Limit order fills

Discussion in 'Automated Trading' started by promagma, Mar 22, 2007.

  1. promagma


    I have an auto system using market orders. Stocks are screened for liquidity. It works fine except 10% of the time when the stock is moving fast, the spread widens, and you are filled 0.5 or even 1% off the last price. So I am converting to limit orders. Some newbie questions ..... assuming a stock with spread at 30.00 and 30.05 .... is this correct ....

    - Slow moving market, you place a sell limit at 29.95, you will get filled instantly at 30.00

    - Fast market, you place a sell limit at 29.95, you will probably get filled somewhere between 29.95 and 30.00, unless the stock drops below this range before your order reaches the ECN (latency)
  2. TraDaToR



    Most of the time , you will sure be filled at the bid.

    I'm not a stock trader, but I think it all depends of the size of the order( it would be like that on futures ). If you sell under the bid, you will get filled at the current bid, and if your order is bigger it will reach bid - 1, bid - 2 ... and reach your limit.

    I am not sure. I wait for other replies.
  3. promagma


    Ok for orders larger than the bid size it would sweep the books .... just making sure that placing a sell limit under the bid isn't an invitation to get screwed (vs. a market order).