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order routing / poor execution fill price with ThinkorSwim
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order routing / poor execution fill price with ThinkorSwim

  #1 (permalink)
Trading Apprentice
Philadelphia PA/US
 
Futures Experience: Intermediate
Platform: TradeStation
Favorite Futures: Oil
 
Posts: 2 since Nov 2014
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order routing / poor execution fill price with ThinkorSwim

I have been experiencing a very poor fill prices using thinkorswim. In addition, when i place a limit order to buy, 1 cent higher than the highest bidder, i am observing, the additional buyers move in at the same price and my order is moved down the order and also see the price jumps additional 3-5 cents - and when i delete the order, the price comes down below my original bid price ---- Based on what i just described, few questions for the community,

1) Is thinkorswim level2 / bid - ask offer prints accurate - seems like there is a delay or market manipulation?

2) every time i ask customer service about the poor fill price, they claim i have received the best price available --- any suggestions to alternate to market order / and or how to get above all in the order list when using a limit order - or should i be looking at changing the broker?

Thanks,

Shailesh

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  #2 (permalink)
Market Wizard
Germany
 
Futures Experience: Intermediate
Platform: Other
Favorite Futures: ES, YM, 6E
 
Posts: 2,644 since Feb 2013
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Normal:
For less liquid assets and times (e.g. before data) the symptoms that you describe are quite normal.
You are in/around the spread of institutions that are or work like market makers. Normally, the spread
is automatically adjusted by HFTs - unless you offer them a free lunch which surely will be taken.
Especially (unlimited) stop buy/sell orders are an effective means to shred money with break-out trades at "obvious" levels.

Abnormal:
If you experience the same effects without any upcoming data during RTH in liquid assets like
the ES, I would definitely change the broker.


Market vs limit orders:
The objectives of these order types are different.
If your trading priority is immediacy, you choose market orders - regularly at the expense of price.
Same with unlimited stop buy/sell orders.
If your trading priority is price, you choose limit orders - often at the expense of remaining unfilled.

Getting above all in the order list:
That is exactly what institutions pay/invest large sums for. So keep up or stay away from shootouts
when all you've got is a knife

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  #3 (permalink)
Energy futures Superfreak
charlotte nc
 
Futures Experience: Master
Platform: Sierra Chart, TOS, Tradestation, NinjaTrader
Favorite Futures: energy
 
Posts: 114 since Jul 2012
Thanks: 81 given, 164 received


because TOS only allows equity fills in their dark pool, its never going to be awesome. There is incredible levels of market manipulation in the equity markets, and has been discussed at length in other threads/books. It is not unique to TOS. I see it all the time on IB and tradestation as well.

my advice, use limit orders on the offer to buy, don't chase and dont try scalping pennies. If thats the trading style you want to do, you shouldnt be on TOS (or equities)anyways. Many people who trade a lot end up moving to futures, where that sort of stuff is far less prevalent, (but apparently still there somewhat).

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  #4 (permalink)
Trading Apprentice
Philadelphia PA/US
 
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Favorite Futures: Oil
 
Posts: 2 since Nov 2014
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hobart View Post
because TOS only allows equity fills in their dark pool, its never going to be awesome. There is incredible levels of market manipulation in the equity markets, and has been discussed at length in other threads/books. It is not unique to TOS. I see it all the time on IB and tradestation as well.

my advice, use limit orders on the offer to buy, don't chase and dont try scalping pennies. If thats the trading style you want to do, you shouldnt be on TOS (or equities)anyways. Many people who trade a lot end up moving to futures, where that sort of stuff is far less prevalent, (but apparently still there somewhat).

thanks for quick response and your input

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  #5 (permalink)
Elite Member
New York, New York, United States
 
Futures Experience: Beginner
Platform: TOS
Favorite Futures: Options
 
vitrader's Avatar
 
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I heard from multiple sources that TOS sells the orders of retailers to dark pools, institutions, etc. to essentially screw the retail trader. I heard IB has better execution, but I personally have not tried them.

