My broker is thinkorswim. I have never been able to get an SPX limit order to fill -- at or even significantly away from midpoint. Because SPX isn't traded electronically, does anyone know if all orders must go through the trade desk? I'm working with ATM verticals and SPY is not an option because the strikes are too far apart for what I'm trying to accomplish. I'm trying 5 and 10 lots, but am willing to go higher if that'll get a better quality fill. Looking at the volume, there appears to be enough liquidity to fill my trades. Any suggestions on how to get orders filled are appreciated.
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It is a mixed bag...the other day I had to leave and was trying to get $1.55 filled (credit)...left for the day and when I returned it had filled for over $2. Call down or chat with the help desk to see what the "inside" bid is. They will do their best for you, they have a guy "Pete" in the SPX pit so give them a call next time. The only time I have a real problem is when there is little volume, but if your ATM then there is plenty of volume. Again call/chat with the trade desk.
SPX options are rigged...I traded them for many month and eventually moved to ES options (Globex) and NDX options (multiple listings). Liquidity and spreads are good enough. Why bother with a contract that is not fully electronic?
SPX perhaps is the worst possible index to trade. It takes me a whole morning once a month to place a trade and than I wish to God it expires worthless. I don't want to go back to those wide bid and asks prices that you can drive a Mac Truck though and struggle again. Those greedy market makers are arrogant sons of you know who.