I have tried to trade QQQ in the past with a regular online broker through the Amex and was disappointed. Now I am with JPR Capital and am trying to trade QQQ on Island. But I seem to have a very hard time getting a fair price. The "slippage" is more than I was expecting, and I can't figure out why. For instance, lets say I buy QQQ at 11 AM and sell it at noon. If the underlying NDX index went up 0.50% in this time, I don't make anything close to that. I'm making anywhere from 0.20% to 0.40%. Why is this??? Even if I buy on the ask and sell on the bid, and basically forfeit the spread, that doesn't account for such a huge difference. The spread is only 3 to 4 cents on a $48 stock, that should be less than 0.10%. So why is it that I often seem to lsoe a lot more than the 0.10% accounted for by the spread. I realize I could probably get better pricing by enterng a bid and waiting for the market to fall enough so that the trade gets executed, and sell in a similar fashion. But if I do that I might miss the trade altogether if the price keeps moving away from my entry point. And I do not want to chase the price as it keeps going upward. I am willing to lose the 3 or 4 cents spread of about 0.10% on my trade if I can get in exactly when I want and out when I want. And I am not trying to chase momentum, I am willing to buy the QQQ as it drifts gradually lower. But I cannot afford to give away 0.20% or 0.30% slippage on the trade in addition to the broker commissions. Does anyone have any advice here? How can I buy 2000 shares of QQQ at exactly 11 AM, sell them at exactly 12 noon, and not get severely burned on the executed prices? Is there something I really need to know here?