How Market Conditions Affect Orders and Fills
How Market Conditions Affect Orders & Fills Market conditions change how orders behave.
Published
Topic
Orders & Positions
Market conditions change how orders behave. Depending on how active a market is at the moment you trade, you may see an order fill away from the price you expected, a stop order that has not triggered even though price appears to have passed your level, a new position showing a small loss immediately after it fills, or an order rejected before it reaches the exchange.
These outcomes are normal characteristics of futures markets rather than platform errors. This page explains what causes them.
Table of Contents
Understanding the Market
How Your Orders Fill
Order Behavior in Quiet Markets
When to raise a support ticket
Understanding the Market
Liquidity describes how easily a contract can be bought or sold. A liquid market has many active buyers and sellers at any moment. A less liquid market has fewer.
Bid is the highest price buyers are currently willing to pay. Ask is the lowest price sellers are currently willing to accept. You buy at the ask and sell at the bid.
Spread is the difference between the bid and the ask. In heavily traded markets like ES or NQ, the spread is usually one tick and stays there. In less active markets the spread can be several ticks wide and can change quickly.
Market depth is the number of contracts available at each individual price level. Depth is visible in the SuperDOM and other Level II displays. A market can have a narrow spread and still have very little depth behind it.
Liquidity, spread, and depth are not fixed properties of a product. The same contract can be highly liquid during peak hours and much thinner overnight.
Why the Chart Price Is Not the Price You Trade
Charts plot the last traded price by default. Orders execute against the current bid and ask.
In an active market these are nearly the same, so the distinction rarely matters. In a quieter market, the last trade may have happened minutes ago while the bid and ask have moved since. Your chart can show one price while the market you can actually trade against sits somewhere else.
This is why an order can fill at a price that does not appear on your chart, and why a chart can look like it never reached a level that the bid or ask passed through.
Why Your Position Can Show a Loss Immediately
A newly opened position often shows a small unrealized loss the moment it fills. This is expected and does not mean anything went wrong with your order. Unrealized P&L is calculated against the price you could exit at right now, not against the price you entered at. If you are long, that exit price is the bid. If you are short, it is the ask.
When you buy, you buy at the ask. Your position is then valued against the bid, which is lower. The difference equals the spread.
Example: A market shows a bid of 4500.00 and an ask of 4500.25. You buy at the ask, 4500.25. Your position is immediately valued against the bid of 4500.00, so it displays a loss of one tick. Nothing has moved. You are seeing the spread.
The wider the spread, the larger this initial figure appears. In a market with a five tick spread, a new position displays a five tick loss on entry.
How Your Orders Fill
How Fills Work When Depth Is Limited
A market order fills against the resting orders available in the market, starting at the best price and working through each level until the full quantity is filled.
If a single price level does not have enough contracts to fill your order, the remainder fills at the next available price, and so on. This is sometimes described as walking the book.
Example: You send a market order to sell 6 contracts into the following bids:
Price | Contracts available |
|---|---|
475.00 | 1 |
474.75 | 1 |
474.25 | 2 |
473.75 | 1 |
473.25 | 2 |
The order fills 1 at 475.00, 1 at 474.75, 2 at 474.25, 1 at 473.75, and the final contract at 473.25. Your last contract filled 1.75 below the best bid, and your average fill price is below the price you saw when you sent the order.
The same order in a market with 50 contracts resting at 475.00 would have filled entirely at 475.00. The order behaved identically in both cases. The available depth was different.
Note: Depth displays update continuously. Resting orders can be canceled or filled by other participants in the time between when you see them and when your order arrives.
Slippage and Partial Fills
Slippage is the difference between the price you expected and the price your order actually filled at. It applies to order types that fill at the best available price, including market orders and stop market orders.
Partial fills occur when only part of your order fills, or when different portions of it fill at different prices.
Both come from the same cause described above: limited quantity at each price level. Seeing several fill prices for a single order, or an average fill price different from the price you clicked, is expected behavior.
Slippage tends to be larger when spreads are wide, when depth is thin, and when prices are moving quickly. It can occur in either direction. An order can also fill better than expected.
