Add Liquidity Only

[walterjennings]

Hey. I'm trying to find more information about methods to insure add liquidity on orders. Currently I use BATSALIQ, but I find for many equities, its harder to get a fill on BATS. Does anyone know if NYSE or NASD has add liquidity only options? Thanks

Edit: I see a ARCAALO, hoping that ALO = Add Liquidity Only. Though I can't seem seem to find any explanation or documentation on it. Even searching for ARCAALO on nyse.com turns up nothing.

 

[dinn13]

NYSE does not have an add liquidity only option, they're lacking in all sorts of ways when it comes to order types and options.

Nasdaq has what's called Post only which is their add only feature. If you send the order and it would take liquidity but not price improve then it re-adjusts the price, on the other hand if the fill would price improve on your limit price then they'll fill you. http://www.nasdaqtrader.com/content/ProductsServices/Trading/postonly_factsheet.pdf

Direct Edge has an add only option. It will reject the order if it were to remove liquidity. (how high frequency strats are able to find where the hidden liquidity is, likewise with price adjust on nasdaq/bats).

I forget how arca works, been a while since I've posted there.

Bats and Directedge support add only midpoint orders, can increase your fill rate that way. Especially cause some smart order routers out there will periodically check all the midpoints so can capture flow that might have gone to a dark pool or a venue that you're not sitting on.

You're going to get better fills on bats relative to arca/nasdaq/direct edge since the remove rate is less so any half assed smart order router will first take liquidity on bats prior to the other ones. And since the majority of the flow these days is at least half assed then on average this will be the case.