Execution speed Limit order vs. market order

[max21ge]

I'm running day-trading quant strategies and I'm dealing with large orders and working to minimize impact. Speed of execution is critical to me I'm trying to get down to a few 1/10 of seconds. I'm wondering whether there would be a time difference in execution of

- a buy limit order at the ask + X ticks (assuming all shares are available at the time of submission)
- and a plain buy market order

It feels like in theory there should not be but Im curious whether it's actually the case or maybe it's insignificant (less than 1/100 second)?

 

[Scataphagos]

Ridiculous notion. If your anticipated success is dependent upon the speed of your "fill" (assuming trading liquid-enough issues), you're "fishin' in a dry hole". And if you're trading thin issues, you really have no logical choice other than limit orders... so "other" doesn't matter.

 

[max21ge]

Ridiculous notion. If your anticipated success is dependent upon the speed of your "fill" (assuming trading liquid-enough issues), you're "fishin' in a dry hole".

it's not it's just that the quicker the execution the better the price on my winners the lower the profit targets the higher the P&L

 

[Scataphagos]

it's not it's just that the quicker the execution the better the price on my winners the lower the profit targets the higher the P&L

You don't know that. You're presuming the "next tic" will be in your favor. There is so much noise and a bit of "slop", in trade execution there is no way to know. You should be focused upon "points" or "swings", not "execution tics". Getting the "big picture" correct on the trade is what's important... not "execution to the tic".... over which you have no control.

 

[max21ge]

i totally hear you but i beg to differ given the particularity of my strategies where i enter at inflexion points where in my experience the best trades tend to get away from you very fast.

 

[Scataphagos]

i totally hear you but i beg to differ given the particularity of my strategies where i enter at inflexion points where in my experience the best trades tend to get away from you very fast.

That's PRECISELY why you should "give them a little room". I know of this. I once missed a $600K profit by $.10 fill in the Big SP contract. In reality, the "fill" on a good trade is not important.

 

[maxinger]

No difference.

When the market is very hot, there will be terrible lag.

Solution. Go to trading House with dedicated Internet line. Also pay for the specialised trading platform.
All these will cost money. It may cost $2000/mth.

There are some traders who trade just next to the exchange

Don't think of doing it at home

 

[SunTrader]

Not enuf info.

Large (?) orders.
Stocks (?) price range
Frequency ?
Routing?
Etc.

 

[rb7]

I'm running day-trading quant strategies and I'm dealing with large orders and working to minimize impact. Speed of execution is critical to me I'm trying to get down to a few 1/10 of seconds. I'm wondering whether there would be a time difference in execution of

- a buy limit order at the ask + X ticks (assuming all shares are available at the time of submission)
- and a plain buy market order

It feels like in theory there should not be but Im curious whether it's actually the case or maybe it's insignificant (less than 1/100 second)?

At the broker and exchange levels, there are no differences.

What do you mean exactly by 'a few 1/10 of seconds'?
Cause, something like 0.3 secs is not a big deal, meaning if you cannot get that or lower, you have a problem, presuming that your system is fully automated.

 

[max21ge]

At the broker and exchange levels, there are no differences.

What do you mean exactly by 'a few 1/10 of seconds'?
Cause, something like 0.3 secs is not a big deal, meaning if you cannot get that or lower, you have a problem, presuming that your system is fully automated.

yes it's fully automated im actually tracking the time difference between when the tick that triggers my order appear and when i get my market order fullfilled so that difference also (mostly?) includes computing & network lag (I do a bunch of calculus in between) and I'm able to get a couple 1/10 of a seconds in average but it can vary to less than 1/10s to 1 second in some rare occasions. But good point i'll drill down to see where my lag usually comes from thank you!