limit order execution question

Discussion in 'Order Execution' started by efh1108, Feb 22, 2011.

  1. efh1108


    I understand that some sites are faster at executing market orders. What I want to know is if there are some sites that fill limit orders more frequently than others and/or faster? I thought that depended on the market makers, but someone said it depended on the online broker.
  2. olias


    what products are you trading? forex, stocks, futures?
  3. efh1108


    I daytrade stocks and my limit orders never get filled.
  4. luisHK


    I opened an account with IB recently and also trade through one Etrade account. So far IB fills look better than Etrade's.
  5. What stocks and how do you execute them?
  6. luisHK


    Problem might be slippage than, and if the broker is not good at getting fills with limit orders, how will be the fills with market orders ?
  7. The above is SUICIDAL advice for stocks.

    You MUST use limit orders 99% of the time.

    With a Limit Order...
    Your interests and your broker's interests are aligned...
    You both only make money if there is an execution at Limit Price.

    That said, many brokers are incompetent or dishonest...
    And want to trick you into using Market Orders...
    So they can rape you with a smile.

    The quality of Limit Order executions depends on 2 things:

    (1) Where your order is sent...
    You want the primary market (usually NYSE)...
    Very few people at retail are playing the rebate game.

    (2) Whether your broker has a big internal flow...
    That he can execute against and get fills.

    I fill about 1,000 Limit Orders/day...
    I doubt that anyone will get you more fills than IB.
  8. Depending on the thickness of the stock, primary (NYSE) can be the absolute WORST POSSIBLE place to post a limit... if it's thin or medium thickness NYSE is good, thicker the more it becomes horrible.
  9. Good point...
    I trade mostly illiquid stocks with 100,000/day volume or less...
    So I want the primary market and that's where IB sends them...
    Today 78% of my executions were NYSE.
  10. drp7804


    That's an interesting point, NYOB... I hadn't thought of that. Each exchange/ECN will have it's own queue length for a given price of a given stock, as well as queue depletion rate due to fills or cancellations (ie shares depleted per unit time... I guess pick your favorite lookback period). So if you want to place a limit order, you should give strong consideration to the line with the minimum current length / depletion rate (as in length divided by depletion rate)... if the depletion rate holds vs. the other ECNs, you're likely to get filled there first. It's just like checking-out at WalMart. :)
    #10     Feb 28, 2011