How do you set a limit order when the quote frequently changes?

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mrboast
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How do you set a limit order when the quote frequently changes?

Post by mrboast »

Of the etfs I own, they are all very liquid with low spreads and good volume. When I am setting up my order I observe the bid/ask, but every time I refresh the screen, the bid/ask has changed. If I hadn't refreshed, I would have selected a stale figure. I prefer not to go the market order route due to the order sizes. What are best practices here? (I am only using the Vanguard screen so don't have access to the deep order books, etc).
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FiveK
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Re: How do you set a limit order when the quote frequently changes?

Post by FiveK »

A couple of possibilities:
1) Pick values at which you would be happy to trade, enter the limit order, and don't agonize over a few pennies/share if you "missed" some short term volatility (aka noise) in the share price. You aren't doing this often, are you?
2) Convert to the mutual fund version and never have to worry about this again.
livesoft
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Re: How do you set a limit order when the quote frequently changes?

Post by livesoft »

Submit several orders since you do not pay a commission.

Suppose you want to sell 2000 shares of VTI. Submit 4 orders of 500 shares each. First order with limit of 5 to 10 cents higher than current bid. 2nd order a penny lower limit (4 to 9 cents higher than the current bid). Etc. Then if you are patient, wait. If you are impatient, then modify your order. You can take the highest limit order and change it to a market order and see what happens.

If you want to buy 2000 shares of VTI, then submit 4 orders of 500 shares each. First order with limit of 5 to 10 cents lower than current ask. Then modify based on your impatience.

Or submit order for the opening cross where there is no bid/ask spread.

Or submit multiple market orders for 100 shares each. With no commissions, you can do lots of things.
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in_reality
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Re: How do you set a limit order when the quote frequently changes?

Post by in_reality »

(on a tight spread with market movement)
To sell immediately: current bid -$0.02(or so)
To buy immediately: current ask +$0.02(or so)

These are basically market orders and if they don't fill immediately, I will resubmit them based on the current bid/ask and guesstimating how much to go lower than the bid or higher than the ask if the market is really moving.
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Qtman
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Re: How do you set a limit order when the quote frequently changes?

Post by Qtman »

Set your price. In many situations if you are either trying to get out or buy for long term, a point here or there may not allow you to trade, think about what your goal is, I don't let a few cents, even a dollar stop my trade.
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nisiprius
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Re: How do you set a limit order when the quote frequently changes?

Post by nisiprius »

I've only tried to trade ETFs two or three times since the Flash Crash. After the Flash Crash I tried to follow the standard advice never to use market orders.

I did the transactions at Fidelity. I never succeeded in getting a limit order filled. From my viewpoint sitting at my terminal, the sequence was:

a) Fidelity's website would not allow me to enter a buy order at anything higher than whatever was showing onscreen as the "ask" price.

b) I would enter an order precisely at the "ask," i.e. as far as I knew there was someone ready to sell to me at that price.

c) The order would never get filled, apparently because the market value was trending or fluctuating higher, and for whatever reason it was never in on time to get the "ask" price.

I never figured it out. I always ended up by giving up and placing a market order, at a price annoyingly higher than when I started.

It's possible that the issue is that the posted "ask" price was for round lots (of 100) and I was buying odd lots, but if so it wasn't clear and I couldn't ever figure out a way around it.

If someone happens to know The Answer, I'd like to know it for future reference just in case I ever want to buy an ETF again someday.
Last edited by nisiprius on Mon Feb 01, 2016 7:48 am, edited 1 time in total.
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livesoft
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Re: How do you set a limit order when the quote frequently changes?

Post by livesoft »

mrboast wrote:... but every time I refresh the screen, the bid/ask has changed...
Who is your broker? Why do you have to refresh the screen? At my brokers, the current quote is shown on the order entry page and is updated automatically.

Maybe you didn't literally mean refresh the screen? But if so, do you have at least two browser windows open simultaneously, one with quote and one with order entry?
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looking
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Re: How do you set a limit order when the quote frequently changes?

Post by looking »

How do you set a limit order when the quote frequently changes?
Unread postby mrboast » Sun Jan 31, 2016 11:05 am

i tried at vanguard etf trading platform limit order but it does not work my experience
cookieid
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Re: How do you set a limit order when the quote frequently changes?

Post by cookieid »

A few months earlier I placed a limit order at Vanguard website and it went through.
chx
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Re: How do you set a limit order when the quote frequently changes?

Post by chx »

nisiprius wrote:
Fidelity's website would not allow me to enter a buy order at anything higher than whatever was showing onscreen as the "ask" price.
My memory could be wrong, but I usually enter a buy order in exactly the way you describe, i.e. using a limit that is slightly higher than the current ask (because what I really want is a market order with protection against flash crashes and withdrawn asks on thinly traded shares). I have done this at both Vanguard Brokerage and Fidelity Brokerage, most recently with a commission-free iShares ETFs at FIdelity. It was filled immediately at better than the ask price. I was buying a round lot. Once, I had to call the Vanguard broker because it was a complex options order; the broker did note that I was offering more than the current ask, and he asked whether I wanted a market order instead. No, I said, a limit order, please. He placed the order, and it was also filled immediately at better than the ask price.

Not sure whether this info helps you, but I would be interested to know whether you continue to run into the issue, either with round lots or fractional lots.

xxChip
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Re: How do you set a limit order when the quote frequently changes?

Post by German Expat »

I place all my orders with a limit but pick a larger spread. e.g. if I buy something I add or subtract 10 cents (most of my orders are in the range of 100 - 200 shares because I am in the accumulation phase). They usually still get filled around the ask, its more for my own protection in case there are some strange swings. I would be ok to pay the 10 cents more, not a big deal looking at it long term.
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