probably because there is "other" market participants? you are not trading alone,you know...there is certain priorities..price,time,size...do you know any of those? and don't forget sub penny and HFT players..and at the very end you have to realize that it's really hard to get into a winning trade(i'm talking about stocks) and you not going to have fill problems with losers.study market micro structure http://www.amazon.com/s/ref=nb_sb_s...ructure&x=0&y=0&sprefix=market+microstructure how is the backtesting results looks? stable?
Your backtesting, or even current data can be wrong simply because many vendors use "consolidated" quotes (even Yahoo does). This means that they simply take a snapshot at 9:30 to see where the stock is trading at that time (on ECN's and other market centers) vs. the actual "primary market" of NYSE. Don
Thank you for the helpful reply, Bob and Don, yes I am currently using bloomberg data, hence i feel like its probably correct, not sure?, Im also working at a prop trading firm so I would think that the data im receiving from the exchange into my DDE link is correct no? Thank you for the insight bob, that really what im asking, if im working with highly liquid stock, ie those listed in the S&P 500, should i have less trouble getting filled. Does the time at which you place your order determine when you may get filled? If I placed an order at 8:00 rather than 9:27 will it likely, help, expecially if my order is only 100 shares. My backtesting is sound and uses only 100 shares per stock. Is there something that im not thinking of or that I can do to improve my chances of getting filled. Thank you once again for the help...
Be careful, our traders choose to use either Primary or Consolidated quotes - I assume your Firm gives you the same choice. An OPG on NYSE is simply one number for everyone, if there is a difference, then it is wrong. Don
once again-priorities. if the order price is same,but you buying 100 shares and somebody else is buying 10000 shares-he will be first in line. you-last.in fact-you will be always last in line...you and me.. those are really basic things..that's why i put smiles..i was thinking that you are kidding..turns out-you are not..
ha my apologies for my ignorance. Should it not be FIFO though? How then would you solve the dilemma of placing a large enough order to get filled, and then again not affect the price. Thank you for the help. Once again thank you for your patience
dude.....Don already explain you same thing from different perspective...we can do this all day long., but i see no reason to waste my time on this basic shit..use google,use search here,on ET..everything been explained 10000000 fucking times..did i mention subpenny? i did that for a reason..fucking read about it..do you seriously expect, that the people will come and explain to you every single nuance?even if you place your order to buy 100 shares at 50 and you see other guy is buying same 100 shares at same prices -he got filled,you are not...why? because he put 50.001 and got PRICE priority. another one....right now all those shares are traded on like 50 different exchanges,ecn's,dark pools-you name it...the buyer and seller must be on same exchange...you place your buy order to NYSE, other guy-on ARCA... both prices is the same....seller's routed his order to arca..second guy got filled-you are not..why? because you are in wrong fucking place,that's why..there is could be literally 100 reasons for no fill..