The fills that I am getting are terrible

PG,

Have you considered futures or must it be equities ? Futures are quite liquid, especially ES (SP500 e-mini) and it's all electronic.

Anek
 
Quote from Anekdoten:

PG,

Have you considered futures or must it be equities ? Futures are quite liquid, especially ES (SP500 e-mini) and it's all electronic.

Anek
More...

I trade both. Yes I get good fills on futures
 
PG,

Notice better fills with them ? In the ES, although the spread is 12.50, you will rarely get a spread above 1 tick.

Now, I would seriously consider limits for entries and exits and market ONLY for stops.

Anek
 
Quote from ProgrammerGuy:

I think so,

Honestly I really have never looked at my filling in relation to the last price. I know that is bad, but I'm looking now
More...

My guess is that there is something wrong with TS price. You can easily cross-reference your order entry time and your exection time with the Time and Sales. This should confirm that the fills are consistent with the time of order entry - and may you'll be able to tell if there was much slippage due to the volatility at the time.

If this all looks okay - which I expect it will - then you should look at TS prices. If you're using TS strategy are you sure they are triggering on the real-time price, and not at the end of the bar for the chart your using. Do TS last prices confirm with Time&Sales, etc.
 
Man, I thought you guys were just having a single trade incident, this is too bad. No Specialist on OTC orders, but you do have another concern...since retail orders have to be routed to the brokerage first (I know they tell you that you have "direct access" - but not really since the broker has to assure proper margin cash)... and, with the technology as it is these days, they can match your orders, sell against you, etc. if they set their programs to do so.

All I'm saying is that you're doing the right thing to question all this stuff. I haven't used TS (although one of the founders is a Bright Trader), and am not suggesting anything negaitve about them.

Don
 
thanks for the reply don.

Here's what I'm thinking the problem is.

Yesterday, I wrote a program that takes the current ask - current bid for every 2 minutes for a TON of stocks. I still have to fully grind these numbers, however those trades that were taking place were very close to the open.

Here are some sample spreads:
FAST 47.33 47.37
FLR 122.03 122.17
FORM 43.31 43.44
GG 23.09 23.12
GGP 51.63 51.79
GME 46.35 46.48
GRMN 102.39 102.54
HANS 44.25 44.3
HLT 45.75 45.76
IACI 26.93 26.94
ILMN 47.88 47.94
ISRG 211.4 211.99
JOYG 48.57 48.7
KBH 31.96 32.02
KYPH 66.71 66.85
LAZ 41.4 41.45
LRCX 54.54 54.67


The average spread for all the stocks that I tested was .226% for the time period of 6:32

I've done some rough analysis before and I have come to the conclusion that the average spread on stocks on all time frame is roughly .04. THAT IS NEARLY 6 TIMES AS MUCH. Is the average spread at 6:32 6 times greater than the average spread?

I gotta head some where but, I'll be sure to post the full results
 
Separate the Nasdaq stocks out, and I suggest not trading stocks above $100 because of the gigantic slippage. NYSE average spread is much smaller. We trade primarily the top 100 or so big caps when doing opening only orders in New York.

FWIW,

Don
 
x axis: time
y axis = ((currentask - currentbid) / Currentbid) * 100



As you can see from the chart you'd be crazy to trade in the first 10 minutes.

I'm going to take your suggestion Don, and trade only the big guys during that time.

<times are in PST>
 

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Get real.

I've explained to you guys over the last two or more years that you are trading against co located computers.

If you don't know what that means, stop trading until you find out.

I've already said more than you deserve
 
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