Rate my average fill price

Discussion in 'Order Execution' started by Sky123987, Jun 27, 2008.

  1. Basically I question is "by working the spread" is it possible to get a better average fill price, than by just sending market orders.

    You are trading stocks that do 2,000,000 shares and are priced 25 to 30 dollars.

    Say the spread is (bid)25.x * (ask)25.y

    I'm trying to get long 500 shares and I'm sending market orders. My average fill rate is ((x + y) / 2) + 0.0125 (A penny and a quater greater than the midpoint between the bid and the ask)

    Would it be possible to achieve a fill rate Much less by working the spread some way. Perhaps your fills will vary sometimes you might get filled much less than the midpoint of the bid & the ask. Sometimes you might have to chase it up much higher than the midpoint of the bid & ask. But all in all, if I worked the spread, should I expect a much better fill price?

  2. In my opinion you can do much better

    if your losing .0125 on a $25 stock for 500 shares that's .05%. That is way to much.

    Here is what I have done and found to be somewhat accurate as to acceptible avg fill rates.

    Take the (upvolume - downvolume) / Change in price

    That will give you the move per share. Multiply that my the number of shares you are trying to enter.

    If you are entering 500 shares of a stock that size you should probably get around .015%

    This figure is considering you are entering at a random time. If your strategy has an edge this figure will go up. Also this is dependent on time of day. Since the first & last hour of the day have the thickest volume the figure will be less than had you executed during the middle of the day.

    I'm not an expert by no means at trading however I have found this to be somewhat accurate. You'll see the avg fill price is quite correlated with the avg daily volume of the stock