Advice Needed - Price Improvement / Likely Fill Price

Discussion in 'Order Execution' started by Yell County, Jun 3, 2004.

  1. For equity trades:

    I have a long position and say my stock is bid at 10.01 - ask at 10.02 and I decide to enter a limit sell order at 10.01

    say my connection and response time average less than ideal and two seconds before I enter my limit sell at 10.01 the actual live bid / ask has changed to 10.02 / 10.03

    1. will I generally be filled at 10.01 or 10.02?

    2. will the answer be the same for a direct acess broker as for a broker such as Ameritrade that may sell order flow?

    3. will the answer likely be the same for listed and nasdaq both?

    Thanks for helping a new guy:D
  2. qazmax


    The answer depends on where your orders gets routed. I assume you are referring to Nasdaq stocks. Since the NYSE and AMEX operate in a time void without regard to customer needs.

    If you have a cheapo broker and they route to a Nasdaq market maker. Most of the time you will get the 10.02, unless it is a large order then the temptation will be too great for the market maker and you will get 10.01.

    If you broker uses an ECN/ATS with smart routing like ARCA or INET then you will get the 10.02 and if te order is not filled you will get 10.01 on the balance.

    If your order is sent to an ECN/ATS as "post only", "post no preference" (whatever you wanna call it) then you will get 10.02 only if that ECN is the 10.02 bid. You may not even get 10.01 unless the ECN/ATS is 10.01 bid. You may just get a bid nothing done.

  3. just have a cheapo broker with no routeing options and they do sell order flow.

    Have been trading a NYSE stock for about six weeks, 1000 at a time.

    Probably won't be trading over 3000 to 5000 at a time.

    I'll try nasdaq some time. I just like to watch a single stock everyday for a month.

    thanks for the tip
  4. If you are trading 1,000+ shares at a clip you can probably find a better broker who charges you the same or less than your current one.