The fills that I am getting are terrible

[ProgrammerGuy]

Quote from maxpi:

Some of us discovered problems with the IB sim account. Is that the real account you are working or the sim one?

this is a real account.

another stock I trade is RIMM,
average Volume 25m

here a trade I got:

SOLD SHORT
RIMM 2007-08-22, 09:35:03 USD ARCA -100 83.360001

trade station price @ 9 :35, 83.45. 9 ticks off??????????????????????????


is this a joke?

 

[ProgrammerGuy]

here's another joke.


SOLD SHORT:
stock SEPR, average volume 2.8 million


SEPR 2007-08-22, 09:35:02 USD ISLAND -100 27.709999


Tradestation Price @ 9:35 was 27.79

8 ticks off are you kidding me???????

 

[ProgrammerGuy]

another one


SOLD SHORT:

MDR average 2 million shares per day


MDR 2007-08-22, 09:34:04 USD IDEAL -100 79.739998

Tradestation price at 9:34: 79.87

 

[ProgrammerGuy]

another one

LONG
EXPE

however average vol of only 1.28 million

EXPE 2007-08-22, 09:34:13 USD ARCA 64 27.549999


Tradestation price @ 9:34 27.49

 

[ProgrammerGuy]

another one

ATI
average vol: 2.6 million

SOLD SHORT:


ATI 2007-08-22, 09:38:02 USD IDEAL -100 98.510002

trade station price @ 98.45

 

[ProgrammerGuy]

are these realistic fills?

I've gathered some data and I find that the average distance between the bid and the ask is .02 - .05%, so you would think that the average distance between the quoted price and the filled price would be half that... but it ain't

 

[ProgrammerGuy]

Now here's the scary part.


I've been running my autotrading day trading systems for 3 months now, and this is the first time that I have looked at my fills

 

[heidegger]

[IfQUOTE]Quote from ProgrammerGuy:

I have trade station. The orders from trade station are then routed through a 3rd party broker, and then sent to interactive broker.
[/QUOTE]

If you're trading volatile issues via market orders you need extremely fast execution. Maybe you should restructure your account.

 

[ProgrammerGuy]

Don Bright said that the thing with market orders is that the specialist needs to match orders up, and can take a while.

So if it gets executed 4 seconds later, my thinking was, well really it is about 50/50 to go either way. Well what's interesting is when I place a SELL order and the market then goes down i'll get filled 4 seconds later, but if the market goes up, I'll get filled immediately.

Now I'm buying at Currentask + .02 limit, and
selling at currentbid - .02 limit

 

[Red_Ink_inc]

Quote from ProgrammerGuy:

Don Bright said that the thing with market orders is that the specialist needs to match orders up, and can take a while.

There is no specialist on Nasdaq stocks (anything with a 4 letter symbol).