Try as I may, I always seem to end up getting the bad end of the deal on the spread. Why is this and what can be done about it? Is it because of some type of smart order type that other traders have on, or a HFT phenomena. Thanks in advance for any help.
It depends on your trading style and the market. Often the trades that are easiest to do have the worst outcome. If the trade is any good, you will usually have to pay up to get it done. Think about it from the viewpoint of the person you are trading with. Why is he doing the trade?
Spreads are much narrower than they used to be, but of course they'll still be wider in thinly traded or risky instruments.
There is not much you can do about that. The adverse selection you experience with you limit order is built into the fabric of the current market structure. You pay this cost to the traders (mostly large broker dealers, market makers, specialists and floor traders) that are allowed jump the queue (by internalizing or subpennying). Think of it as a cost of doing business, unless you are one of the above in which case it is your business.