Best route for passive trading

[DT3]

Can someone share what the best routes for passive trading where we're placimg limit orders above or below the market. I was told AROUC can anyone confirm?

Also what about stop limit orders are these treated same as limit or do they become market and remove liquidity once hit?

I'm also confused because the prop firmI'm joining seems to have stop limit orders but you can't choose your routing destination where are these executed ?

 

[Alpha Trader]

That is correct, AROUC has the best rates. I do not know what the exact rate is, but I usually go thru the fee structure each month or two and set the best route as my default.

ATM I have AROUC as my default.

I can PM you my fee structure if you are interested.

Alpha

 

[arna]

Check with your broker rates. At this moment I see NQPX has best rate for adding liquidity.

 

[DT3]

I'd appreciate that Alpha.

Are you getting good fills on the AROUC route, or is it being routed to other exchanges?

 

[Alpha Trader]

I'd appreciate that Alpha.

Are you getting good fills on the AROUC route, or is it being routed to other exchanges?

I am getting filled by AROUC. Also, when I put in market orders, there is no slippage most times.

 

[Daal]

The highest rebate is not necessarily the best route

 

[DT3]

Yes of course. However, if we can minimize our commission costs by getting rebates and still getting filled then we'd be stupid not to.

I'm still wondering about stop limit orders if anyone has any insight. I'm guessing theY just get treated as market orders where we're removing liquidity?

 

[Daal]

Yes of course. However, if we can minimize our commission costs by getting rebates and still getting filled then we'd be stupid not to.

I'd say you are making a mistake if you are thinking its that simple, higher rebate venues get taken last by smart order routers, low rebate (or no rebate/fee venues) get taken first. Higher rebate venues suffer from more adverse selection, this has a cost for the trader. This cost, in many situations, can be larger than any rebate you might get. its a hidden cost, thats why so many people for fall it

 

[DT3]

I think we're in agreement?

My goal isn't to get the highest rebate, it's to execute my trade at the price I want while minimizing my commission fees/extra fees.

Can you share your thoughts on which venue to route to? Have you used the AROUC route yourself?

 

[Daal]

I personally like EDGA but the reason is more complex than I can explain in a brief post, EDGA won't pay you a rebate (they will but it so micro it won't matter) but its free for people that hit your order. This results in your order getting hit more often (and you being ahead of the rebate chasers on BATS/EDGX/etc). Mathematically in a lot of situations this will be superior to chasing a rebate but it will take a longer article to explain it. When I finish I might post on my site but its not an easy calculation to do