Better fills

B

Bekim

I have been getting better closing fills on the exact same position's at Tradestation then I'm getting at E-Trade. Does anyone know the reason for this?
 
Bekim said:
I have been getting better closing fills on the exact same position's at Tradestation then I'm getting at E-Trade. Does anyone know the reason for this?
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You probably getting prices within their closing range which is very similar unless the market is very volatile. I assume that even MOC orders get queued in as well (if that is what you place and refer to(?)
 
Im placing double calendars. for instance I will have the same trade on and I put an order to close at Tradstation for 1.70 and etrade for 1.65. They will sit for a while and the Tradestation order will fill to close for 1.70 and the Etrade order will never fill on that day.
 
Bekim said:
Im placing double calendars. for instance I will have the same trade on and I put an order to close at Tradstation for 1.70 and etrade for 1.65. They will sit for a while and the Tradestation order will fill to close for 1.70 and the Etrade order will never fill on that day.
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Ask ETrade where your order is sent, to the COB on an exchange or an option dark pool. Our option spreads go to a MM group, I have no idea which one, but rest on an exchange exposed to any public order sent to that exchange and where any other MM can trade with them. We can also offer DMA option orders.
 
if I understand you correctly, these are option spreads you are entering? If that's the case, I'm guessing the spreads are being sent to different exchanges COB's (complex order books). You are more likely to filled, or be filled at better prices at different exchanges, as some will charge for taking an order or may have a less market makers on that exchange.
 
I asked Etrade about this one time and the guy I talked to just said, Sometimes they might get filled first and sometimes we do. But I notice just Tradestation is getting filled first and at a better price on top of it. Is it better to get sent to a COB or an option's dark pool?
 
The exchange Complex Order Book displays your bids and offers to all that have access and provide price discovery. An option dark pool hides your orders from the exchanges and other customer orders and shows the order to just a small group of market makers and other customer orders that hit that dark pool.

Which would you prefer? It is too bad that the SEC/FINRA allow several COBs that offer little price protection like single legs have. You can trade through a bid on the CBOE on the ISE, as an example. This is why spreads should never be market orders and you should always take a little extra time to find the best price. In general, the same market makers monitor all the exchange spread books but each has a different cost and may have limit orders that you can't see.
 
In my experience most spread orders should be routed to the CBOE. I have consistently received the best fills here. They do not charge for taking liquidity. Although there are times I see a spread trading at another exchange as a favorable price, I will route to that exchange to try and join in.

Robert, could you speak a bit more about the option dark pools? It is my understanding that all option trades must take place on a regulated exchange. An option order may be "looked at" at a dark pool, but still must trade on an exchange. I wasn't aware of any brokers who will rest an order in a dark pool, do you know which ones would do this?
 
They must print on an exchange but the rules allow them a large amount of latitude to get those printed. Some are all dark and some use an RFQ, then post to an exchange. The one IB uses is all internal until their algo calculates it is tradable, then routed to an exchange. Tmberhill would often take the other side. Not sure what they do now.
 
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