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Old Feb 27th, 2011, 12:47 AM   #1
agnosia
 
 
Join Date: Feb 2011
Posts: 1
hi,

i trade crude through proshares stocks UCO and SCO. recently my limit orders at the ask are only being filled if there is a tick down and then i am getting filled at a higher price.

For example:

1. my limit order bid 5K shares x 10.50 ( current ask )
2. others are getting filled at the ask.
3. price ticks down and ask becomes 10.49
4. my order gets filled at 10.495

if the price ticks up to 10.51 my limit order never gets filled and i miss out on the move.

I've been trading this pair for 6 months and this has only started happening. My ETRADE "platinum" relationship manager has been looking into this for 2 weeks now and refuses to tell me why this has started to happen.

Do i have a case against them? Thanks in advance for your help.
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Old Feb 27th, 2011, 02:13 PM   #2
hippie
 
 
Join Date: Dec 2009
Posts: 1,079
Quote:
Quote from agnosia:

hi,

i trade crude through proshares stocks UCO and SCO. recently my limit orders at the ask are only being filled if there is a tick down and then i am getting filled at a higher price.

For example:

1. my limit order bid 5K shares x 10.50 ( current ask )
2. others are getting filled at the ask.
3. price ticks down and ask becomes 10.49
4. my order gets filled at 10.495

if the price ticks up to 10.51 my limit order never gets filled and i miss out on the move.

I've been trading this pair for 6 months and this has only started happening. My ETRADE "platinum" relationship manager has been looking into this for 2 weeks now and refuses to tell me why this has started to happen.

Do i have a case against them? Thanks in advance for your help.
Try a direct access broker like IB and see if you do any better.
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Old Feb 28th, 2011, 11:39 PM   #3
tomk96
 
 
Join Date: Feb 2010
Posts: 172
i would think it's highly unlikely they are front running you. i don't know how their platform works, but the risk/reward for front running you doesn't make much sense.

can you direct where your order gets routed? are there any default contingencies on your orders? i'm assuming there is enough volume in the market to absorb your order. if they are doing anything with your order, odds are they'd want to be taking the other side.
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Old Mar 1st, 2011, 12:26 AM   #4
rdg
 
 
Join Date: Aug 2006
Posts: 251
Quote:
Quote from tomk96:

i would think it's highly unlikely they are front running you. i don't know how their platform works, but the risk/reward for front running you doesn't make much sense.

can you direct where your order gets routed? are there any default contingencies on your orders? i'm assuming there is enough volume in the market to absorb your order. if they are doing anything with your order, odds are they'd want to be taking the other side.
What he wrote could make sense if it wasn't really front running. They receive the limit buy, buy the shares for their book, then hold them until the stock ticks up or down. If it up ticks, they keep the position for themselves. If it down ticks they give it up to the customer. It's risk free scalping.

Who knows if they would do that or could actually get away with it. I would hope not, but not much I hear about equities really surprises me anymore.
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