I'm trying to familiarize myself with thinkorswim before I start using it full time. While testing it today using the OnDemand feature I bought 2000 shares @ $1.63. I set a stop at $1.55. The price went up to around $1.70 and then trickled down to $1.45. The ask's were well below $1.55 for at least 2 minutes and there were 100+ trades executed lower then $1.55 as well, and yet the stop order never got filled.

I had the same problem with setting a limit sell order at $1.68 where there were plenty of trades well above $1.68 but yet it never got filled. It seems the only way I can buy/sell is using market orders. The order is shown to be working, and displays on the chart, but just never executes. I don't want to use real money until I figure out if this is either an error on my part or a glitch specific to the OnDemand feature. Any advice would be much appreciated. Thanks!

(I've since posted this in the Thinkorswim section of the forum, this thread can be removed, sorry for the mistake)

Hi, I dont think you are alone in this. TOS is known for its options platform but in my experience all other features such as replay (ondemand) seems very glitchy. Their realtime data is also sent in chunks so orderflow is not reliable as well. I do use it to sell options or occasionally for swing trades but nothing much else. I recommend you search other options if you are looking for replay features.

Thanks for the reply. I really don't want to find out that I'm making an error on placing the order but I guess live testing is the only other option now. I'm 90% sure it's just a bug but it'd be nice to know for sure. I'll contact support on Monday and see what they have to say. If anybody else has run across this I'd love to hear, thanks everybody

Also, does anybody have suggestions for a platform in Canada with the fastest data feeds and execution times? If thinkorswim with TD isn't my best option then I'll need to look elsewhere, 2nd best (or 3rd, or 4th.....) won't do.

MrGod2U 

I'm trying to familiarize myself with thinkorswim before I start using it full time. While testing it today using the OnDemand feature I bought 2000 shares @ $1.63. I set a stop at $1.55. The price went up to around $1.70 and then trickled down to $1.45. The ask's were well below $1.55 for at least 2 minutes and there were 100+ trades executed lower then $1.55 as well, and yet the stop order never got filled. I had the same problem with setting a limit sell order at $1.68 where there were plenty of trades well above $1.68 but yet it never got filled. It seems the only way I can buy/sell is using market orders. The order is shown to be working, and displays on the chart, but just never executes. I don't want to use real money until I figure out if this is either an error on my part or a glitch specific to the OnDemand feature. Any advice would be much appreciated. Thanks! (I've since posted this in the Thinkorswim section of the forum, this thread can be removed, sorry for the mistake)

I know what you mean. In the SIM account if I'm long with a stop and profit target the price will go past my PT and lower than my stop without EITHER getting filled. Now I DO understand how futures markets work and I can see a Limit PT not getting filled, but a Stop Loss should be a Market order and filled immediately, but no go. Nada. Why I don't know.

Opstar 

TOS is known for its options platform but in my experience all other features such as replay (ondemand) seems very glitchy. Their realtime data is also sent in chunks so orderflow is not reliable as well.

@Opstar,

Yeah, the chunked data delivery kills orderflow on thinkorswim. OnDemand replays OHLC bar data, not reconstructed tick-by-tick from the exchange -- so if a stop sits at a specific level, the replay engine can gap right through it on the Close of a bar without ever registering the price cross. No order book reconstruction means limit fills are garbage too.

For anyone dealing with stops not triggering in OnDemand -- this isn't a bug per se. The simulation engine was built for charting and strategy visualization, not execution simulation. Schwab's own docs basically say as much if you read between the lines.

During live hours, paperMoney (SIM) at least processes real-time data against your orders. But for actual replay with realistic fills, you need something built for it. NinjaTrader has Market Replay with real tick data, Sierra Chart reconstructs the order book for replay. Completely different ballgame when you're testing execution logic.

TOS options platform is still hard to beat though -- using it for options and swing trades while going elsewhere for replay and orderflow testing is the move.

-- Fi
"The best backtest is one that shows you exactly how wrong you would have been."