Order Fill Speed.

Discussion in 'Index Futures' started by ER9, May 15, 2004.

  1. ER9


    I'm playing around with a real time simulator scalping ES. It seems to give random fill speeds, depending on order size etc...
    I have been trading 10 to 20 lot market orders and get filled (simulated) within 10 seconds, usually only a few.

    I'm curious to know how accurate this is compared to reality.


  2. nitro


    Ten seconds?

    Even when I do the trade by hand on IB (as opposed to by an API) on the ES/NQ/YM, I am filled before my finger starts depressing the mouse button.

  3. ER9


    Thanks Nitro. Thats the answer I was hoping to hear.
  4. Rapid execution on IB as Nitro indicates. But plenty of times the price changes (almost always to my disadvantage), in the 1/2 second or so that it takes to get an execution for a market order. So be sure top build in some slippage when computing simulated profits.
  5. ER9


    I'm getting used to half a point via simulator.
  6. Tell you what, when they start filling me BEFORE I press the button, I'm leaving.