Fill Quantity

S

status1

Well-known member
I don't know if it's just me but it seems that a lot of my orders are broken up into smaller orders recently
So if I have a seven lot spread I get filled on 2 than another 2 than another 2 and than another one and they all get filled at the same price so it's not like the price has moved and it needs to be filled at a different price
It seems that it started with the free commissions but I am not sure if that is the side effect or just a coincidence
Did anyone else have these kinds of fills recently ?
Is there any reason for splitting the fills if they have the same price ?
 
I've always had fills like that. Back when RUT options traded on a few exchanges I would see an order filled at two or three different exchanges, in different amounts and different option prices that came out to the same fill price. Now I suspect the matching software is using different opposite orders to complete yours and that accounts for the breakup into multiple fills.
 
Just to be clear I am talking about SPX
I never saw this kind of fills before they eliminated the commissions Occasionally I get a separate fill but only because it was filled at a different price Why all of a sudden now they are using software to match different orders ?
Is this have to do anything with order flow ?
Just today I got 12 email alerts for a 7 lot spread from Schwab with the exact same fill on all of them when I normally get just 2 alerts one for the buy and one for the sell
I guess I have to ask them why are they doing this ?
 
So I emailed Schwab but I did not get much information but I also contacted Tastyworks and they said that it was filled within 1 second but not all at the same time meaning that other people were selling 1 or 2 lots

So it looks like it's a volume issue which is surprising since this is the SPX supposedly one of the the most liquid underlying
I also looked at the volume the same day and indeed it was quite low For the 2925 strike the volume was only 18 on 11/12
Today it picked up some volume at 3251 for the same strike
I guess not many traders expecting a drop which may not be a good thing in case of a sell off
 
Now they don't even want to fill my order at the ask
I had a spread order to buy to close for 0.05 cents and they would not fill it so I bought back the short instead for the same price and left the long to expire that way it will free up the margin so I can place the next trade
This was on expiration day and the mid price was 0.00
 
If the long has no bid then you're not going to get a spread filled that calls for the long to be sold, right?
 
I believe you could be right I think it was 0x0.05 bid ask for both the long and the short but there was volume and open interest for both
 
I've been unable to get closing spread orders filled in the past until I started looking closely at that long leg.
 
Just out of curiosity are you talking about SPX or other stocks or indexes ?
When this happens is it usually close to expiration and OTM ?

I have not had this kind of problem before so it just seems unusual to me
Another unusual thing recently is the way I get the fills reported and broken up into single lots even though it's the same price
I don't even think it's a volume issue anymore because I had a lot more volume and interest than when I contacted Tastyworks about this
Looks like this is industry wide as a lot of the brokers are doing the same thing

Perhaps they were doing the same thing before but they would only report after the order is filled and now maybe they report it in real time as soon as they get one filled Otherwise I find it hard to believe that a lot of traders are doing one lot only so they would fill one lot from each separate trader
 
SPX and RUT, OTM, and usually closer to expiration.

I haven't noticed any change in the propensity of my orders to be broken up into many small pieces.
 
It just started fairly recently after the 0 commission went into effect so I thought somehow that may have had something to do with it
but I supposed it may have been just a coincidence
All I know is that something has changed

12 separate emails from Schwab when I normally get 2 for a put spread and this was for an opening trade so it's not like there is a volume or open interest issue

I did not have these kinds of issues before and I have been doing the same type of trade for more than one year
 
And this is happening at other brokerages to more or less the same degree
At least from Tastyworks I got only one email containing 10 fills so at least I am not bombarded with emails filling in my inbox with useless fill notices
From Tastyworks I got 8 fills at 10:34:47 and one second later 2 more at exactly the same price
I guess you have to go to milliseconds now to see any difference on when it was filled
 
status1 said:
And this is happening at other brokerages to more or less the same degree
At least from Tastyworks I got only one email containing 10 fills so at least I am not bombarded with emails filling in my inbox with useless fill notices
From Tastyworks I got 8 fills at 10:34:47 and one second later 2 more at exactly the same price
I guess you have to go to milliseconds now to see any difference on when it was filled
Click to expand...
While my observations may not be identical topic... I observed some option trades that were not getting filled, until I reduced the lot size. Now, if I have the time, I work the orders by beginning with small size (1-lot) to insure my orders percolate toward the top of the heap. -- This seems to make sense, as some orders (market orders, from others, may come in with small qtys). Typically, I can get all filled at the same price. -- I only noticed this seeming to be the new "default" about the time status1 reported it! (May be unrelated, but it quacks like a duck!)
 
Hm! I never enter market orders with options. So, do I understand correctly that your orders were market orders? I always use Limit orders, then work the price to get the fill. I am paranoid that a market order may take me to the cleaners! (but also expect my paranoia, may be unjustified 99% of the time, as evidenced by some of my Limit orders getting better fills than my price target! {seldom occurrence, but does occur sometimes})
 
I am not using market orders I was trying to find out what do you do to insure that your order

garyw said:
percolate toward the top of the heap
Click to expand...
Than you also mentioned

garyw said:
(market orders, from others, may come in with small qtys).
Click to expand...

so I was wondering how that would affect this task
Wouldn't this market order (from others) get filled right away and leave your limit order intact ?

I wonder if using the fill "all or none" at some brokerages would make any difference as far as splitting the order
I may try that just for laughs just to see what happens
 
I do not have the facts on precisely how order flow works, but guessing that the algorithm (there may be multiple algorithms with brokerage quirks that make it difficult to fully understand) may go something like this.
Considering only one side, say the ASK (we are wishing to sell some quantity, say 10 of a specific option).
Assume a limit order with the ASK at the lowest ASK price at the time.
If another ASK at the same price but with a smaller quantity than mine, and a market order comes in on the other side of the trade with a smaller size than mine, the order will be filled by the other ASK first.
As the market orders trickle in, the smaller lot sizes than mine at the same ASK price will be likely queued for execution ahead of me. I would expect my order to fill earlier than the smaller qty orders only if an order with the exact size of mine came in.

The above is based on my WAG. No data to support it, so take with grain of salt.

If the above is valid, then observing your order fill at the same price in pieces, would seem to be logical.
 
If that is true what changed from a few months ago ?
Did all the brokers changed their algorithm at the same time ?
Have all the big traders left the market and left only the one lot traders ?
 
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