Order fills with paper trading

Discussion in 'Order Execution' started by silent_tunes, Nov 1, 2010.

  1. I just posted a trade in my TOS paper trading account and it was filled.

    It was a SPY 114/115 bull call spread for a $0.88 debit (using options that expire this week) and it was filled within the first half hour of trading (today is Monday, November 1, 2010).

    TOS paper trading filled the order. However, looking at the actual bid/ask, open/low/high etc. for the individual legs, I see no reason how this order would have been filled if I was trading actual money.

    In other words, the paper trading order fills are not realistic enough to validate/invalidate a strategy. I even chatted with a TOS rep after the order filled and he said so himself. He repeated how TOS encourages the trader to aim for the midpoint and work the order slowly upwards if it is not filled within a few minutes. On how likely MMs are to manually fill the order, he said it depends on the # of contracts, what type etc.

    To elaborate, the worst case prices for the spread were:
    $0.97 if paying the ask for long, getting the bid for the short
    $0.87 if lucky to get the bid for the long and ask for the short
    $0.92 if the midpoint was honored

    I have 2 questions:
    1. How much can you rely on order fills during paper trading?
    2. From your actual trading experience, how often have your orders been filled when you aimed for the midpoint of the bid/ask spread? Have you had to "work" those orders slowly upwards to get the fill?