ECN News and Tips

[giggollo]

With so many changes happening in the ECN world, this thread can be a central place where we post any ECN news, fee updates, tips, comments, articles, perspectives, anything you think might be useful to other ECN traders...

I'll start by posting the links to fee schedules of NASDAQ, ARCA and EDGX/EDGA:

NASDAQ: http://www.nasdaqtrader.com/trader/tradingservices/productservices/pricesheet/pricesheet.pdf

ARCA: http://www.nyse.com/pdfs/NYSEArca_Equities_Fees.pdf

EDGX/EDGA: http://www.knight-sec.com/directEdgeECN/priceSchedules.asp

 

[giggollo]

Note that NASDAQ charges 0.003 to route out, while ARCA charges 0.004. Also note that EDGX charges 0.0025 to route out...i'm still trying to figure out how they're able to do that:

http://www.elitetrader.com/vb/showthread.php?s=&threadid=82276

Also note that ARCA charges 0.004 for odd lot orders, even if you're adding liquidity. NASDAQ and EDGX don't do that

 

[giggollo]

Here's an interesting article discussing how market share is shifting and how the smaller ECNs like EDGX and BATS are trying to gain market share

http://www.tradersmagazine.com/column.cfm?id=280&year=2006&src=home

 

[daytrader06]

Quote from giggollo:

Note that NASDAQ charges 0.003 to route out, while ARCA charges 0.004. Also note that EDGX charges 0.0025 to route out...i'm still trying to figure out how they're able to do that:

http://www.elitetrader.com/vb/showthread.php?s=&threadid=82276

Also note that ARCA charges 0.004 for odd lot orders, even if you're adding liquidity. NASDAQ and EDGX don't do that

To my knowledge, arca charges 0.004 for routing out etfs, but only 0.001 for routing out stocks.

 

[MilleniumMan]

No ARCA charges .004 to route period.

HAHAHA if it was .001 I would only have 4 keys programmed instead of 400.

When you say .001 for stocks that is on top of the standard .003 so you still get the charged .004 total.
I will NEVER route through ARCA, always through INET or better yet EDGX (.0026)

I would use TRAC but everytime I use it people get hit 2 whole cents around me, those guys since this NASDAQ merger are in serious trouble from what I can tell.

MM

 

[giggollo]

Yes, its an extra 0.001 on top of the 0.003, so 0.004...

This may be old news for some, but the SEC has recently cut the SEC fees in half:

http://www.sec.gov/news/press/2006/2006-64.htm

Everyone should send the SEC a thank you note...

 

[giggollo]

Don't know if this applies to all ECN's but for INET at least, hidden orders lose priority to displayed orders, so if you enter a hidden order, and someone enters a displayed order at the same price right after you, he will get filled first at that price not you, even though you entered your order first.

On a related note, and I don't know if this applies to all ECN's, but for EDGX at least,

"If there are several reserve orders at the same price, the display quantities of those orders will be executed before the reserve quantities regardless of entry time."

http://64.233.161.104/search?q=cach...out&hl=en&lr=&client=firefox-a&hs=MsS&strip=1

 

[giggollo]

For NASDAQ stocks, based on my experience, although EDGX offers a higher rebate for adding liquidity (0.0025), placing non-marketable limit orders on EDGX is not advantageous because you will generally get filled after INET and ARCA.

On the other hand, as has been recommended by respected members MilleniumMan and EricP, EDGX can be great when placing marketable limit orders because of its low route-out fee ranging from 0.0026 to 0.0028, and because it accesses NITE "dark pools" of liquidity:

http://www.elitetrader.com/vb/showthread.php?s=&postid=1290600#post1290600
http://www.elitetrader.com/vb/showthread.php?s=&postid=1290118#post1290118

Thanks for sharing your experiences on EDGX guys..

 

[giggollo]

MOC orders can be useful to initiate/exit a position at the official closing price and only pay a small charge (0.0005 on NASDAQ), but for intermediate to low volume stocks, you may end up paying higher slippage on MOC orders than you would if you try to trade just before the close instead.

Although it's rare, you will come across situations where the MOC order executes significantly away from where the market price was at 3:59:59, and I'm not necessarily talking about index rebalancing or option expiry situations. When it happens, there usually isn't much you can do about it, since a MOC order is essentially a market order.

Also, a NASDAQ representative once told me that if a MOC order will execute more than 10% away from market price just before the close, the MOC will not be executed. I have not found this rule anywhere on NASDAQ's website, but this is what he told me.

 

[kwancy]

Quote from giggollo:

Don't know if this applies to all ECN's but for INET at least, hidden orders lose priority to displayed orders, so if you enter a hidden order, and someone enters a displayed order at the same price right after you, he will get filled first at that price not you, even though you entered your order first.

On a related note, and I don't know if this applies to all ECN's, but for EDGX at least,

"If there are several reserve orders at the same price, the display quantities of those orders will be executed before the reserve quantities regardless of entry time."

http://64.233.161.104/search?q=cach...out&hl=en&lr=&client=firefox-a&hs=MsS&strip=1

thanks, for the info.
In terms of INET, I believe that is not the case.