I've been trading the SPX weeklies for a while. Usually OTM credit spreads and iron condors anywhere from 3 to 6 strikes out using 2 contracts. I shoot for the mid price. Sometimes I get filled right off and sometimes it can sit for a couple hours. Every once in a while I won't get filled. With the weeklies, the S&P sometimes moves fast and then the premiums move quickly. Sometimes I have to chase the premium as it moves fast the last couple of days. I have an account with TOS and OE. I use TOS and get a fill at mid price on TOS. Then I jump into OE to make the same trade and OE gives me the NBBO prices and the mid point isn't the same as TOS. Looking side by side they aren't always the same. Sometimes I make a trade in TOS and then a couple minutes later get the same OE trade put on for a couple contracts and it doesn't fill. Go figure. What I like about the SPX is the $5 strike spreads. I can do 1370, 1375, 1380, 1385 and so on. With SPY with $1 strike spreads, I can only do 137, 138, and so on. There is a lot of extra premium and spread possibilities with the SPX. SPY would have to have 50 cent spreads to be equal.
I normally trade 500 lot SPX vertical spreads. I get filled close to mid-price (10 c worse), no liquidity problems at all. However, I do have to call the trade desk to do that.