Is this execution time for market orders acceptable?

Discussion in 'Order Execution' started by ArcticTrader, Jul 18, 2006.

  1. ArcticTrader

    ArcticTrader Guest

    Hey there...

    I am just wondering since I am new to direct access trading, whether it is acceptable for my software platform (in this case CyberTrader) to take up to 5 seconds to fill a market order. I trade remote prop at home, so I don't know if that has anything to do with it.

    Sometimes I place a market order and I can see it placing and cancelling orders at subsequently lower (or higher) prices as it tries to "catch" the market while it's moving, usually with the result that I get filled something like 5 cents away from whatever the bid/ask was showing on my screen when I pressed the key. (Actually, I normally get filled right when the market stops moving, which is usually the exact wrong place for a fill.) This is on a relatively medium-speed stock like AAPL or MRVL, I haven't even tried it on crazy movers like GOOG (nor will I).

    Anyways, I was just wondering for those of you that trade at home, whether this is a function of my software, my broker, or the fact that I trade at home? (I have a decent high-speed connection.) Since I don't tend to scalp too much it hasn't affected me hugely, but it would be nice to be able to have truly "instant" execution... this type of thing makes it very hard to get out quickly if I pick the wrong direction...

  2. mnx


    5 secs is too long for a market order on a nasdaq stock (unless it's at the open or close in which case mkt orders to sumo have been quite slow in the past...)

    I'd try demoing another platform and see if it's any faster... it probably will be...

  3. zzzap


  4. qazmax


    It is important to understand what the broker is doing for you. Most ECNs and exchanges accept true markket orders. You will get filled very quickly as long as there is nothing wierd going on (short order, crossed market etc...). You will get filled at the market price no matter how low it is

    What it sounds like you broker's routing program is doing for you is a little smarter with not much loss in timliness. By changing your order to a limit order it allows your order to be exposed to hidden order flow and reserve orders.

    Suppose the bid is... ARCA 50.00 100 shares (5,000 reserve)

    And the next lower bid is... INET 49.85 5000 shares

    If you want to sell 1,000 shares at the market you have to know if you want to TRY and get 100 shares at 50.00 and 900 shares at 49.85 or all 1,000 shares at 50.00.

    If your broker decides to release your order as a true market order you will get 100 shares at 50.00 and 900 shares at 49.85 and it will happen almost instantly.

    If your broker converts your market order to a limit order and releases it to the market at 50.00 you will get the first 100 shares and then the reserve will fill the balance at 50.00.

    There are a lot of factors going into order routing and most of the time your broker is balancing routing options with speed. Ultimately this leads to several scenarios...

    1) The customer gets a fast fill at a good price he is happy and never mentions it.

    2) The customer gets a fast fill at an inferior price and then calls to compalin about the price.

    3) The customer gets a slow fill at a good price and calls to complain about the speed.

    4) The customer gets a slow fill at a bad price and imediately post to ET about what scum brokers are and how they need to switch to a new broker.

    Bottom line is... know how they work your orders. If you approve logically than stick with them. If not find another broker. Do not let fill prices and speed of a few trades determine you executing broker.

    It is just like sticking with a trading system. You believe it logically and you accept the bad trades with the good. Or you switch trading systems.

  5. ============

    That sounds wrong' 'normal get filled when market stops moving;''
    does that happen like 20 times in a row???. Wouldnt put up with that

    However they say Blair Hull was the slowest market maker on the floor;
    so thats fine by me , slow , but consistantly good fills.

    Only a scalper would complain about the latter;
    browser based stuff also does that 5 second stuff.

    Slow speed/bad fills needs to be changed;
    but never seen any NasdaQQQ as precise as NYSE, reguardless of Broker.:cool:

    Would want to test NYSE before I blame some one else,
  6. ArcticTrader

    ArcticTrader Guest

    I see what you're saying... my broker seems to place limit orders and then cancel/replace them on the way down/up as the stock runs away.

    I can't see how any broker can possibly justify doing this and calling it a market order, since if I wanted to place a limit order at $50.00, cancel it, then place another one at a lower price, I would do exactly that myself.

    One would think that a market order should actually be a market order, that's why I'm sending it as such!

    Anyways, there doesn't seem to be an option to send a true market order, so I guess I'll just have to deal with it or change brokers.