getting quick S and P fills???

[dbecker@xxxxxxxxxxxx]

I am interested in how people that trade the S and P on a stop entry are
getting filled.
My system uses a stop entry with  a fixed stop loss exit and fixed limit
profit objective exit.
This post is not intended to discuss the merits of a trading system, only
getting filled on an order.

I prefer to trade on 5 minute bars and try and capture 1.5 to 2 points. My
risk is usually only 2 points. It works great on paper but as fast as the S
and P moves I have yet to use real money because of the fill problem. It
works well with the e-mini, but because of order type restrictions
and the low risk/reward, it is not worth it. 

The problem with trying to capture small points with low risk on a stop is
the confirmation of the entry order. The profit or loss can occur in the
next one or two bars, before getting back the initial fill confirmation.
Most brokers that I have worked with tell me that if I see my stop hit,
there is a 99.9% chance that I got filled and that it would be safe to
place my exit orders. To me, that is dangerous advice. I want to see the
fill first and quick . Maybe it is not possible.

I have a friend from North Carolina leases a seat for $2500 a month at the
CME and trades for himself. He claims it is the only way to get filled
fast. He is so convinced of that, he actually
goes to Chicago for a couple weeks a month to trade, and keeps a rented
apartment there to live
in. 

I have been demoing the LeoWeb software with the actual working program.
Unfortunately, the demo will not report back fills. I have also set up an
account with the Auditrack on line paper
trading system. It is a great way to paper trade the S and P by the way,
they even take an OCO
type order. According to their tech people they attempt  to simulate the
actual market action in their software. I believe this is true because in
fast moving times the order fill reporting is slower
than in the nonvolatile times. 

I have been toying with the idea of placing a market order when I see the
price hit my stop entry,
and then another market order to exit when it hits my profit or loss point.
The problem with that
is it breaks my number one rule of not having a fixed stop loss in place.


Hopefully this post will open some eyes on people that are getting ready to
start trading the S and P based on how well it does in back testing. I
believe there are many good systems and with
sound money management they will make money. I have yet to see a back
tested program
for the program that can figure in the real world conditions of slipped and
delayed fills.
I also am sure that people that have a higher degree of risk tolerance
don't have this concern.

Please post or to contact me with any ideas or suggestions you may have. 

Thanks!
Don
dbecker@xxxxxxxxxxxx