this is a real account. another stock I trade is RIMM, average Volume 25m here a trade I got: SOLD SHORT RIMM 2007-08-22, 09:35:03 USD ARCA -100 83.360001 trade station price @ 9 :35, 83.45. 9 ticks off?????????????????????????? is this a joke?
here's another joke. SOLD SHORT: stock SEPR, average volume 2.8 million SEPR 2007-08-22, 09:35:02 USD ISLAND -100 27.709999 Tradestation Price @ 9:35 was 27.79 8 ticks off are you kidding me???????
another one SOLD SHORT: MDR average 2 million shares per day MDR 2007-08-22, 09:34:04 USD IDEAL -100 79.739998 Tradestation price at 9:34: 79.87
another one LONG EXPE however average vol of only 1.28 million EXPE 2007-08-22, 09:34:13 USD ARCA 64 27.549999 Tradestation price @ 9:34 27.49
another one ATI average vol: 2.6 million SOLD SHORT: ATI 2007-08-22, 09:38:02 USD IDEAL -100 98.510002 trade station price @ 98.45
are these realistic fills? I've gathered some data and I find that the average distance between the bid and the ask is .02 - .05%, so you would think that the average distance between the quoted price and the filled price would be half that... but it ain't
Now here's the scary part. I've been running my autotrading day trading systems for 3 months now, and this is the first time that I have looked at my fills
[IfQUOTE]Quote from ProgrammerGuy: I have trade station. The orders from trade station are then routed through a 3rd party broker, and then sent to interactive broker. [/QUOTE] If you're trading volatile issues via market orders you need extremely fast execution. Maybe you should restructure your account.
Don Bright said that the thing with market orders is that the specialist needs to match orders up, and can take a while. So if it gets executed 4 seconds later, my thinking was, well really it is about 50/50 to go either way. Well what's interesting is when I place a SELL order and the market then goes down i'll get filled 4 seconds later, but if the market goes up, I'll get filled immediately. Now I'm buying at Currentask + .02 limit, and selling at currentbid - .02 limit