For definitions of each order type, please visit: Futures Order Types
Order Behavior in Quiet Markets
When Markets Are Least Active
Liquidity varies by product and by time. A market can be very active during one part of the day and much thinner during another.
By session: Overnight and pre-open periods, the daily maintenance break, holidays, and shortened trading days all tend to have fewer participants and wider spreads. Activity typically concentrates around the regular trading hours of the product's underlying market.
By product: Newly listed contracts have less established activity than long-standing products. Contract months beyond the front month are typically much thinner than the front month.
Around events: Spreads often widen in the moments before and after major economic releases, and around news events specific to a product or its underlying asset.
For session times by product, please visit: Futures Trading Hours
For determining which contract month is currently the most active, please visit: Contract Rollovers & Expirations
How Stop Orders Behave in Quiet Markets
Stop orders on futures are triggered by traded prices. A stop order activates when a trade occurs at or through your stop price.
In active markets, trades occur constantly, so a stop triggers essentially as soon as price reaches your level. This is the normal case and it is how stop orders behave the overwhelming majority of the time.
In a very quiet market, price can move without any trade occurring. Buyers and sellers can cancel their resting orders, which moves the bid and ask, even though no transaction took place. If no trade occurs at your stop price, the stop has not yet been triggered.
Example: You are long with a sell stop at 210.00. The bid is 211.00. Buyers cancel their orders and the best bid drops to 208.75. No trade occurred at or below 210.00. Your stop remains working and has not triggered, because the traded price never reached your level.
Once a trade does occur at or through your stop price, the stop triggers and is submitted as a market order, filling at the best price available at that moment.
Two related points are worth understanding:
A stop triggering does not guarantee a fill at your stop price. Once triggered, it becomes a market order and fills against whatever depth is available.
A trade printing at your stop price does not mean the bid and ask are near that level. In a thin market, your fill can be some distance from your stop price even when the stop triggered exactly as designed.
Why Limit Orders Can Go Unfilled
A limit order can remain unfilled even when the market appears to trade at your price.
Orders at each price level are filled in the sequence they were received. If there are 40 contracts ahead of yours at your price and only 15 trade, your order is not reached. Price then moves away and your order remains working.
This is expected behavior and is more common in markets where the same price level is revisited only briefly, both active and quieter ones.
Order Rejections in Fast or Wide Markets
Exchanges enforce price limits on how far from the current market an order can be priced. An order priced outside that range is rejected before it reaches the order book.
When spreads are wide or prices are moving quickly, the acceptable range moves with the market, so an order that would have been accepted a moment earlier may be rejected. A rejection of this kind is the exchange declining the order, not a platform failure.
For more info, please visit: Order Price is Outside Bands
Margin and Liquidation During Wide Markets
Your margin requirement is evaluated against the current value of your position, which updates as the bid and ask move. No trade needs to occur for your position's value to change.
Stop orders, as described above, require a trade. In most markets this difference is not noticeable. In a very quiet market, it means an account can reach a margin violation while a stop order is still working and has not yet triggered.
If a position is liquidated, any working orders on it, including your stop loss, are canceled as part of closing the position. A stop that was canceled during a liquidation was canceled because the position had already been closed.
For the full policy and liquidation process, please visit: Margin Requirements at KGI Crusoe
When to raise a support ticket
The behaviors described on this page are normal market mechanics. In particular, these are expected:
A fill price different from the price you clicked or the price shown on your chart.
Multiple fill prices for a single order.
A new position showing a loss equal to the spread.
A stop order that has not triggered when no trade has occurred at your stop price.
A limit order left unfilled after price touched your level.
An order rejected for being priced too far from the current market.
Contact your account provider if you see something outside of these, such as:
An order that does not appear in your platform after being submitted.
A fill on an order you did not place.
A position quantity that does not match your fills.
A platform disconnect during order entry.
A fill price that does not correspond to any price the market traded at.
Having your order ID and the approximate time of the order available may be required to help support review the activity on your account.