I generally buy and sell "at market price" as I have a more LT view and a couple of cents here or there does not affect the outcome of my trades. I don't have the time to keep checking if the trade went through, and adjusting the fixed price if necessary to execute the trade.
I use WESTPAC and I have never had the problems you indicate. My execution prices have been the same as the last quoted price prior to my contract going through. Some small variatons, obviously when things are jumping around.
5% is HUGH - could be as much as 10% o an entry and exit trade!! Hope your not day trading.
