Limit orders in fast markets

I use limit orders with interactive brokers. I am usually flat during 10 AM news because supposedly limit orders do not work in fast markets. Todays 5 min bar on the NQ was 20+ points. Does anyone use limit orders in fast markets and if so how was your fill at this time period today??? THANKS

 

limit orders do work in fast markets. but they work as advertised (you know, the fine prints).
execution is firt placed, first served, so you may miss the fill altogether if too many people did strike your price level before you..

in a fast market, if the trade is good for me, I place a limit order way out of the market, just to be filled (and not end up missing totally the profit because I would try to pinpoint the right level). if it is against me, I squeeze my rear end (sorry for the picture) and just wait one minute or two, then place the trade (loss or not).
This is specially true when the emini moves but nothing else (not the cash, and not the ES for instance). It happens, and I don't care the reason.

As for known scheduled reports, I am NEVER, I repeat NEVER in the market at these times. Unless you move size and you hold overnight, it is really stupid to be in a position when it happens. Pros know that, Software is confused by it (bids disappearing for instance) it's just pure gambling (in the losing sense).
Maybe you win, probably you don't.

but beside these, you can't avoid fast markets. Depending on your risk tolerance (based on your capitalization), if it is too fast, you should get out (place a break even limit order or something).

my 2 cents
tntneo

 

TntNeo,
Have you ever placed a limit order way out of the range, say bid/last/ask are 1430/1435/1440, and you place a buy limit at 1455 ? I wonder if your limit order becomes a market order if the price, in that moment, does not go up to 1455, and you could get a fill at for example 1445 ?

 

dojibear, sure it is filled (depending on other people sending limit orders too in front of you). the point is (guessing your question) it's a priority game, so you are filled at the best price (maybe 45 or 46 as you suggested and at maximum 55 max).. eventually you won't get filled if it is really a fast market... with a normal market, you are filled right away at 40 if volume is available.

tntneo

 

Thanks TntNeo.
I forgot that a limit order is "buy me at best price up to the limit of .... ", and not "buy me at exactly this price of ...." .

 

THANKS Tntneo for the reply. BY the way was this execution issue one of the reason you left IB for Patsystems??
I love low commiosions but best execution by broker now becoming my #1 trading priority. No fills on winning trades(not executed) more expensive than saving $2 a contract.

 

Tntneo- let me make my question less vague. For limit orders are IB and Patsystems equal systems or is one better than the other?? THANKS

 

I know only IB. It works very well even in fast markets. I remember stressing very much the IB system with very high speed scalping of NQ without any problem whatsoever (not fast markets obviously).

But again, I can't compare with PATS.
I remember members saying JTrader is better but I don't understand how they can really say that. I think only ONE was able to really trade with the 2 platforms on the same machine at the same time. That's not statistically good enough.
My opinion is that you can trade at a high level with both and then the price usually is better at IB.

tntneo

PS : I switched very briefly to JTrader and it was for the API. But I am back at IB already. This is because my experience with IB is very good despite those complaining with customers support. For a pro, IB is just very good (listed and futures.. I don't do naz).
I keep editing this message I could not see execution advantage between PATS and IB.

 

tntneo

why not place a market order - i know it gets converted to a limit order - but since you indicated you just want to get on board when the market moves - have you seen or tried to see the difference between placing and limit and a market order

 

you are right stevet. I would place sometimes a market order, but we are talking fast markets.
Depending on the pattern of the fast market I would either place a market or limit (usually limit).

The difference is if I see the fast market spiking up AND down. then you have no idea at what level the market order will be executer. if it spiking only to my advantage, then eventually I take the risk of market. but it's not that difficult to send a limit (wide enough) with IB's hotkeys, it's pretty fast.

tntneo