How to send order in the volatile market

kiev · Mar 23, 2013

In a volatile market, for example, a stock normally have 1 cent spread between bid and ask, but when a news about this stock comes, the market is becoming volatile, the spread between the bid/ask can be 10 cents.

What I want to know is, in this volatile market, how can i send limit orders and make sure the orders can be filledÂ£Â¿

I trade by IB API, I can get bid price/ask price or marketdepth from ib api, the time delay can be 0.5 sec in my opinion, when the last ask price is 10.1, I send a 10.1(buy) limit order to ib, do you think it's easy to be filled? Or should I add any money on 10.1 (the ask price) because of time delay?

vicirek · Mar 23, 2013

send limit (Ask +10cents) or (Bid-10c). Increase limit range if necessary but watch if your broker has cap on how far from current market your limit order can be placed or disable checks in Settings/Options on your platform.

eurusdzn · Mar 23, 2013

A standing buy stop with limit becomes a market order with restrictions on slippage and also with the risk of no or partial fill if not specified as "all of none"

What I would ask here is this......if I place a buy stop with limit that hits and becomes a
market order can it be held up to the limit price before filling? I don't know this.

kiev · Mar 23, 2013

Quote from vicirek:

But watch if your broker has cap on how far from current market your limit order can be placed or disable checks in Settings/Options on your platform.

Thanks for your warning.

Quote from vicirek:

send limit (Ask +10cents) or (Bid-10c). Increase limit range if necessary

Do you mean send limit Â£Â¨Ask + spread) or (Bid - spread) is more workable?

vicirek · Mar 23, 2013

Quote from kiev:

Do you mean send limit Â£Â¨Ask + spread) or (Bid - spread) is more workable?

This means X cents above or below Ask/Bid regardless of the spread. I usually add/subtract 10-30 cents to get instant fill which is arbitrary number.

vicirek · Mar 23, 2013

just to add: limit order crossing NBBO should still fill at NBBO (national best bid/offer)

loufah · Apr 12, 2013

Quote from vicirek:

just to add: limit order crossing NBBO should still fill at NBBO (national best bid/offer)

I was going to start a new topic, but might as well add it here instead.

One of my brokers' platforms is kind of cumbersome when it comes to changing orders. So I use a limit order that might be a bit outside the NBBO. A couple days ago, I did this on a buy order of IWM options and was filled below my limit but above the best offer. (The offer size was well above my order size). I asked a rep about this, and was told that they'll guarantee a fill no worse than the NBBO only on market orders, not on limit orders. I wonder if this is typical.

vicirek · Apr 12, 2013

Quote from loufah:

I was going to start a new topic, but might as well add it here instead.

One of my brokers' platforms is kind of cumbersome when it comes to changing orders. So I use a limit order that might be a bit outside the NBBO. A couple days ago, I did this on a buy order of IWM options and was filled below my limit but above the best offer. (The offer size was well above my order size). I asked a rep about this, and was told that they'll guarantee a fill no worse than the NBBO only on market orders, not on limit orders. I wonder if this is typical.

This is not up to the broker to guarantee such thing. It is regulated market. In this case you may not be aware that price moved in split second and your fill was in fact at NBBO. For that you would have to analyze detailed time and sales data in that period. Posted sizes are irrelevant in any scenario because they are not for real. They will disappear and reappear in a split second. It is a game.

FrankSlaughtery · Apr 13, 2013

Quote from vicirek:

This is not up to the broker to guarantee such thing. It is regulated market. In this case you may not be aware that price moved in split second and your fill was in fact at NBBO. For that you would have to analyze detailed time and sales data in that period. Posted sizes are irrelevant in any scenario because they are not for real. They will disappear and reappear in a split second. It is a game.

+1.

loufah · Apr 14, 2013

Quote from vicirek:

This is not up to the broker to guarantee such thing. It is regulated market.

Is this a relatively recent rule? Around 8 years ago, I was trading slow-moving options a couple times at TD Ameritrade, and I could see my order appear on level II, locking or crossing the market yet not getting filled. TDA didn't think this was out of the ordinary. They said they sent each options order to a specific predetermined venue, regardless of whether it happened to have the best price.