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Donna,
I also trade the S&P and have studied this issue since I was concerned that
my trading system would be profitable even with the wide swings of the S&P.
I have found that using the high of the next 1 minute bar when buying or the
low of the next 1 minute bar when selling is a good (and reasonable) number
to compare against. I time stamp my trade sheet when the floor broker/clerk
reads back my order then look at the next one minute bar to see how I filled.
If I would fill above/below the high/low I will be on the phone complaining
immediately. In the past I was double checking this against the time & sales
of the data feed but have stop doing this since I have found it to be a good
means for tracking my brokers performance. With this method I have found
that, in the last 6 months, I have only had to complain once and the broker
adjusted the price.
I originally looked at this method to verify my trading system but it has
proven to be effective for monitoring my brokers. I know this method is
dependent on the data feed and your broker to some extent. That is the
actual delay of the "real time" feed. I use a CQG and believe it to be fast
and accurate.
Good luck trading,
Jim
>Reply-To: DKillen491@xxxxxxx
>
>Would appreciate some feedback with reference to market order fills in the
>S@x 500 futures with Direct Floor Access. I am presently trading with Refco.
>with Sumitt management Group and have found the fills to be decent on stop
>and limit orders but on market orders there has been alot of slippage. I am
>just about to go to Direct Floor Access and wondered if this is a must!! Or
>does it make a big difference. Any feedback would be great.
>
>Thanks,
>Donna
>
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