opening fill times

Discussion in 'Automated Trading' started by otayah, Apr 19, 2011.

  1. otayah


    I won't be able to test automated trading for a while, and was hoping some of you with experience could share your knowledge.

    For quickly moving stocks during the opening 5-10 minutes, how many seconds does it usually take from the time your automated trader receives a signal to buy until the order has filled?

    What are the best/worst/average case scenarios?

    Any info would be appreciated, but I'm specifically interested in both market and limit orders for quickly moving $20-70 stocks with medium to high liquidity and tight spreads. I'm curious what kind of results you get without IOC or FOK orders.