The streaming quotes on my screen was 40.74/40.75 (bid/ask). I put a sell market order and got executed right away at 40.71. After the fill, the bid/ask was still showing 40.74/40.75. Did I get robbed by Etrade?
Provide more details, like symbol, quantity, timestamp of order entry, timestamp of order execution, etc
I got bad-fill once with my stop-price 3 cents below LoD (low of day). I called my broker (Sogo) immediately but they hung-up on me without any explanation. Also wrote email with screen-shot but never got any follow-up. Folks at ET suggested that it was probably due to my odd lot size (40 shares only). Recently I got very opposite experience on my 200 lot order. My fill was at 10 cents below current LoD. I was surprised for a while but then (within 2-3 minutes) stock price fell sharply and went well below my fill price. I guess it happens sometime because MMs want to fill some big-block order immediately.
I send 100 and 200 share market orders to interactive brokers and the fills are always within the best big/ask. I don't know how odd lots (40 shares) are handled though. Seems if the bid did not go down then the fill should not have been at that price. I wouldn't worry about it unless it keeps happening. Then I would ask for a REVIEW of the trade, and they should be able to pride the actual best bid/ask TIMESTAMPED with your order.
Yeah, only these two cases so far in year 2009. I wasn't actively trading before. But this happens more frequently outside regular hours. I get some fills that are few cents off from [bid-ask] range. It may have something to do with ECN and order routing. Questions for OP. * Was that odd lot? * Was that outside RTH (regular trading hours)? * Was the fill outside current 1m candle's high-low? Your streaming quote is probably not tick by tick. Even if it is, your monitor can display 60-85 frames per second and your eyes can see only up to 10 frames per second. Both examples I quoted earlier were outside day's current high-low range.
I'd say, always put a limit on your orders, even if you think it's going to be hit immediately. It eliminates a lot of uncertainty (with bad quotes etc), especially in thinly traded issues.