Same same. Futures are little / no different.Quote from WinstonTJ:
Using 1M shares for size was a bit over the top.
Is OP trading futures? I didn't pick up on that and I don't know the first thing about futures markets.
The message I was trying to relay to the OP is that if he assumes a fill at his target price when the price trades through his order by a penny, two pennies, etc. then he'll be able to assume a reasonable fill rate.
I think we are saying the same thing except I don't know anything about how futures trade.
It's just the size part I was picking up on.
Sucks when you become the market. That's all.

Edit: I think the OP meant something illiquid.