Discussion in 'Order Execution' started by IronFist, Dec 20, 2017.
Check out this picture although ignore the bid ask spots because I moved things around.
Buy or sell?
Easy.. a market buy will be 310.00, and a market sell will be 309.99.
This will be valid for anything under a volume of 55, and if more is needed, then the next levels would apply.
In my experience, you're as likely to get picked off in the middle of the spread as you are accepting the bid on a sell or ask on a buy.
My experience is only with futures. So I treated the question as such, even though obviously given those prices, this was more than likely a stock. There I guess you can have those cases of being filled in the mid and stuff like that, which I really don't know anything about. I just assumed the OP was asking a simple question with regards to how market orders work in relation to the DOM.
I should also add that my answer assumes no delay and that what you see as the bid/ask is what you will get in that instant. By the time you click on the market order, the market will have moved. This is why platforms in addition to market buy and sell buttons have the option to buy the bid or the ask, and also sell the bid or the ask, which is all in addition to the buy and sell at market. This way, if you are willing to buy the ask, you lock it in at that price, and if the ask has actually moved since you saw it, you shouldn't get filled. At the same time, you have a much better chance of getting filled than trying to buy at the bid. In fact, you should be filled instantly if you buy the ask, unless of course the market has already moved in those milliseconds.
If the quote is 309.99 by 310.00, do you need a multiple choice test to figure out buying at the market ?
it depends how your order is routed. e.g. some firms will access your orders to dark pools. firms that get paid for order flow, protests to the contrary, are unlikely to show price improvement.
Isn't your data reversed? Bid prices must be lower than ask prices. Unless it has been taken from a market that I don't know nothing about.
He said to ignore the bid/ask spots because he moved things around. Looks like an Excel spreadsheet
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