i use IB and recently i placed a lmt order on the bid side to buy. i'm quite sure that i was quite well queued, but somehow i never got filled until the bid switched over to ask. i'm wondering if there's something i'm missing here. can anyone enlighten me on this topic...
I assume you mean you got filled when the ask came down to the price of your limit bid. Not unusual. If the best market is 10.20 - 10.30, and you bid 10.20, you'll only get filled if someone enters a sell market or sell limit 10.20 (or below), AND that order is directed to the exchange or ECN on which your order currently resides, AND there are no hidden orders at a higher price on that exchange, AND you are first in time priority at your price level. If it's a SMART order (at IB), and the best offer comes down to 10.20 (on another exchange), IB should re-route the order and execute against that offer.
hey.. thanx for helping me out with this. i forgot to mention that it is (GE) Eurodollar on CME that i'm trading. the thing is that i entered the bid when the volume was about 700 and when it got to the inside bid the volume was up to 25000 and it got hit all the way down till the bid shifted, as u said it traded through. is it maybe because of the pro rata fill allocation that i didn't get filled? even so, i only got filled precisely at the point when the bid shifted, so much so it feels like my bid was never on the orderbook at all. could it be that it is really impossible to buy on the bid when it is pro rata fills or is it more likely that there is something wrong with the way the broker handles orders or that maybe their data feed is not in order. or is there anything else that i might be missing out on?