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...on smaller names, when there is say 1100 to 700 spread, I get consistently better price fills when I do it in below 100 share lots equal to 1100 shares (in this case).

any reason why?
is it just unique to one broker (the one i use?)

It is significant enough for me to notice and alter my trading. For very low volumes, it can make a huge difference...
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Martian, what do you mean by 1100 to 700 spread?

Provide some more color and I can maybe share some thoughts.

Are we talking us names, or Canadian names traded via US OTC?
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at least at tdai

for any stock with, say, a 10c spread
I get better fill prices by putting in under 99 share buy and sell orders in a block account

I don't have level 2
so if a particular stock shows a 1100 bid and 700 ask
I put in 700 worth of shares but in under 99 lots all executed at once
and almost always get better fills
as much as 5-8c for that example

if i put in one order for 700 shares, i get the higher price period most of the time on the buy
i first noticed this w/the CEF preferreds
almost 100% of the time I got better fill prices when using under 100 share lots
but also notice it on many of my small caps too

had an example yesterday
I put in 1000 sell shares and got 28.66
when I broke a similar size order into 99 shares or less for the same 1000 shares, I got 28.68...

I've also noticed this with the ETF BIL I'm using
most full lots get filled at 1c higher, but under 99 lots done together regardless of size usually get 1/2 cent lower, which is a big deal in this security
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bottom line

when buying or selling 99 shares vs. 100 shares
I often get better pricing on buys and sells
want to know why

obviously irrelevant for liquid or fast moving stocks...
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Ok, I think I see what is happening.

So you are seeing a bid/ask... You are offering to transact immediately (buying at ask, selling at offer). ok.

By breaking the order into <100 share lots, my best guess is the following:

- The internalizer that TDA uses (I think Citadel) guarantees a tighter bid/offer than advertised, because by executing all of TDA trades, they can guarantee they aren't dealing with a sharpy (on average) vs. standard market making (which is the NBBO bid / ask listed). My experience would say that generally you will only get fractional penny improvements here though...

- Depending on exchange as well, 99 share lots are guaranteed favorable execution in some instances (they sweep with the nearest transaction price) but I don't think that would apply in this case, and I'm rusty on the exact rule here.

Maybe others have some thoughts. When I'm back home, i have a text book I may be able to poke at here with some info...
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My experience would say that generally you will only get fractional penny improvements here though...

there is no rhyme or reason to it
some of the block buys get filled at the lowest possible price
and some the highest
but I always get better fills uniformly

at times, i will toggle it - do 2 blocks and one is higher and lower, so sometimes I use 99 shares and 20 shares if there is a pattern, so the 99 gets done at an attractive price, and 20 gets done at the less attractive prices.

Again, in the CEF preferreds, the fill prices are MUCH better done this way, and given you can see a size, there is no risk in putting in 11 different block orders under 99 shares if 1000 is listed. With TDAI, i can just import the file in so it is done fairly quickly...
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