Why am I not getting filled?

Discussion in 'Order Execution' started by Sparohok, Aug 17, 2007.

  1. Here's a pretty obscure order execution question.

    I'm trying to get filled on a sell order for a thinly traded stock on NYSE. I should be at the head of the queue because my order was inside the spread when I entered it. The reported last trade is above the spread, so it looks like no trades have executed since I entered my order.

    However, the volume keeps ticking up, in fact several trades have executed since I entered my order. How are these trades occuring without changing the last price and without hitting my ask?

    To be precise here is the situation:

    Before I entered my order:
    Bid 1 @ 10.22, ask 2 @ 10.25, last trade 10.25, volume 24,300 shares.
    I put in a sell order for 800 shares. The market now looks like this:
    Bid 1 @ 10.22, ask 12 @ 10.24, last trade 10.25, volume 25,100 shares.
    Who is getting filled, at what price, and why don't they have to trade through me?

  2. Please show exact time stamps for trades and quotes.
  3. I don't have TAQ. I'm just looking at IB TWS window.

  4. Surdo


    Post the stock and date/time of this, I will try to look at it on my machine later.

    Your broker, regardless of commission level owes you an explanation.

    el surdo
  5. Easily:

    1. someone posted a limit sell order 6@10.25 right before you did
    2. a couple of trades occurred say 7@10.25 and 1@10.25 (leaving your size in the queue)
    3. More aggressive seller stepped down showing 12@10.24
    4. You see your 1 x 12 10.22 x 10.24

    Look at T&S, and unless you data feed is shit (which is very true for IB), you'll see the whole picture. Remember, when you look at the quote window, you only see a small fraction of what actually happened - black boxes are blazing fast.

    Personally, I use market orders only because I'd rather pay the spread (if it's reasonable) than skip a good opportunity...