Daytrading SPY and BBH

for the good advice regarding routing.

I am trading the spys and routing the order is critical. I get price improvement at the NYSE quite often and usually route my trades that way. Using IB's "best" feature is great when you *DON'T* get your order sent to the AMEX. But if you do, the wait is very frustrating. The upside is that the SPY doesn't move all that fast and sometimes the wait isn't a problem.

I've been experimenting with SPY market orders to the NYSE and, believe it or not, usually get great fills very very quickly. Additionally, the ability to go short w/o the hassle of the uptick rule, well, rules!

Best regards,
Jim
 
Gene - your example of pre-market BBH spread is interesting but not all that indicative.

I don't see any BBH pre-market trading and there are a bunch of stocks that routinely have weirdly huge spreads pre-market as a function of how the specialists/MMs are setting up before market open.

The spread on BBH as I'm writing this is 0.05 (but I've seen it up to about 0.25 at times)

1/4 point is definitely higher than the usual .05-.07 on the DIA, the 0.03-.06 on the SPY, and the 0.01-.05 on the QQQ, but not completely horrible (unless maybe you're trying to scalp it rather than intraday swing trading it).
 
Just wanted to thank everyone who posted on this thread. You all have provided some valuable insight. Plenty of food for thought here!!!

Leland
 
The example was BBH this morning pre-market. During the day the BBH is liquid, but not as tight as the SPY or QQQ. When I say trade smaller size I mean if you are comfortable with 3000 SPY trade, you might only trade 1000 BBH. If you look at the BBH book on your screen , it's not as liquid as the most active ETF's
(QQQ & SPY). Pre- market or after hours BBH, many times has a
1 to 4 dollar spread, so keep that in mind. At the same time the BBH had a 4 dollar wide spread pre-market, the spread in QQQ & SPY was less than 1/8 and many times .01. BBH is very rarely less
than .06 Bid Ask spread. The currrent Bid-Ask spread in BBH at
1:00 PM 1/30/01 is 114.80 at 114.99. The ECN's do tighten the spread once in a while and if you are a smart trader and catch
the momentum, you can better the spread. However, if you are wrong, the wider Bid-Ask spread can hurt.


Gene Weissman
Lieber & Weissman Sec., L.L.C.
gweissman@stocktrade.net
 
airspeed,

I think the "better" execution on the NYSE for small orders, may have to do with the NX route or the fact that the NYSE is
trying to gain market share in ETF's(volume). Believe it or not
some of the same people that were specialists or market makers
in the QQQ's & SPY's on the AMEX were sent over to the NYSE to start up the ETF trading since they had experience! I think sometimes the better fills on the NYSE have to do with NX and
another market trying harder top please the small order. I think
the AMEX many times was not giving preference to small orders
(under 5000 shares) after ETF's volume has expoded in recent years and that of course is not right. So by your experience, the
AMEX lost a customer to the NYSE. Maybe the AMEX should come
out with a NX feature for small orders.


Gene Weissman
Lieber & Weissman Sec., L.L.C.
gweissman@stocktrade.net
 
Good thread.


You guys that trade the spy day in and day out, what are your leading indicators?

I was going to try it today and last night wrote down the four things I thought were most important to use.

1. SQUAWK

2. The futures (obviously

3. Tick

4. Prem

only right now I get data for the last two on the list. Are seeing Tick and Prem critical to my success or failure? Or are they overrated anyway. Is there anything else I want to look at?

I don't have e mini's but it seems like the squawk is preferable to watchign the mini's anyway? Is it. I haven't watched the mini's in at least a year.


Do most of you overlay the SPY on top of the futures chart, or is that just redundant? (unlikethe qqq's which sometimes diverge from the compx) I know some programs allow you to overlay charts, others like redi+ can't do it.

I am going to be using a 5 minute chart with a tick chart next to it because I have used 5 minute charts for so long with stocks. Is there any reason to switch? I feel really comfortable with the 5 minute.

I typically don't like to use any studies (mov avgs, stoc, etc.) ever.

Also with regard to the early discussion about order routing. Basically what I am hearing is this. Don't ever give an order to the Amex, speciaist. Ever.

However, the NYSE vs. ECN debate still looks unsettled. Gene seems to think that that the occassional price improvement given through the NYSE makes up for the speedier ECN fills.

Does anyone else want to comment on this. It was my understanding that if you use NX you forego price improvment, so I am assuming he is saying you use market orders for all the trades.

Or is it better to use limit orders for all the SPY/QQQ trades that you route through the nyse specialist and you simply put in the limit price 15-20 cents away from the inside price.

Also if your firm rebates island fills for adding liquidity I would think that could add up quickly.

Still confused.

If anyone else would like to comment on on the indicators they look at, or the execution method they use, please do.

I am also interested in what size people are trading. Do most of you keep up under 1099 so you can use NX or are their some big SPY traders here.

Does anyone that currently trades e mini's get their start trading SPY. That is what I think I would like to do down the line....make the jump to futures, and this seems the logical place to start.

This is my first day actually trying to trade it, in the past I have simply used them as a hedge.

Anyway I would appreciate any comments.

I have looked at the corresponding threads.

Cheers.
 
I have traded the qqq's often, but usually as a hedge, and not a particularly good one. This is because I can't trade enough of them to really hedge a large portfolio of ndx or nasdaq stocks. But sometimes it is just there to do, and it is easy to get a short position on. They are probably a good vehicle for some traders. THe executions are quick and the spreads are usually acceptable.

I have traded the SPYs infrequently.

The DIA's are expensive and illiquid. I have never traded them (that I can recall)

The BBH's are also expensive and eat a lot of buying power. They can be extremely thin, and the spreads seem to always move away from any market order I have ever put in. Maybe I have entered my trades with too many shares. But I don't have the patience or desire to build up a position with a bunch of small lots. I have come in with overnight positions of BBH in just say the 4-5k size range, and there is no way to get out early in the day with a fair fill. I have seen <30k shares trade as late as 10am. So no matter what I do, I will move the market. I would rather be un-noticeable in all my trades. IMO it is easier to just trade the big bios seperately...amgn, bgen, dna and the rest of the usual suspects. The volume and liquidity are better, and I don't have to worry about a specialist (one reason I stay away from CRA and DNA....get the same problems as with BBH)
 
I find the BBH's are best used in swing trading the biotechs (at times they will trade apart from the nasdaq and will make nice hedges if you are also swinging the index), the illiquidity just isn't worth daytrading it, but for overnight positions it reduces any risk of blowup.

You may as well try to scalp DNA, it makes up about 17% of BBH (last I checked, could be way different now). I definitely prefer scalping the individual nasdaq stocks, IDPH and GILD have nice volatility (especially when large orders are trying to liquidate) and no specialist to deal with.
 
This discussion has been very helpful since I have been trading qqq and spy in prep. for moving to the e-minis.

Several have mentioned routing to ISLD and NYSE. I know how to route to ISLD in trade station but not sure I know how to get it to NYSE.

Under order routing for SPY, I have the choices ISLD, intelligent, arca, and superdot1 &2.

What am I missing?

Thank you
 
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