Yep you just need to pay attention to the levels you are doing it at (i.e. if you are buying a round dollar there tends to be reserves) DESCRIPTION: on the stock market they allow people to have hidden orders called reserves so often times at round numbers like 28 even or 28.25 or 28.50 there is a reserve or a hidden order which does not show on the book, but is still there, meaning all 5 will fill. Realistically though you can probably choose 4 ecns but divide it by 3 and you are better off for example if you want 15 you go 4 to 4 ecns times 5 as opposed to three times 5 you might end up with 20 but more than likely get a better fill, and still be missing a few of the shares you wanted
Most orders sent through a broker will automatically route out. What that means is if the order is sent on the INET ECN it will take any shares at the speciafied price available on the INET ECN then route out to other ECNs within the specified price range. Not sure about Scottrade. I know little about them, let's just say I'd be way more comfortable keeping my money at IB.
Yeah I have experienced crap like this. To the best of my knowledge only quotes on Level 1 have to be honored. Many times I have needed 5k shares and see by looking at the level 2 that if I cross 5 levels I can get the 5k I need. Only to cross the 5 price points and then find myself yelling out "267 shares? What the fuck am I supposed to to with 267 shares? put them in my fucking RRSP (IRA for you Yanks) and check back in 5 years?"
LOL so you know EXACTLY my pain......this is usually the time when the people around me have to run out of the room in fear that i might actually take a swing at someone. i dunno i tried to explain it the best way i could do you think there is some other exaplanation for this??? I noticed the multi key often times works better but alot of the time you have to underkey it into the ECNs you are trying to take or else overfill. Otherwise just estimate. The worst is when you think something is legit and send like 15k 5 ticks out of market and are supposed to fill but instead you miss, fill 3k and post 12, then the stock motors..... cause everyone sees your size.
You mentioned MFs and futures. MFs I understand. With some MFs you have to get your order in 15 min before market close. That could be the high of the day, but by the close, these days, we could easily be at low of the day 15 min later. But what problems are you having with futures?
One thing you have to keep in mind with ETF's is that they are tracking something else. For example GLD, it obviously tracks gold futures. If gold futures suddenly rocket upwards, the GLD stock/ETF may appear to have plenty of shares laying around but will suddenly move 5-10 cents and print only 3-500 shares in between. As the computers providing the quotations will adjust faster then you can execute against them. Same thing in the morning with SPY. When economic data is released at 8:30 EST they will make a sudden move and hardly print any volume as the quotations are adjusted to reflect the current market conditions.
When that happens, just replace your order with a much inferior limit price. Once they see you are gone, or think you are bluffing, the price comes down precipitously as they seek to get out. You may end up getting a better price.