Best Broker For ETFs... $500K-$1MM Orders

[CowboyBlue]

Quote from gnome:

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?

Yep you just need to pay attention to the levels you are doing it at (i.e. if you are buying a round dollar there tends to be reserves)

DESCRIPTION:

on the stock market they allow people to have hidden orders called reserves so often times at round numbers like 28 even or 28.25 or 28.50 there is a reserve or a hidden order which does not show on the book, but is still there, meaning all 5 will fill.

Realistically though you can probably choose 4 ecns but divide it by 3 and you are better off for example if you want 15 you go 4 to 4 ecns times 5 as opposed to three times 5 you might end up with 20 but more than likely get a better fill, and still be missing a few of the shares you wanted

 

[Red_Ink_inc]

Quote from gnome:

I don't know the lingo... "order must be set to route out"... ??

So, IB is "direct access", but brokers like Scott are not?

And the trade wouldn't work the same with Scott as with IB? Would Scott route the trade differently, more slowly, and likely I'd end up with a worse fill?

Most orders sent through a broker will automatically route out. What that means is if the order is sent on the INET ECN it will take any shares at the speciafied price available on the INET ECN then route out to other ECNs within the specified price range.

Not sure about Scottrade. I know little about them, let's just say I'd be way more comfortable keeping my money at IB.

 

[CowboyBlue]

Quote from Red_Ink_inc:

Most orders sent through a broker will automatically route out. What that means is if the order is sent on the INET ECN it will take any shares at the speciafied price available on the INET ECN then route out to other ECNs within the specified price range.

Not sure about Scottrade. I know little about them, let's just say I'd be way more comfortable keeping my money at IB.

Dont you notice you miss alot of the time doing this though and ESPECIALLY on ETF's????

 

[Red_Ink_inc]

Quote from dwl603:

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)

Yeah I have experienced crap like this. To the best of my knowledge only quotes on Level 1 have to be honored. Many times I have needed 5k shares and see by looking at the level 2 that if I cross 5 levels I can get the 5k I need.

Only to cross the 5 price points and then find myself yelling out "267 shares? What the fuck am I supposed to to with 267 shares? put them in my fucking RRSP (IRA for you Yanks) and check back in 5 years?"

 

[Red_Ink_inc]

Quote from gnome:

What happens if all 5 ECNs fill you? You got 25k instead of 15k?

Don't send orders for more shares than you want.

 

[CowboyBlue]

Quote from Red_Ink_inc:

Yeah I have experienced crap like this. To the best of my knowledge only quotes on Level 1 have to be honored. Many times I have needed 5k shares and see by looking at the level 2 that if I cross 5 levels I can get the 5k I need.

Only to cross the 5 price points and then find myself yelling out "267 shares? What the fuck am I supposed to to with 267 shares? put them in my fucking RRSP (IRA for you Yanks) and check back in 5 years?"

LOL so you know EXACTLY my pain......this is usually the time when the people around me have to run out of the room in fear that i might actually take a swing at someone. i dunno i tried to explain it the best way i could do you think there is some other exaplanation for this??? I noticed the multi key often times works better but alot of the time you have to underkey it into the ECNs you are trying to take or else overfill. Otherwise just estimate.

The worst is when you think something is legit and send like 15k 5 ticks out of market and are supposed to fill but instead you miss, fill 3k and post 12, then the stock motors..... cause everyone sees your size.

 

[gnome]

Quote from Red_Ink_inc:

(IRA for you Yanks)

You could have said "IRA for you WANKS".. most wouldn't get it, but others would have laughed...

 

[DisciplinedHedg]

Quote from gnome:

I've always traded mutual funds and futures, never individual equities. But with the volatility of recent times, EOD fills on mutual funds risks too much slippage.

You mentioned MFs and futures. MFs I understand. With some MFs you have to get your order in 15 min before market close. That could be the high of the day, but by the close, these days, we could easily be at low of the day 15 min later.

But what problems are you having with futures?

 

[Red_Ink_inc]

Quote from dwl603:

Dont you notice you miss alot of the time doing this though and ESPECIALLY on ETF's????

One thing you have to keep in mind with ETF's is that they are tracking something else.

For example GLD, it obviously tracks gold futures. If gold futures suddenly rocket upwards, the GLD stock/ETF may appear to have plenty of shares laying around but will suddenly move 5-10 cents and print only 3-500 shares in between. As the computers providing the quotations will adjust faster then you can execute against them.

Same thing in the morning with SPY. When economic data is released at 8:30 EST they will make a sudden move and hardly print any volume as the quotations are adjusted to reflect the current market conditions.

 

[neke]

Quote from dwl603:

The worst is when you think something is legit and send like 15k 5 ticks out of market and are supposed to fill but instead you miss, fill 3k and post 12, then the stock motors..... cause everyone sees your size.

When that happens, just replace your order with a much inferior limit price. Once they see you are gone, or think you are bluffing, the price comes down precipitously as they seek to get out. You may end up getting a better price.