market or limit orders for fast moves after the opening bell?

Discussion in 'Order Execution' started by brynno, Feb 17, 2010.

  1. brynno


    i only post occasionally, usually when i'm in a real fix such as now

    I¡¯ve recently been brought down to earth using IB papertrading as I¡¯ve realised that market orders can NOT be used just as a stock is about to fall/rise very fast, because by the time they¡¯re executed the whole thing is usually over. On the other hand, if I use a limit order I rarely get filled at all. This morning for instance I tried to enter AMMD with a market order at about 18.20.. a full 2 minutes later I was still waiting, and the stock was around 18.40, just around about where I was supposed to be getting out! (is this normal? Please tell me it isn¡¯t!) Unbelievably frustrating of course, as my ¡°system¡± tells me with pretty good reliability when and where these moves are going to occur, but since they are mostly within 30 minutes of the open when the market is at its most chaotic, and often only take a few seconds, I appear to have essentially no chance of profiting from them in practice.

    So do you use market or limit orders? or what?

    Do you accept that it¡¯s not possible to take advantage of sudden moves of, say, 1% in 30 seconds, and instead aim for entries that are setting themselves up slowly enough to give you time to get in?

    Or could it simply be that IB¡¯s fills are a lot faster in real accounts than papertrading accounts?

    somebody please put my mind at rest as I¡¯m starting to think that I¡¯ve wasted the last 2 years preparing in theory to do something that¡¯s impossible in practice

    thanks in advance,

  2. i trade futures and capturing this move in a very liquid asset is very possible but i would feel much safer being on the train before it left the station.

    the biggest problem is that your "one percent move" might stop at 0.77% and never return
  3. brynno


    thanks for that reply
    would it be fair to say that average daily volume is a fair indicator of liquidity? any other factors i'll need to bear in mind? For some time now I've been hunting for something with the potential to deny me success and this issue of slow fills appears to be it.
    All of my stocks have an average volume of at least a million or so shares a day in any case, yet time and time again i'm missing the big moves in my paper trading - it's taking anyway from 10 seconds to 2 minutes or 1000 shares to go through. I've been told by some that my paper trading platform (interactive brokers) is slower than the real thing since as a paper trader i'm obviously very low priority. yet others say that since my orders aren't getting sent to the exchange, the speed is not related to the real thing in any way, and in fact is likely to be FASTER.
    does anyone have any thoughts, please.
    anyone else in my position still paper trading and not knowing whether or not your strategy can work simply because you don't know whether you'll get filled in time??
  4. FredBloggs

    FredBloggs Guest

    get a new broker.

    market orders should ALWAYS be filled instantly (assuming there is someone on the other side). thats the whole idea of a market order. 'fill me at what ever price the market is, NOW'.

    if you wait 2 mins for a fill at market as you say then you are getting raped.

    as for which order type, determine the worst level you feel is acceptable (still offers good risk/reward) and enter a limit at that price. if you enter the order before that level is reached, you should get price improvement at the current market price. if youre too slow, you will have to wait/hope for a correction. beware that some exchanges have bands between current price and acceptable limit prices.
  5. totally agree.

    get a new broker. There are brokers out there who won't rape you as blatantly as your current one.

    2 minutes on a market order? in this day and age?

    crooks, rapists!
  6. brynno


    thanks but i'd better reconfirm: these are paper trades, not the real thing; 2 minutes was the longest it has taken, usually more like 10-20 seconds. (still ridiculous of course if it were real money!). I've nearly always seen only positive feedback from interactive brokers users, especially regarding execution speed, so i'm assuming that these delays are limited to the paper trading platform. That would make sense, wouldn't it, only it's important enough that i'm worried sick about it especially as i've read elsewhere that papertrading platforms are usually a lot FASTER than "real money" platforms. that's what i'm confused about. so my real question then is, is it possible that my paper fills are many many times slower that real ones, in other words can i expect to be filled more or less instantly when i go live, assuming i'm trading liquid stocks (more than a million shares a day)?

    are there any interactive brokers users who can clear this up?

  7. Brynno,

    Limit orders are faster than market orders.

    Don't use market orders on a NYSE issue unless you want your ass handed back to you on a plate.

    Lastly, try placing your limit three cents above or below the inside bid/ask. This will usually help in a fast market and still fill you on the current inside price unless its moving so fast that it still gets away from. In a case like that, it may be best to wait anyway.

    Oh and my last last thought: set up hot keys in your platform, that is always faster than a mouse.


  8. It's probably due to the equities you are trying to trade. AMMD is a relatively light volume stock (it only trades 2 milli + on earnings, otherwise sub 1 mil), how much weight were you trying to move? In sim tomorrow compare the time it takes to push limit and/or market orders in stocks with good liquidity (i.e. AAPL, HPQ, RIMM) vs. lower liquidity.
  9. brynno


    are you sure? is that the case in general? i've never heard that before. only i really don't think i have time to enter my limit when things are moving so fast in the first few minutes. i need to be able to enter with a single click/push of a button (thanks for the tip about the hotkeys).
  10. brynno


    ok thanks i'll do that tomorrow. though it won't mean anything if excution speeds in the simulation are unrelated to those in "real life" , perhaps even totally random? which brings me back to the question: do simulators - or rather my simulator (interactive brokers) - accurately simulate the time it takes for orders to fill????

    actually i can't understand why this question isn't asked more often by "newbies" like myself; surely it's impossible to prepare adequately when you don't know which moves are accessible to you and which are not!
    #10     Feb 23, 2010