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By full spread, do you mean when bid is 20.92, ask is 20.94, you're paying the full 0.02 for immediate execution? I thought it would only be 0.01 from last price.

So normally you'd expect to lose the entire spread on live trades compared to backtesting?

How would you accomplish this?

thanks for your insight. What kind of slippage would you expect for a stop limit order in these situations? Would the order just not fill or is it still going to fill at an unexpected price? Also, how is priority determined on the limit order books if everyone is submitting ultra low latency...

I'm assuming latency is irrelevant for regular non marketable limit orders. But what about stop limit orders? When price hits my stop, I need that limit order to hit the books ASAP. What are the controlling factors in executing speed for these orders? Is it the brokerage speed? Is it my internet...

for a very liquid stock like NVDA, if you submit a limit order at the "last" price (outside the first 10 minutes), what are the chances it won't get filled.

So why would people submit market orders when they can get limit orders filled at a better price?

This is how I understand it. Please correct me where I'm wrong. When I place a buy limit order, it goes on the order books as a bid. When I place a sell limit order, it goes on the books as an ask. If a stock has a bid of 10.02 and ask of 10.04, and I want to buy the stock, I can either buy it...

I'm unable to backtest with bid and ask, so the expected price, according to my backtest would be the last price. If I get filled at the bid or ask instead of last price, would that be considered slippage?

I'm actually using limit orders in my strategy backtests, so providing liquidity, but in real life, I assumed (maybe incorrectly) that I'd have to switch to market orders to get filled?

The tickers I tested are all extremely liquid (TSLA, NVDA, RIVN, PLTR, etc). Would slippage be a realistic concern for these types of stocks? Should I expect to lose the average spread on each trade?

I tested my strategy on the top 200 stocks from the S&P 500, over 20 million trades tested since Jan 2000, or whatever year the ticker was first listed. The dollar volume yielded was amazing, but the average net profit was only 0.04%. ~20 trades per day per stock. This tiny margin makes me very...

Thanks Robert. Just to be clear, is LS DMA or direct sponsored access?

When closing my positions, I'm looking for direct access to nasdaq and nyse. Does LS offer direct access to both these exchanges?

So in that case everyone should have the same execution speed? Would LS be any faster fill than ToS if all orders are at the exchange already at the same time premarket?

I want to execute long and short stock positions right at market open. Currently using ToS, and the experience has been less than ideal. I see now that I need a direct access broker. Fees and minimum balances aren't an issue. Are all direct access brokers the same when it comes to execution...