Best Broker For ETFs... $500K-$1MM Orders
- Thread starter gnome
- Start date
I have noticed alot of bullshit going on with the trade through rule.....
like i see 4k on a level.... 2k arca 1k island and 1k CINX i go to hit it with 4k arca or 4k edgx which are both supposedly routed keys and the shares print but they dont go to me i only get a couple k even though all 4k print....... Alot of the time for some reason i get everything on the way and supposedly miss the large level i was trying to hit. It is total bullshit.
only way i found around this is with a "MULTI" ecn key which i stroke up and will put simultaneous orders to every ecn you just need to be able to estimate what size you need to send to 5 ecns, as it will send the same number of shares to everything so if you over key or under key you risk an over/under fill if ypou hit a reserve.
It still works way better than the routed order trade through i find though. anyone else notice this???
any other explanation as to why this happens??
You mentioned OIH well that and OIL both do the same thing if you are desperate to get out of 10-20k shares you can stroke it 10 cents out of market and the shares appear to be there but you always miss sometimes it prints sometimes it doesnt. This seems to happen in the book of every ETF, and most stocks.
Seems to me that there is like afraction of a second an order takes to route and that is enough time for people with servers in newyork to make you miss. (I.E. automated system that is creating a false book)
like i see 4k on a level.... 2k arca 1k island and 1k CINX i go to hit it with 4k arca or 4k edgx which are both supposedly routed keys and the shares print but they dont go to me i only get a couple k even though all 4k print....... Alot of the time for some reason i get everything on the way and supposedly miss the large level i was trying to hit. It is total bullshit.
only way i found around this is with a "MULTI" ecn key which i stroke up and will put simultaneous orders to every ecn you just need to be able to estimate what size you need to send to 5 ecns, as it will send the same number of shares to everything so if you over key or under key you risk an over/under fill if ypou hit a reserve.
It still works way better than the routed order trade through i find though. anyone else notice this???
any other explanation as to why this happens??
You mentioned OIH well that and OIL both do the same thing if you are desperate to get out of 10-20k shares you can stroke it 10 cents out of market and the shares appear to be there but you always miss sometimes it prints sometimes it doesnt. This seems to happen in the book of every ETF, and most stocks.
Seems to me that there is like afraction of a second an order takes to route and that is enough time for people with servers in newyork to make you miss. (I.E. automated system that is creating a false book)
I dont think it is the broker you have to worry about as much as the ECN's Every broker will have the same "ARCA, " NSDQ" and "EDGX key its just that since there is multiple different sources to hit on one level it almost never routes properly.
A goood example would be if you are looking at bonds the market level 2 size might be 1200x1800 well instead of having 1 round number like that on the stock exchange the 1200 will be broken into
700 arca
200 nsdq
300 edgx
which equals 1200.
I dont know wether you are used to trading for yourself or with full service brokers. The only advantage a "full service" broker might have is he knows some third party shit that isnt even on the ecns.
The best way to get your fill for the full 1200 is to send 1200 to "arca" nsdq" and "edgx" simulataneously so computers dont pull cause one gets hit. but if for whatever reason someone decides to fill you for the full 1200 on each "ECN" all at once you risk getting 1200 times 3 or 3600 shares, or 3 times the fill.
This opposed to sending an order like an "ARCA" routed order which will A" hit the 700 arca shares, then "B" hit the 200 nsdq shares.
all these are on the same level at the same price so it looks like the same 1200 but if you decide to take the "ARCA" quote the rest will just vanish cause its computers sitting there based on the arca quote. if you decide to use an arca routed key often times in the process of arca routing it will just vanish. So the book is total fallacy. If you want PM me this may be very confusing im even confusing myself trying to type this.
If you are used to trading bonds and stuff that trades on the futures market then everything trades on one level/one "ecn" it is totally different on the stock exchange as you have multiple sources for the same price.
well not with a full service broker if you have a full service broker you can just call and say i want 10,000 shares at "X" price and they will try to get it but then you are paying like 10-50 cents a share as opposed to 1 cent a share max with most good brokers. Plus the brokers will front run you.
With any direct access broker yes you haev choose where you want to buy the shares, or pick your "ECN"
Re-read my last post i re-edited it several times to try to make things more clear.
The book on the ETF's is total bullshit try to hit size 5-10 ticks out of market and you will miss atleast 70 percent of the time, this is because (in my view anyways) it takes time for an order to route at each level, so for example at 93.41 is offered there is 200 on arca 200 on nsdq and 200 on edgx well, while the arca order is trying to route to edgx and nsdq (cause it has to take its shares on .41 before it hits the next level), the next level has time to pull so you miss the size quote you are trying to hit.
You are right though i dont imagine there is much of a difference between the different "ONLINE" brokers like you would not see much of a difference between scotttrade or IB just try to find one that has a way of sending the shares you want to everything all at once and cut down the size......
The way i do this is if i want 15k shares i turn it into a 5k share order but send it to 5 ecns, all at once.
What happens if all 5 ECNs fill you? You got 25k instead of 15k?
I was reading up a bit on IB's Smart Routing... one report showed about 90% of IB trades used "Smart Routing Limit Orders"... So does that mean the Smart Routing automaticaly picks up the pieces of the trade at various ECNs until the trade is filled?