Squirlly TOS fills

[cwelsh 1,497]

Well I've had something happen today that I've never seen before, and I'm QUITE curious as to how it possibly could happen. I've sent TOS an email already, but maybe someone could shed some light on it.

I have several active accounts with TDAmeritrade/TOS (long explanation), but trade them fairly similarly. When I enter the same trade on all three accounts, it always executes in the order I place it (as it should). So for instance, if I'm trying to buy the 100 strike call on stock XYZ for $1.00, I'd enter the trade as follows:

Account 1: 10 contracts bid $1.00

Account 2: 20 contract bid $1.00

Account 3: 15 contracts bid $1.00.

Then, just like it should, they fill in order. So I could, and do sometimes, get one account filled, but not the others.

Well this morning I placed a GPS order as follows:

Account 1: Buy 10 35/35 Straddle @1.39

Account 2: Buy 10 35/35 Straddle @1.39

Account 3: Buy 10 3/35 Straddle @1.39

Well what happened was account 1 had 6 contracts filled. Then, BEFORE that order was finished filling, Account 2 had 2 contracts filled, THEN Account 3 had one contract filled.

How the #*(& does that happen? The first entered order should have been filled first. This greatly shakes my faith in the TOS order routing and order priority system

[Hany 1]

I never heard of an "order priority system". Does IB have this too?

[cwelsh 1,497]

Orders HAVE to be filled in the order they are submitted.

So if I placed an order at 10:00:00 for 100 shares of stock XYZ at $10.00 and then you placed the same order at 10:00:02, I should get filled first.

That has NOT been happening today, on any of my orders, and its kind of pissing me off because that means TOS is giving priority to orders based on WHO is placing the order as opposed to WHEN.

[Marco 221]

well if they have some sort of 'smart' order routing these orders might be placed at exchange A and then put to exchange B because there is a better offer. That might change the order in that they get filled.

Just guessing though

[smt1 2]

Wasn't TDAmeritrade using KCG for a lot of order flow? I wonder if they switched to other companies, resulting in execution changes....

[Guest DShaver]

Chris,

I'd love to know what TDAmeritrade said about your problem.

[cwelsh 1,497]

Chris,

I'd love to know what TDAmeritrade said about your problem.

They said I couldn't be right and that couldn't have happened. I have now printed out my screen shots and faxed it them. I'm interested to see what they say too.

[Marco 221]

They said I couldn't be right and that couldn't have happened. I have now printed out my screen shots and faxed it them. I'm interested to see what they say too.

curious too now. Please share their answer if you can.

thanks.

[cwelsh 1,497]

Ok, I finally got someone who knew what they were talking about, and it has to do with how "smart" orders are routed. It evidently is entirely possible that I place 3 orders, from three accounts, at the same price, that each get "smart" routed to three different exchanges -- then get a partial fill on each of those on the three separate exchanges.

So it actually is possible, on limit orders, to have place an order BEFORE person X, but get filled after person X (or not filled at all) because of where your order was routed.

I don't think this comports with TOS's disclosures on how they route orders (I haven't gone back and checked yet, will try to tonight if I can), but it certainly "seems" wrong to me. If I place an order at 10:00:00 for $1.05 and then person X places an order at 10:00:30 also at $1.05, both limit orders, and Person X gets a fill, but I don't,.......just doesn't sit right.

[Marco 221]

Ok, I finally got someone who knew what they were talking about, and it has to do with how "smart" orders are routed. It evidently is entirely possible that I place 3 orders, from three accounts, at the same price, that each get "smart" routed to three different exchanges -- then get a partial fill on each of those on the three separate exchanges.

So it actually is possible, on limit orders, to have place an order BEFORE person X, but get filled after person X (or not filled at all) because of where your order was routed.

I don't think this comports with TOS's disclosures on how they route orders (I haven't gone back and checked yet, will try to tonight if I can), but it certainly "seems" wrong to me. If I place an order at 10:00:00 for $1.05 and then person X places an order at 10:00:30 also at $1.05, both limit orders, and Person X gets a fill, but I don't,.......just doesn't sit right.

interesting so sort of what I guessed. I don't think you'll be able to change that while using smart order routing. If you want your first come first served you will have to put the order to one exchange only. That might mean you miss a fill at another exchange though.

Time for all these exchanges to merge (and that would be a good time to get rid of liquidity fees (keep the rebates )