Overnight session routing for good-till-cancelled, limit, and market orders

Overnight rest is a per-market decision

Participation in the overnight session is a routing problem first. Depth, accepted order types, and opening hours can differ from the primary day session, so protection that rests in one contract may not rest in another.

Whether to rest stop protection in the electronic overnight session is a per-market decision. Historically thin overnight books could trigger stops in ways that later volume growth made less characteristic of most contracts. Meat futures were treated as an exception whose overnight books had not become as fluid as other electronic overnight sessions.

Confirm good-till-cancelled eligibility first

A good-till-cancelled instruction remains eligible across successive sessions until filled or cancelled, but only when the venue accepts multi-day rest and the contract is open.

Currency futures routed entirely onto the electronic platform keep a good-till-cancelled order working through overnight hours whenever the market is open.

Electronic soft-commodity contracts did not accept good-till-cancelled instructions, so a working order had to be resubmitted each day. That overnight session opened at 1:30 a.m. Eastern.

After the open-outcry pit closed, good-till-cancelled stops could no longer be parked in the pit.

Then choose a limited or marketable form

A limit order caps the worst acceptable price so a fill cannot chase through a wide or unstable book. A market order takes available liquidity immediately, which a venue may reject or fill poorly when the implied price sits outside a permitted range or the book is thin.

Overnight options on several futures complexes existed in principle, but thin night-session books produced wide bid-ask spreads. A resting limit at an acceptable price was preferred over a market order or chasing prints. The bid-ask spread is an implementation cost at that moment, not a forecast.

An electronic matching engine may reject a market order when the implied fill would lie outside a predetermined range. In option books with intermittent depth, limit orders were treated as required. Fast markets were associated with wider bid-ask spreads and larger fill slippage.

Account for stop-with-limit trade-through

Where the matching engine would not accept an unpriced stop, the available substitute was a stop with a limit. That instruction converts into a limited order at a stated worst price. If the market trades through that cap, no residual stop remains working.

Slippage here is the gap between the intended trigger or limit and the actual fill when depth is thin, the book gaps, or a stop converts without residual protection.

Option depth and one-sided spread risk

Without an electronic back-end that could accept a multi-leg option spread as one order, executing legs separately left the trader exposed to a fill on only one side. That one-sided remainder is the risk of legging a spread.