In terms of getting a decent volume rather than just a good price, what are the best techniques to use? So far I have considered using MTL orders, with IB. These seem to get the best priced shares available, then submits a limit order (I cancel out the limit order and then repeat with another MTL). Market orders seem to somtimes fill at bad prices and the number of available stocks seems to flicker about too much to place limit orders at a good price. Unfortunately, MTL orders are unavailable for some stocks. I read about product to help with fills, though it seems complex and institutional: http://www.thetradenews.com/electronic-trading/algorithmic-trading/797 Any other suggestions are very welcome.