SPX Lag time and how to deal

Discussion in 'Order Execution' started by TinGull, Jul 19, 2006.

  1. TinGull


    Hi there,

    I'm just beginning to trade on the SPX, and my paper trading was working fabulously. I'd get instant fills and could trade inside a channel and all this great stuff....only to find out it's not really like that in real trading. Its taking about 60-90 seconds or so to get a fill on a market order, leaving it impossible to trade within any mini trend that I might want to. How are people day trading the SPX? What things are you doing to compensate for the lag time?

    Any help at all would be greatly appreciated!!!

    ps: I'm aware of why the lag time is there and it being filled by a floor broker. Im just looking for ways around it.
  2. welcome to the crazy world of the CBOE open out cry. There is no way to get around it because only the CBOE trades it.:( you will find many whines and complaints and suggestions on coach's SPX credit spread journal. We are all trying to figure out how to get better fills and so far there just isn't much rhyme or reason. You might look for indices that are traded electronically and by more than one outfit.
  3. TinGull


    Thanks for the info. I've looked into the MiniS&P (XSP) but for the contracts I'd have to buy and the commissions I'd have to pay, it doesn't make sense. Looking into RUT now, as that seems to fit my strategy, at least for the timeframe I've backtested. We'll see!!!

    Thanks once again, and this board is filled with some great info. Glad I found it.
  4. I believe RUT is open outcry as well...can be a bitch to get out of when close to expiration...
  5. TinGull


    if RUT is open outcry, then it works a lot faster than SPX. I believe, though, that RUT is in fact electronically supported.
  6. Single orders on SPX are electronic IIRC.

  7. TinGull


    Not with ToS. All SPX orders are sent to a floor broker to be worked.
  8. Thanks MO so only spreads are open outcry? Learn something new every day...I just wish my memory was better:eek:
  9. It would be good if you can confirm that with ToS so we all know!

    I don't trade that she-bitch SPX so I don't keep up to date with developments but I did have it in black and white from a ToS representative that single orders for SPX are electronic....that was a while ago though and I've had conflicting explanations for different issues in the past depending on who you speak to. *shrugs*

    I'll call my guy. You call yours :D ...but first off to the gym.

    [EDIT: Just remembered there may be a caveat: if more than 50 lots, broker represents the order whether single or spread. Will check when get back]

  10. TinGull


    I've spoken with many, many fokls there about this subject. It's a sore one with me....and yes, all orders are routed to their floor broker for SPX.
    #10     Jul 20, 2006