I have traded more than 1000 roundturns in the ES over the past year or two on Thinkorswim and i think i only saw my order getting filled without price moving past my limit order only once or twice. But i recently opened another account and traded with ritimic; i am almost sure that i got a fill without ES moving above my price (on short side) within my first hand full of trades. As far as i know, in both cases there is no front running etc; so did i really get an better/easier fill by pure luck or is trading on ritimic/ninja better than on tos (do the queue they line up my order in has a better chance of getting filled than the one tos send them to? or are they all going directly to a single place?) thanks -kcgoogler
Pure luck most likely. Not talking Rithmic down here, they do a great joband fast. But at the end, your order is on the exchange , in the queue or orders and Rithmic has no say in when it gets filled. What could be is not that RIthmic did a good job, but that the other providers did a crap job and entered your order only when the price came close, so for the exchange you are furhter on the end of the queue. No technology provider has a say in the order in which the exchange fills orders. Once the exchange has it.
let's say you have a limit order in to buy at 1050.00 and the current bid is 1050.25 and the ask is 1050.50. You won't get filled until the bid drops down through your limit price to 1049.75 and the ask drops to your limit of 1050.00. Is that what you mean by price moving past your limit? If so, that is normal.
No, that is not normal. I have traded the ES for over 5 years with nothing but limit orders. If I have a resting limit order @1050, I am in the cue @1050. Price does not have to completely run through 1050 in order for me to get filled. Now, it may be that a large order comes in and takes me and everybody behind out as well, but that is not a requirement in order for me to get filled.
You could get lucky though and have a market sell order come in hit your bid with the ask at 1050.25 and the bid at 1050.00 As Netecture said, however, if TOS holds your order on their server and does not immediately transmit it through to the exchange you would be further down in the order que and have less chance of having your buy limit order filled on the bid if a market order to sell comes in and hits the bid when the bid has moved down to your limit at 1050.00. In that case, depending on where you are in the que and the size of the orders you might get your limit buy order filled on the bid without the bid dropping through your limit. That can happen and you have a better chance of it happening if you are near the top of the que. I know TOS holds stop orders on their server, and I am not sure what the trigger is that causes them to send them on to the exchange. I don't know how they handle limit orders.
Yes, you are right of course, trendy, price does not have to run through 1050 for you to get filled, but there does have to be someone willing to sell at 1050. I was referring to the normal course of events where generally speaking you will get your limit buy orders filled on the ask and your limit sell orders filled on the bid. And in those cases, which I think are more common, the bid will drop through your limit. I have a hunch that that is what the OP was referring to. If you are a resting order early into the cue, you do have a good chance of getting a fill on the bid if a marketable sell order comes in. You apparently have a broker that does a good job of getting you early into the que. I am thinking that maybe TOS is holding these limit orders on their server a little too long. Do you happen to know whether they transmit them directly to the exchange or hold them. I do know they hold stop orders.
yes; that is exactly my question. Is one of them getting me into the queue in a slightly better position than the other? And my orders are not too far away from the market usually within a couple of points from where it currently trades (or even just a couple ticks away). BTW, i was also trying to do the same comparison between fills using NinjaTrader vs Rithimic. And after talking to someone at rithimic, it did not appear that between Ninja and Rithimic, there is any difference. They are both using the same backend (i was told). So have currently settled with ninja as it suits my needs just a tad better than rithimic. thanks for all the responses. -kcgoogler
Here's what i am talking about; loving NT now. http://chaitanya-garikiparthi.blogspot.com/2011/01/ninja-trader-mirus-rocks.html
some day i will figure out why exactly fills on mirus/nt seem better than on tos. But this one is pure beauty.. http://chaitanya-garikiparthi.blogspot.com/2011/07/now-this-is-beauty.html