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  #6 (permalink)
Energy futures Superfreak
charlotte nc
 
Futures Experience: Master
Platform: Sierra Chart, TOS, Tradestation, NinjaTrader
Favorite Futures: energy
 
Posts: 114 since Jul 2012
Thanks: 81 given, 164 received


Quoting 
to essentially screw the retail trader

i wouldnt use that strong of language. certainly its not done for your benefit, but rather because they are paid to route orders to specific places. thats ultimately why they are able to offer free data on everything and have reasonable commission rates.

with IB, you have more flexibility. you can choose to participate in thier dark pool, and they give you a commission break. they can route for best price, or they can route to save on fees, but perhaps at a worse fill. The choice and transparency is whats nice. I can say that IB gives me price improvement, aka filling my limit order better than my limit price on a remarkable number of my orders.

im a big fan of IB for execution and cost. Tom sosnoff has done a couple talks about dark pools and explains how TOS uses them, and why its not as bad as it sounds

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  #7 (permalink)
Elite Member
New York, New York, United States
 
Futures Experience: Beginner
Platform: TOS
Favorite Futures: Options
 
vitrader's Avatar
 
Posts: 53 since Jul 2015
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hobart View Post
because TOS only allows equity fills in their dark pool, its never going to be awesome. There is incredible levels of market manipulation in the equity markets, and has been discussed at length in other threads/books. It is not unique to TOS. I see it all the time on IB and tradestation as well.

my advice, use limit orders on the offer to buy, don't chase and dont try scalping pennies. If thats the trading style you want to do, you shouldnt be on TOS (or equities)anyways. Many people who trade a lot end up moving to futures, where that sort of stuff is far less prevalent, (but apparently still there somewhat).

Sorry to get a little off topic, but I have been working on a scalping strategy to scalp a few pennies on options with TOS with the intention of moving to IB for reduced commissions. I have been on simulation and it's been working well but from the sounds of it my simulated fills aren't realistic. Is that right? I am asking since you said not to try to scalp pennies.

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  #8 (permalink)
Elite Member
Atlanta, ga
 
Futures Experience: Master
Platform: Thinkorswim
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vitrader View Post
I heard from multiple sources that TOS sells the orders of retailers to dark pools, institutions, etc. to essentially screw the retail trader. I heard IB has better execution, but I personally have not tried them.

I have been with TOS for the past 7-10 years and while they can be very frustrating and their customer service has really slipped since the Ameritrade deal, I can't imagine that this would be true. Bid/ask quotes are a mirage in this day and age and like someone mentioned, put your limit order in and hope that the market moves around to fill you.

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  #9 (permalink)
Energy futures Superfreak
charlotte nc
 
Futures Experience: Master
Platform: Sierra Chart, TOS, Tradestation, NinjaTrader
Favorite Futures: energy
 
Posts: 114 since Jul 2012
Thanks: 81 given, 164 received


vitrader View Post
a scalping strategy to scalp a few pennies on options with TOS with the intention of moving to IB for reduced commissions. I have been on simulation and it's been working well but from the sounds of it my simulated fills aren't realistic.

In the strongest terms i would recommend against this approach. Even with my 'pro' rates, you would be racking up commissions between 10-40% of profit, meaning your profitability has to be insane. Also, the 'miracle fill' of simulation does not pan out in the real world usually. Unless you are simulating buying asks and selling bids, you will have more slippage, or worse, no fills on the exit, trapping you. Not the right thread for this, but i would advise you to never build a plan or strategy that doesnt involve at least 30% moves in whatever you do with options. buy calls for a buck, hold them for at least 1.30. sell a strangle for 2$, buy it back for no more than 1.30$

If you want more thoughts, start a new thread. imho i would NOT go live with anything scalping nickles unless you have professional commission schedules. If you want to tiptoe through the tulips in trading, find an FX broker that lets you trade for minis and micros (.50-1$ a pip) and then you can risk 20$ to make 50$ for 3$ commission.

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  #10 (permalink)
Elite Member
Tucson
 
Futures Experience: Intermediate
Platform: NinjaTrader
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Posts: 111 since Jan 2011
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ThinkorSwim and Futures


I have used TOS alongside Ninja for a couple of years. Occasionally I get frustrated with TOS poor executions and lagging. The lagging issue is the back breaker, and I will NEVER use TOS again for futures. Today I had a limit well away from price. Price Action was relatively slow and well behaved. Price started coming to my price and I could not move or cancel my order. The order finally filled when it was well against me. I called the trade desk and they said everything was fine. Complete BS! TOS should not be used for futures. I have never had any of these issues with Ninja.

B

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