Constructing executable futures orders with market, limit, and fill or kill

Price mode, duration, and a venue check

A futures ticket still has to be written as an instruction the venue can execute. The archive describes three price modes used after a trading decision is in hand, a default day lifetime unless the order is designated good till canceled, and a check against exchange guidelines because not every exchange accepts every order type.

A market order is the usual instruction after a decision to open or close has already been made. Construction of the ticket then chooses how that decision is priced, how long it may rest, and whether the chosen type is accepted at the venue.

Choose a price mode

A market order is an instruction to buy or sell immediately at the best price available when the order reaches the venue. In the archive workflow it is executed at the best available price when it reaches the trading pit.

A limit order is an instruction to buy or sell only at a named price. Buy limits sit below the market and sell limits sit above. A print at that designated price does not by itself produce a fill.

A fill or kill order is an immediate attempt at a specified price. In the archive workflow the floor broker bids or offers it three times and then reports either a fill or an unable. If it cannot be executed, it is returned unfilled.

Attach a duration

Unless an order is designated good till canceled, it is a day order. A day order expires at the end of the current session if it is not filled or canceled earlier.

Good till canceled is a duration flag used with a limit or stop so the order keeps working until fill, cancel, or contract expiry. If that flag is not attached, the default lifetime remains the day order.

Check the venue before the ticket is sent

Not every exchange accepts every order type. The constructed instruction must be checked against exchange guidelines before it is sent.

When another ticket becomes a market order

A stop order is a trigger placed on the far side of the market. Once its stop price is touched, the stop is elected and treated as a market order to be filled at the best possible price.

A market-if-touched order is a trigger placed on the near side of the market. It is placed the opposite way from a stop: buy market-if-touched orders sit below the market and sell market-if-touched orders sit above. If the named price is touched or passed, it becomes a market order.