Order Execution Speed

Discussion in 'Order Execution' started by bstnrkt23, Apr 12, 2011.

  1. bstnrkt23


    I wanted to know what other people typically experience with market and limit orders. This is being applied to Futures ( the S&P mini particularly), and day trading. Usually if I know I'm going to hold on to a position for a longer period I'll WORST case do a market order. I try to avoid using market orders however, since I like to know where my entry and exit point are going to be when making a move.

    The question I have here is, how long does it typically take for a limit order to be executed? Say you are predicting prices to drop, have a set limit order at 95.25 (just as an example), and know that is the point where you want to enter the market.

    The reason why I ask this is because whenever I set a LIMIT order to enter a market, it seems as if it's taking WAY WAY too long. I'm obviously basing entry points not on a whim but based on indicators and volume as well. I know from past experience that really low volume markets may take a long time to take a limit order. But what I'm experiencing is NOT during "dead" times in the market so to speak.

    Broker's advice, is to simply do a market order, since that's what will take the order immediately. I'm not buying it though. I've seen with my own eyes limit orders execute and not have to take a full minute to be filled.

    I just wanted to see what other people have experienced with limit orders and if it's typical for one to take a while in order to execute.
  2. It's called a queue. First in first out, FIFO. Look it up. Limit orders, if crossing the market, will execute instantly. If posting to the book it goes to the back of the line at that price and takes as long as the market needs to trade all the contracts ahead of that price.
  3. since you're answering questions NY0BScalper

    watching the 6E euro fx contract, volume will vary from 1 to a few to many then all of
    a sudden a 'whammy' comes in - my description of a block ? trade where the price
    range for that 15 sec price bar may increase 10 or 20 pips/ticks, maybe similar for
    the next bar before settling back down to the more usual few pips range

    it surprises me hundreds, sometimes thousands volume orders get executed in what
    amounts to instant execution, probably a lot more prevalent on the ES than the 6E
    but I wonder, who's taking up so much volume ? - what are the mechanics involved -
    how is such volume able to be processed ?

    also, what does "posting to the book" mean ?