best routing venue when you want out

P

PnL Rally

For a black box I'm running, when the system wants to get out of a position immediately, I'm routing the order to EDGX as a marketable limit order. EDGX has been ok, but I'm not sure if this is the best method, or if I would be better off going with another venue such as BATS.

I trade a lot of small and midcaps.

Does anyone have any feedback on the best place to route orders when you are stopped out of a trade?
 
Quote from PnL Rally:

For a black box I'm running, when the system wants to get out of a position immediately, I'm routing the order to EDGX as a marketable limit order. EDGX has been ok, but I'm not sure if this is the best method, or if I would be better off going with another venue such as BATS.

I trade a lot of small and midcaps.

Does anyone have any feedback on the best place to route orders when you are stopped out of a trade?
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Can you give us a little more info about your trading to better help you?

1. Is your blackbox high frequency? Are you looking for 1-5cents profit or 1-2points profit per trade?

2. What is your average share size per trade? How many shares per month do you trade?

3. What is the avg. daily volume of the stocks you trade? Greater than 1million shares or less than 300k per day?

4. What broker are you using, what software are you using?

5. Do you mostly trade NYSE listed stocks or Nasdaq stocks, or an even mix?

6. Are the stocks you trade priced above $1?

7. What is most important to you in your executions; speed, liquidity, execution cost?

8. Is there a reason you are using EDGX currently?
 
Hello Tomu, here are the answers to your questions. any feedback on where to route is appreciated.

1. Low frequency
2. 100 to 300 share positions
3. trades anything with ADV over 100,000 shares
4. Assent/Anvil
5. NYSE only
6. above $6
7. Speed. I want out immediately with minimal slippage. I am happy to hit the bid when the spread is tight. I hope for something better when spreads are wide, but still want out right away.
8. Using EDGX because they do a lot of volume, and supposedly have a good routing algo. EDGX is generally OK, but sometimes it seems the fills could be better. I've been experimenting with BATS in my manual trading to see if it seems better.
 
I've done the real-world slippage analysis across several different routes, compared those routes to each other as well as to IB's "smart" route and TradeStation's "intelligent" route. What I've found is that going to straight to ARCX beats everything else on average by 0.001-0.002/share. This is on stocks with over 500k ADV and over $10.

90% of my orders are stop market orders (I use stop markets to take me both into and out of trades), hence slippage is by far my largest concern. FYI, on ARCX I've been averaging about 0.003/share slippage.

Mike
 
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thanks Mike805. what are the slippage numbers for other routes?
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Smart ~ 0.0047
Intelligent ~ 0.00494
EDGX ~ 0.0042
ARCX ~ 0.00307


Those are the only ones I have enough trades on to warrant a good approximation. I took all my orders to ARCA once I saw the trend favoring that route.

Mike
 
that is interesting to know. It is partially offset by (last I saw) the normal tier for routing with arca of .0035, unless you are trading under their supertier.

If you don't mind me asking, who was the worst ECN as far as slippage?

edit -disregard entire post, I just saw your above post, thanks.
 
My understanding is that ARCA/ARCX doesn't take stop market orders - only limit and market orders. Are these being held on your broker's server (or on your trading platform) until the stop is elected, at which time they become straight market orders?
 
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