At IB I was told that a market or OPG order won't be entered until the primary exchange opens. Sometimes amex doesn't start trading iwo, for example, until a minute or two after 9:30 est. If I enter a limit order, however, I was told I would be filled at 9:30 by any open exchange. This has hurt me a few times so now I enter a limit order even if I have to add lots of give (2-3%).
MOC orders have also been terrible. iwo closes at 4:15, not 4:00 so the spread goes crazy after 4:00. Placing a market order to be filled a minute or two before 4:00 has worked best.
When I traded QID/QLD, I used QID exclusively because it had a lot more liquidity. For longs I would short QID. I used QLD once and actually received a gift in terms of mis-pricing, but I realized I could just have easily received a penalty because the spread was higher.
Anyway, I am studying your system more. I think I understand it now more than I ever did.
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