I didn’t bother to do the research on exactly how odd lot trades are handled, but one thing is for sure: they are handled separately and differently than regular trades. I paid a small price for this lesson today.
I was exiting 50 shares of SPY at market. I placed the order on tradestation’s Matrix interface. For 15-20 long seconds I watched my market order marker move up and down with the “last” price but it didn’t get executed. I started to sweat as the price moved against me each second it didn’t get executed. It finally did 45 cents later. I called trade execution and they told me it was an odd lot trade and anything could happen.
So market order odd lot trade — never again! Limit order odd lot trade– may be (e.g. GOOG, AAPL, etc), but there’s a good chance the order won’t get filled during fast price movements. It’s best to avoid odd lot trade all together.