Market order vs "Marketable" limit order

Don Bright · Aug 14, 2006

Quote from Trader_Herry:

Don Bright,

The specialist fill the shares himself.
What does it imply?
Should I (not) fill by market orders?

Not sure what you're asking, but in the scenario outlined above, it shows that the Specialist simply accomodated the balance of a larger buy order by selling some shares himself. The "booked" orders were given better pricing than their limits to some extent.

But, yes...it's always good to sell when the Specialist is selling and vice versa.

If you are truly direct access (not retail, where orders go by/through the brokerage firms), then I suggest limit orders higher than the offer for buys, lower than the bid for sells to achieve the quickest fill. No way to ascertain which way the stock would be going by the time the Specialist filled the market orders.

Don

Trader_Herry · Aug 14, 2006

Quote from Don Bright:

Not sure what you're asking, but in the scenario outlined above, it shows that the Specialist simply accomodated the balance of a larger buy order by selling some shares himself. The "booked" orders were given better pricing than their limits to some extent.

But, yes...it's always good to sell when the Specialist is selling and vice versa.

If you are truly direct access (not retail, where orders go by/through the brokerage firms), then I suggest limit orders higher than the offer for buys, lower than the bid for sells to achieve the quickest fill. No way to ascertain which way the stock would be going by the time the Specialist filled the market orders.

Don

Thanks for your response.

I'll stick with marketable limit all the time.

alanm · Aug 14, 2006

Don Bright said: If you are truly direct access (not retail, where orders go by/through the brokerage firms)

These two things are not mutually exclusive, for the purposes of this conversation. DOT is DOT, regardless of where the order comes from.

Trader_Herry · Aug 16, 2006

Quote from alanm:

Don Bright said: If you are truly direct access (not retail, where orders go by/through the brokerage firms)

These two things are not mutually exclusive, for the purposes of this conversation. DOT is DOT, regardless of where the order comes from.

how about you?
Which kind of order do you prefer?

Don Bright · Aug 16, 2006

Quote from alanm:

Don Bright said: If you are truly direct access (not retail, where orders go by/through the brokerage firms)

These two things are not mutually exclusive, for the purposes of this conversation. DOT is DOT, regardless of where the order comes from.

I think it still varies by retail brokerage as well. My old test is to place an order for 1,000 shares and then "accidentally" make it 10,000 to see if the order goes through....if it is rejected, it's rejected by the brokerage, which means the order goes through the broker.

(To be completely honest, I understand that things change, and there may be something that I am missing here).

Don

alanm · Aug 16, 2006

Quote from Don Bright:

I think it still varies by retail brokerage as well. My old test is to place an order for 1,000 shares and then "accidentally" make it 10,000 to see if the order goes through....if it is rejected, it's rejected by the brokerage, which means the order goes through the broker.

(To be completely honest, I understand that things change, and there may be something that I am missing here).

Don

I assume you mean it gets rejected for risk-management reasons (i.e. insufficient buying power). My point is that such decisions are made at most prop firms, too, and the amount of time it adds effectively amounts to nothing, when compared to human reaction times, cross-country propagation delays, etc. And it certainly has no effect in the context of this conversation, where we're talking about the ancient, slow, DOT, and humans on the other end.

I don't deny that some retail DAT brokerage somewhere might be slow, but the ones I've had experience with (Assent, IB, MB, Track) have no significant additional delay. My orders take about 100ms from the time I send them to when I get a "live" status back again, and I'm 2500 miles air distance from NYC. I'll also add that there is no difference between the process (connections, servers, etc.) used for submitting a retail order and that used for prop orders at my firm.

alanm · Aug 16, 2006

Quote from Trader_Herry: how about you?
Which kind of order do you prefer?

The only time I use a market order is to close a position at the NYSE open when I'm not going to be there to watch it, and it's small enough a position to where I don't really care what happens.

Trader_Herry · Aug 17, 2006

Quote from alanm:

Quote from Trader_Herry: how about you?
Which kind of order do you prefer?

The only time I use a market order is to close a position at the NYSE open when I'm not going to be there to watch it, and it's small enough a position to where I don't really care what happens.

Do you use marketable limit orders? Or are you a person who wait for execution or trade for liquidity rebates?

Don Bright · Aug 17, 2006

....then I suggest limit orders higher than the offer for buys, lower than the bid for sells to achieve the quickest fill. No way to ascertain which way the stock would be going by the time the Specialist filled the market orders.

Just the balance of my point...Alan is correct the broker shouldn't affect time frame by much, it's the fact that the limit order can be filled by the assistants, without waiting for the Specialist to pick a price for a cross.

All the best,

Don