Dark Pool / Spead B/Ds ? (for stat arb)

Its hard to say as for possibilities. Though if there is 0.03 b/a spread - I can infer the vol traded isn't that big probably < 1m and therefore the possibility for GETCO hitting isn't that big. GETCO works best in high liquidity issues. FAZ/XLF/BAC stuff like that.

From experience in FAZ/XLF, say b/a is 5.01/5.02 if you are filled in GETCO remove 5.02 *usually* it will take time until the level breaks up if at all (that is considering you are LONG). *usually*, if you are not filled - the level is about to break up.
I have not quantified it (yet :D) though that seems to be the case (last couple of month) and it makes quite a sense too.

If you are looking to disregard the NBO, try BATSSWEEP u can send IOC's to it as well (if I remember correctly). I think GETCO will also disregard the NBO as Ive seen some folks doing sweeps with it - dont take my word for it though. GETCO is pretty much a black box - its hard to say what and how it does. Its more of an empirical thngie :)
 
I've searched this board and the only hit I get is my own posts, has no one really messed with BATSDS?

It seems if there is liquidity in GETCO, we are supposed to hit it with BATSDS - however, GETCO only takes IOC's and will cancel unfilled shares. BATSDS will post to BATS book and fill rest from visible markets. On bats site it says there is an option to prevent it from routing to other markets but is there any option to replicate GETCO's behavior using BATSDS? that is - make it cancel unfilled shares??

Supposedly, BATSDS should have higher fill rates (from DLPs) than GETCO as it deals with other DLPs as well. But I don't want unfilled shares to be posted on BATS book etc...is there anyway that could be done?

maybe it is possible to get filled with QIKD/QUIK (I understand they also route to GETCO) and get similar behavior there?

Reason is one of my, access providers, doesn't support direct route to GETCO - but says I would get access to it with BATSDS or thru QUIK/QIKD...though from my understanding they dont have the "cancel everything unfilled" property that GETCO does and and my access provider isn't that gullible.

Anyone has a clue??
 
Quote from DirkDiggler:

I've searched this board and the only hit I get is my own posts, has no one really messed with BATSDS?

It seems if there is liquidity in GETCO, we are supposed to hit it with BATSDS - however, GETCO only takes IOC's and will cancel unfilled shares. BATSDS will post to BATS book and fill rest from visible markets. On bats site it says there is an option to prevent it from routing to other markets but is there any option to replicate GETCO's behavior using BATSDS? that is - make it cancel unfilled shares??

Supposedly, BATSDS should have higher fill rates (from DLPs) than GETCO as it deals with other DLPs as well. But I don't want unfilled shares to be posted on BATS book etc...is there anyway that could be done?

maybe it is possible to get filled with QIKD/QUIK (I understand they also route to GETCO) and get similar behavior there?

Reason is one of my, access providers, doesn't support direct route to GETCO - but says I would get access to it with BATSDS or thru QUIK/QIKD...though from my understanding they dont have the "cancel everything unfilled" property that GETCO does and and my access provider isn't that gullible.

Anyone has a clue??
More...

What's BATSDS? I googled it with no luck...
do you mean BATS Dark?
 
Quote from DirkDiggler:

Yes BATSDS = Bats Dark Scan
More...
Hmm... I looked at the FIX specs for BATS and there isn't any restriction for sending a BATS DarkScan (18=z) with TIF = IOC (59=3)
 
Yes there isn't any restriction the thing is that as per BATS specs, it will post unfilled shares to BATS book.

[I'm away now and dont have an option of checking it]
the question is whether it is possible to have it cancel unfilled shares? That is if I IOC it, you think it will not post unfilled remaining shares to BATS book?

Besides, I dont know much about FIX codes, but I think when the access providers (say GMM, or WTS), configure some route say BATSDS in this case, they configure it with the "default" setting, in this case with the 9303=R tag. So I am afraid that even if I send IOC to BATSDS (that is, my access provider sends 18=z TIF=IOC 9303=R to bats), I will still get what is unfilled from the DLP's -- filled either from BATS book or from other visible markets...I hope here, that you will prove me wrong - as I like I said, I'm looking to replicate GETCO behavior in environment where GETCO direct route is unavailable to me.
 
..Regardless, any ideas you have for any other cheap remove? even if its dark and wont always fill (GETCO)...? by cheap I mean less that $1.5/1000 shares.

ASUROUX gets me $1.7/1000 on average.
GETCO is $0.5/1000

So I've been using the combination of both. Now the latter is not available to me with one of the access providers I use and I'm looking for a replacement (commissions eat me and are huge issue for me).
 
I remember messing with it at the time and something discouraging me..now I see ROUZ is listed under EDGX (not EDGA), so that would mean regular remove rates apply...but you say GETCO free for you and they make me pay 0.5/1000, maybe they're (my access providers) are misleading here too??
 
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