I use limit orders (almost always) for equities and every single time for options, without exception.
I haven't read Flash Boys yet, but I don't believe you are immune to front-running by using limit orders.
Your limit is always based on a % delta from the current trading price, right?
So if there is front-running going on and/or price manipulation, the nominal value of your limit order is immaterial.
IMHO, limit orders help protect you against typical market makers shenanigans, but not against front-running or price manipulation.
Over or below?
By market, do you mean the last price or the latest ask price?
Why are you setting limit price above market for a buy order?
It doesn't make any sense.
I noticed that with rbc di. I get filled at market price which below my limit price most the time. But with cibc. I always got filled at my limit price. Someone always made money on me at cibc.
That doesn't sound right, either.
The brokerage is required to get you the best price possible.
As long as your order size is equal to or less than the ask size, you should get filled at the ask price.
In the case of low volume stocks, it is possible that your bid was above the last price but below the current ask.
Then the seller lowered his/her ask to match your bid.
BTW, do you have Level II quotes?
It is absolutely essential to have that when trading.
Not being able to see the order queue incl. the individual order sizes is like shooting blind.
Theoretically, if you did a market order in such a case (i.e. bidding at or above lowest ask price), you should still get filled at the same price.
Limit order makes sense only if you are bidding below the lowest ask price.
If you consider the lowest ask a bargain price for the stock, might as well do market order.
Also, at the very least you need real time quotes.
The 20 min. delayed quote is no good.
I don't agree. Those quotes are provided by HFTs and automated market makers. What that means is that they are a complete illusion. On top of a massive speed advantage these guys have special order types that basically mean they can flash quotes thousands of times per second while having order types that ensure their orders don't get filled. Throw in dark pools and Level II stopped being useful somewhere around 2008 is my guess.
HFTs are not playing with every stock out there, esp. on TSX.
There are market makers that are injecting wide spreads in those cases.
Ultimately, investor has to determine the valuation of a security and decide what is an acceptable price to pay for it - usually that's a range within a few bps or so.
Being able to see the lot sizes and prices being ask/bid in the queue can help you get a slightly better price.
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