Execution speed Limit order vs. market order

Discussion in 'Order Execution' started by max21ge, Mar 9, 2022.

  1. 2rosy

    2rosy

    What exchange? Are you asking the execution on the exchange itself after the order has been generated, passed through the broker, an onto exchange?

    If the exchange is good, it might have a spec or metrics or even tell you. If the exchange sucks nothing prevents them from writing inefficient software
     
    #11     Mar 9, 2022
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  2. rb7

    rb7

    Fyi, when I send market orders to the CME, through IB, I'm getting an average of 0.25 secs, between the time the order is sent and the time I receive the fill. Almost never above 0.3 secs.
     
    #12     Mar 9, 2022
    murray t turtle and max21ge like this.
  3. There might be a very small difference in the execution of these orders on the exchange computer, but as others have said this is a rounding error in the context of your total slippage. If I was programming an exchange computer (which I have never done!) the obvious logic would be to convert a market order into a limit order with some arbitrary offset, so I would imagine the market order is slightly slower, but we're talking like 3 to 4 lines of C and maybe a few dozen clock cycles at most....

    This is guesswork on my part though.

    Rob
     
    #13     Mar 9, 2022
    max21ge likes this.