I notice Interactive Broker market data is different than my other broker. Especially bid / ask values.
Even if the bid did move - the order would ship under linkage - unless of course all the exchanges moved at one. NOT LIKELY.
If you place an order to go Long at the Bid, then your put into a cue, all the orders before you have to get filled first, by people selling at Market ie the BID to you. The Bid inbetween, is just where someone is trying to buy a position
If you placed an order to sell on the bid and you believe the market moved - but a better bid exists on another exchange. Your broker owes you a fill. There are some exceptions which relate to order modifiers. If it was a simple limit to sell for 10 or less - they owe you a fill
This was with IB using Smart routing. I think what *might* be happening is this. When I place a limit order, it might be the case that the order is advertised and not immediately / directly matched. There is a good reason for doing this and that is that I could get a better offer than my limit order. Sometimes if I place a limit order to sell at the bid and the spread is more than a couple cents, I can often get filled a cent or two higher than my limit. That's the only reason, as far as I can see, for why the order would not immediately execute. I often check the size on the bid and I have literally seen cases where hundreds of orders disappear the moment my limit order is submitted. On other occasions when trading the VIX, I have placed an order at mid price between bid and ask and suddenly I'll be the first offer and have thousands of contracts behind me within about half a minute. I'm often surprised at how many offers can be changed by 1 contract.
Price improvement and not get filled can be vastly different issues. The option exchanges are all linked so a bid going away would mean your order would ship to another exchange. VIX and SPX are single list hybrid pits. So they are a mix of electronic execution and physical brokers with a trading crowd. No smart routing if there is only one possible destination. The quality of the screen markets is sloppy at best, but this is where a good broker really earns their money. If your order was sent electronically you would get less frequent price improvement. To your point about price improvement - you should experience a better market than the screen frequently. No broker would disclose size to a crowd without first getting a market. So if they're fading you on a one lot your broker is doing a bang up job. So the fade is unacceptable, but it does happen. A physical broker entering the crowd would always look to improve the market. The whole world assumes in single list markets the real market is not the screen market. If your limit was to sell at say $10 and they are actually going to a crowd a good broker would look to improve the market. Otherwise who needs them. If the market was .40 cents wide they wouldn't offer them at $10. They might start at $10.20 and get the crowd to compete and he might get price improved, but the crowd doesn't know that. You should get competitive treatment for your order. Ask anyone on this board knows about VIX and SPX fills and they"ll tell you doubt the screen markets and get a broker who defends your order. It almost sounds like you are saying I get shit service, but that is okay because I get occasional price improvement. Your broker is doing a bang up job
For institutional traders (large quantity) HFT front-run bid orders on BATS. To avoid, use limit orders < bid price, allOrNone.
In addition to what the other posters said, there maybe two additional possibilities: 1. A rapid changes in the underlying will instantly change the bid/ask and your offer may just be coincidental. 2. If your option is thinly traded, often the bid and ask sizes are very limited so if your lot exceeds the bid lot, it won't get fill. Just this morning I only got a fill after I reduced my lot size. Right after that, the bid ask changed. Since the underlying price did not change I assumed I moved the market.
1. That's true, but in the cases I was looking at, the underlying was stable. 2. I've seen this when trading one lots many times. Most recent example was on DLTR before earnings.