I've testing my automated program to now to limit orders when certain conditions are met. For trial I'm trading JAVA, it has a bid size of 5000 and an ask size of 5000 I have placed 3 limit orders for 100 shares at the current bid and held each for 1 min. All 3 didn't get filled. I hear that it is a FIFO policy first in first out. in my situation is it very difficult to get filled since I am only holding the order for 1 min? Thanks
Which venue did your order get routed to? Retail brokers like Schwab, Ameritrade, and E*Trade will often send your order to some backwater exchange like CSE where you'll rarely get a fill if you try to buy at the bid/sell at the ask, even on a 1-penny-spread stock.
As I look at JAVA right now there are 322300 shares on the bid on NSDQ, 158600 on BATS, 145200 on ARCA, 67600 on EDGX, 47700 on EDGA, 8000 on BTRD, 195800 on ISE, 13500 on PHS, 900 on CSE and 500 on market maker PERT. Whatever venue you bid on, you go to the back of the line. You'll have to wait in line and get filled as it trades through all the size or take the offer to get long. There are so many programs trading JAVA, though, that a lot of the size is fake and gets pulled before it trades. In that case, you might get filled on the bid, but that usually will mean the bid is now the offer, since the programs tend to move in unison.