Fill Performance & Trading Size

Discussion in 'Trading' started by noutlaw, Oct 2, 2007.

  1. noutlaw


    Hello -

    We have built a trading system for trading and we're experiencing some strange market behavior on fills. We buy stocks in larger lots - (7500-20000) shares. What's strange is that with similar bid/ask volumes (1000/1000) sometimes when we enter an order it immediately fills (30 secs or less) and then other times we get in line on Nasdaq/Island... as an example today, the fill times were in the 20+ minute time frames... today we were doing testing with 7000 shares (LVLT)... We have experienced days over the summer where things are "popping" - however in the last several weeks the trade fill time is taking way too long....

    I'm sort of thinking it has to do with the block sizes being traded - but not sure...


    Broker: TDAmeritrade - using their API's for trading.:)