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Non-Tech : Interactive Brokers / Timberhill
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To: jesso who wrote (811)12/6/2000 11:21:15 AM
From: Esteban  Read Replies (1) of 9012
 
Whether to use market or limit orders trading NQ has been an ongoing subject of debate for me for the 8 months I've been trading NQ nearly everyday. Using Alaron as my broker there has been no difference in the time of fills between market or marketable limit. Both nearly instant. I'd like to try IB for the new lower commissions, but just can't get the software to navigate my ISDN connection reliably.

Since NQ has such an amazing price fluctuation over just a few seconds, I often find it difficult to place an appropriate limit order. By the time it's ready to send the limit price no longer reflects the current market. As a result of this constant fluctuation, there is quite a bit to be gained in the area of price improvement, and conversely a lot to be lost when missing the opportunity. I've settled on using market orders of no more than 3 contracts at a time. More than 3 and you often get very bad fills on the last few contracts. This seems to work well about 80% of the time, with fills as expected or better. The other 20% of the time I pay the price. Often the only trade in a possible window of about 10 or 20 that hit the high or low for the period to my disadvantage. It's happens more often than seems statistically possible, and seems to come in waves.

The market order solution is one I'm never satisfied with, but for me it's been better than missing some big trades as a result of a missed limit order. I'm thinking that if I ever get IB working well with my system, I may be able to give limit orders a try again on the NQ. It takes at least 15 seconds to navigate through the software to cancel and replace with Alaron. That's a deal breaker.
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