ex, and buying
100 contracts on those instruments would probably entail quite a bit a slippage, since a market buy
order would eat up all resting limit sell orders at several price levels before it was completely filled.
But, IMHO, filling a market order for 100 contracts during regular trading hours will probably not be
much of a problem for the most popular instruments, it's just a question of the slippage as your order
eats up one or many price points of resting orders.]

So, can a 100 contract market order for the ES be filled simultaneously during NYSE open session?
Absolutely, yes, there is no question about that -- their software can handle it just fine.

Except for slippage, it would certainly appear to be filled simultaneously to you, the buyer or seller.

But, then again, it depends upon your definition of simultaneously, which is why I asked.