No, that is not what is happening. You actually ARE getting an immediate fill. However, the problem is your quote is slow. For example, say CL is 95.10 and you want to buy at the market. The market is actually trading 95.13 even though your broker is showing 95.10. You actually ARE getting filled where you should. The issue here is the route in which your order takes is NOT the same route your order is getting executed. Brokers, like 1245 mentioned, have to make an economic choice here. Give you fast quotes or fast execution, can't give you both. Cost too much. To get you a fast fill, it does not cost them more money. But to deliver faster quotes to you DOES cost them more, a LOT more. So retail brokers split the difference by giving you fast execution but slower quotes. I've had TOS open with T4 right next to it window by window. The fill on TOS is to the tick on what T4 is showing as the latest quote, but TOS lags. This will not be an issue for your limit orders. If you have a limit in, you WILL get the fill. So I have no idea what you are talking about missing limit orders. I don't even know how that is possible. A futures market cannot trade through your order without filling you no matter who your broker is.
Spot on Mav. I used to have a Rithmic 'tick' feed for Vision. Between the inherent issues accessing the feed from Bangkok, line quality issues, etc, what I was seeing was nothing close to what the market was at. I could tell you some weird and wonderful stories over beer that would have you in stitches. Long story short, the IB feed works just as well for my time frame.