5 cents spread pilot stocks, Smart Max Fill and midpoint orders.

L

luisHK

Hi

I've checked today the Time and Sales of a small cap from the 5 cents pilot stocks.
When entering orders on TWS if I click Smart Max Fill in the order destination, the order is posted on NYSE (same as with Smart), yet according to Time & Sales hardly any trades go through NYSE , and many show up within the minimum 5 cents bid/ask spread.
Many more trades show under FINRA (darkpool as I now understand), BYX, BEX, Island and PSX.
Smart max fill doesn't appear efficient in that case, which destination would be better than NYSE and what order could work out to get filled within the spread ?
I've tried some Jeffalgos on the same stock a while ago without much success btw, but definetely could have tried harder.

Thanks in advance for all related info
 
Maybe try SMART Dark Only or one of CSFB algos, they have the most liquidity. I'm done with IBAlgos myself, unreliable and too slow. Tried the closing algo today and was left holding my position. I've used the Adaptive before and the fills were quite sad.
 
"Institutional investors unhappy with tick size pilots
17 October 2017 | 1790 views | 0Source: Greenwich Associates

The U.S. Securities and Exchange Commission should consider ending the failed Tick-Size Pilot in small-cap stocks early to free up time and resources for other experiments in equity market regulation, such as the proposed Access Fee Pilot Program, stock exchange “speed-bumps” and reforms or even the removal of the Order Protection Rule (OPR).

That is one key takeaway of a new report Investors’ Take on Market Structure Issues—2017 from Greenwich Associates. The report presents the findings of interviews with 52 U.S. buy-side equity traders about changes in market structure.

Tick-Size Disappointment
Institutional investors view the Tick-Size Pilot as a failure. The two-year test program was launched by the SEC in 2015 with the hopes of increasing market liquidity. Almost one-third the traders feel so negatively about the tick-size pilot that they think it should be discontinued immediately. “It’s time to clear the deck of the tick pilot in order to focus on other topics,” says Richard Johnson, Vice President of Market Structure and Technology at Greenwich Associates and author of the new report."


The way I understand the Tick Pilot it won't make much difference where you send it. They are minimum nickel wide. Rebates may vary, but I believe the minimum nickel wide is the nature of the pilot.
 
Thanks all for your replies, I put some of your input to work today without much success.
Pegged to Mid orders are not accepted (why ?), either on Island, arca or IEX, and I sent 2 small orders through Crossfinder which resulted in no fill. Pretty sure I tried crossfinder a few month back with the same lack of success btw.
Placed some limit orders through BYX and BEX as well, with a little more success, will use those probably more often, but there have been many fills around middpoint and I'd sure be happy to join the party.

Ajacobson, I actually read the article in your first post on the topic, interesting, now let's see what the SEC does with the Tick Pilot.
 
Actually it appears I made a mistake with the offset amount, it seems to work on Island when entering 0.00 there, but not 0.01 nor 0.05, the latter to fit the minimum bid increment in those tick pilot stocks. It doesn't work with any amount between 0.1 and 0.5 actually.
Tried 2 sell orders, once with limit price at the bid, another at the ask, and both times got filled at the limit price entered, no mid point. It took a little while for both orders to execute, even the one when the limit price was at the bid.
Still a bit confused, will try to work the PEG MID order a few more times see if I can get it to work better, but any advice is welcome. The bid/ask is minimal in that stock btw, like 10.00/10.05 but many trades are done within that spread, a lot of them in darkpools.
Opening orders on IEX as well, see if there is any difference.
 
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OK, starting to work, new orders on IEX and Island got filled at mid, while the bid/ask hadn't move.
Thanks Shadetree for insisting it should work.
 
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