Hello friends, I have been having a very hard time getting filled on SPX at the mid-price. I haven't traded the RUT for sometime, but the last time I did trade RUT... I was having troubles getting filled on that too. This is how I execute my trade (please correct or advise me): Step 1: Put on a Fly / Vertical Spread on SPX about 5 - 10 cents above mid. Sit for 5 minutes to be filled. Step 2: I rarely ever get filled on Step 1. So I lower the SPX to mid-price and wait another 3 minutes to be filled. Step 3: About 30% of time I get filled at Step 2. Otherwise I lower my price to 5 cents below mid and wait for another 2 minutes. Step 4: About 40% of time I get filled at Step 3. Otherwise I lower my price to 10 cents below mid and wait another 2 minutes. Step 5: About 50% of time I get filled at Step 4. Other I lower my price to 15 cents below mid and wait another 2 minutes. Step 6: About 80% of time I get filled at Step 5. Else I lower to 20 cents below mid and get filled nearly 100% of time. What am I doing wrong? This is what I am thinking: If on average I am at least 10 cents off the mid on SPX, then might as well trade the SPY. However psychology wise its difficult to fork up those high commissions. I was thinking of changing brokers where I could lower my commissions to 20 - 50 cents / contract. Does anyone know of a good reputable broker that can offer me such fees. Hope you can help me out. I am happy to talk on the phone too if you prefer.