did I get screwed?

Discussion in 'Order Execution' started by doublet83, Mar 14, 2011.

  1. So today, I need to sell my 35k position in COCO at the close. I see using ameritrade's quotescope that there are around 30k shares of COCO at the bid at 4.92. So I put in a limit order to sell 15k shares at the bid. I see all this volume take place at 4.92 ahead of me, and only 5k of my order gets filled. The stock then moves to a 4.90/4.91 bid ask, and I'm forced to sell the rest of my position at 4.90. Does anyone have a good idea of what happened here?
  2. One obvious possibility ... other folks sold a total of approx 25k shares at 4.92 before you did. And then there was no further volume bid at that level ...
  3. You got HFTed.
  4. screwed? hardly. just the way things work these days......to make you feel better, this happens to me 50 times a day....
  5. d08


    So why didn't you do a MOC (Market-On-Close) order instead? You would have gotten 4.91 which would've still been better. I'm assuming you were talking about dollar value, not share number (4.92*35000=$172k USD).
  6. It seems highly unlikely that by coincidence, in the second right before I sent my order, others just happened to trade 20k shares at virtually the same time as me, and all selling at the bid, given that in this stock at the time, the typical volume was around 500 shares a second.

    It certainly did feel like i got front-run by HFTs, tho I don't know how they can do this given that I was just trying to get filled at the bid. (BTW it was 35k shares, not dollar value). I've read before that Ameritrade is not a direct access broker, and can result in crappy execution, although I don't really understand the implications of being direct access or non-direct access. Can this be the case here? Should I just use IB in the future?

    I do feel like this happens to be on multiple occasions when I trade in size, and on illiquid names, where i see the market move away from me as soon as I place my order. This is an extreme example tho, since I was just trying to get filled at the bid, which seemed to have a lot of shares there.

    Also, I'm not sure how to do a MOC order with Ameritrade, and I've never done it before so honestly don't know what type of execution I would have gotten on that one in this case, given that my order (35k, would have been a large size of the closing cross, about 30k it seems on that day).
  7. getting the research from the broker websites is fine..but do i really need to do 50k in trading with them just to get access?
  8. oops wrong thread
  9. serious replies an how to get better execution in the future are appreciated, lol
  10. kipster


    go professional/prop. probably your best bet preventing being end of the line. lol
    #10     Mar 16, 2011