What to expect in thin or no-quote markets
In a thin market — an overnight session, a pre-holiday lull, an illiquid contract month — there may be little or no resting size at the price you want, and sometimes no fresh quote at all. Here's how follower orders behave in that moment, and what you can adjust.
How follower orders are priced
Follower mirrors go out as marketable-limit orders by default: a limit priced two ticks through the leader's fill. In a normal book that fills like a market order. In a bad one, the limit is a cap — the order cannot fill further from the leader's price than those two ticks. For the full comparison, see market vs marketable-limit orders.
What happens when it's thin
- No quote to price against, or too little size within the limit. The order may fill partially or not at all until liquidity returns. That's the limit doing its job — protecting you from a fill far from the leader's price.
- The row goes amber. While the order rests unfilled, the follower shows Catching up on the Trade Desk. The engine knows the follower is behind.
Neither is a copier fault. It's the market having nothing to trade against at your price.
What MirrorFill does about it
The engine doesn't chase. The resting order keeps working within its limit, and reconciliation deliberately skips any account with a resting order — it will never "heal" the gap at market while the original order still works. When liquidity returns, the order fills and the row goes back to Mirrored. If you flatten instead, the position settles from the actual book.
How to adjust
- Set an order expiry. On the Risk Management page, give follower orders a lifetime in seconds. An unfilled mirror is then cancelled and the missed quantity written off — deliberately never re-chased at market. See order expiry and write-offs.
- Trade the liquid month during regular hours. Most of this disappears when you copy the front month while the book is deep.
- Don't want the exposure at all? Flatten all closes every position, leader included, at market — accepting that a thin book can fill wide.
Quick answers
My follower didn't fill overnight. Why?
Most likely a marketable-limit order with no quote, or too little size within its two-tick cap. It stays working and fills when liquidity returns — or expires and is written off, if you set an order expiry.
Will the copier send a market order to catch up?
No. Reconciliation skips accounts with a resting order, and a written-off quantity is never re-chased. That is by design.