one thing i noticed w/my datek account is that my limit orders at the bid or ask price don't really get filled, i'll watch houndreds of thousand shares trade at the price i am bidding or asking and my order wont get filled, i see all the market makers and ecns volume changing, but nothing ever seems to happen to my order, i trade pretty liquid stocks, will order fills at the bid or ask be easier w/a direct access broker? or is there something i can do to get my orders filled at the current bid or ask, basically if a stock is has a bid at 30.26 and an ask at 30.27 and i put a buy in at 30.26 it never gets filled, is it useless for me to try to buy at the current bid?
In a word ... yes! I had gone 'round and 'round with them until I finally got a guy who 'fessed up the truth. Their MM's are not going to fill your buy order at the bid, or your sell order at the ask. That is what he told me. Now that is not Datek/Ameritrade policy. And it is not written anywhere I am sure, but that is what he said. It is the apparent policy of Knight Trading Group, NITE, and Third , their other fillers. For my trading the spread is not very important anymore, so I use limit orders and give them a penny or two. I find that works well. But , for me it is the principle. They are scraping a penny off of my orders, your orders, everyone's order. They will not offer you out, they will not bid you. They are "stealing" in my opinion. Actually I consider every day complaining to the SEC and calling for an investigation. There is plenty of money to be made doing things the right way.
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so basically if you are on the outside you're getting screwed, i thought that the orders were filled from the order they were received not the the mm's want? i guess that's not the case?
Basically, Datek is horrible. Get with the times and go with a direct access broker. You simply CANNOT be a serious trader without streaming Level 2 quotes and direct access trading IMO.
Why not switch brokers? I split the spread often on Cyber and get filled most of the time. I see my bids / asks post to L2 and if an order doesn't get filled, it's not because of broker manipulation or failure to perform. Your broker's performance seems kinda fishy if you ask me.....
Of course you have to consider the size and style of trade. nyc' you are scalping. No one should ever trade with Datek and scalp. And the 10.99 they charge is all-inclusive, so unlike Cyber, you don't get nickle and dimed to death, especially with size. There are pros and cons.
I usually direct that my trades of NYSE stocks go directly to the exchange (something you can do with Interactive Brokers). This ensures you'll get your fair shot at buying at the bid and selling at the ask price. If the broker decides where your order will be directed to, you'll generally pay (indirectly) through an inferior fill. The broker gets payment for order flow and you're order won't be filled unless your limit price is broken on the main tradining exchange. In my opinion, the only way to get 100% fair fills is a national trading book (i.e. one book fed from all exchanges and market makers for a single stock).