instead of changing your limit order into a market order just change the limit price. So if buying set the limit above the market and below the market for a sell that way you'll be executed(!) at the market price straight away.
If you are trading Globex and you enter a market order then IB has to convert the order into a limit order prior to sending the order to Globex. This is where there is a very slight delay. In a fast moving market this will make a difference.
If you enter a Limit or Stop Limit order the order is immediatly routed to Globex.
Sid, I'm with you, but what happened is I tried to change the limit and nothing happened, so I thought best to pull everything in case "other" things were going on, and re-enter.
FYI: The GLOBEX matching engine doesn't accept stop orders! Your broker probably will take them for GLOBEX markets! How is this? The broker keeps your 'stop order' on their server (big computer) until the price is reached. Your brokers software then sends your stop order to the GLOBEX engine as a market order.
If your broker has built his software around PatSystems then your stop will actually be held on YOUR PC not a central server that you'd hope was more stable than a/your PC. If you turn your PC off then bang goes your stop order!
As for eCBOT being built around LiffeConnect, orders will be filled in priority of size, not time stamp.
This is my understanding of some odds n sods of getting orders filed that I hope helps. Others may know different???
Globex doesn't accept stop orders but it does accept stop-limit orders, so just enter a stop-limit with a wide limit offset to ensure that your stop rests at Globex and not at the brokers.
As for Ecbot all stops are simulated at the brokers, none are held at the exchange.
The thing about the NYSE blue chips is that they are more relaxing and gentle to trade than a lot of the Nasdaq stocks and this is why I like them. They are generally more predictable too and several of them do have good ATR's which present decent money-making opportunities on a daily basis.