That is not what DOTD does at all. It goes straight to the NYSE via DOT, that is it. But because of Reg. NMS the NYSE must reroute the order if there is a better price elsewhere.
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- Thread starter Scalper007
- Start date
That is not what DOTD does at all. It goes straight to the NYSE via DOT, that is it. But because of Reg. NMS the NYSE must reroute the order if there is a better price elsewhere.
Quote from UDon'tKnowMe:
That is not what DOTD does at all. It goes straight to the NYSE via DOT, that is it. But because of Reg. NMS the NYSE must reroute the order if there is a better price elsewhere.
So you're saying that DOTD is effectively the same as SDOT if you're sending an order to New York? That there exists no difference in the properties of how DOTD fills orders vs. any other pipeline to NY, outside of perhaps latency?
Sterling, Laser, and Anvil both have DOTD keys as alternative direct routes to NY, so it is very simple to perform experiments which will show that what you are saying is not true.
DOTD: Routes directly to the NYSE or Amex without checking NASDAQ (Single Book and Market Makers) If your order is executed on NYSE the standard NASDAQ DOT pricing applies. If your order is executed via AMEX, the standard NASDAQ Routing rate applies.
http://anvil.assent.com/index.php/rash-strategies-summary/
http://anvil.assent.com/index.php/rash-strategies-summary/
Quote from NY0BScalper:
So you're saying that DOTD is effectively the same as SDOT if you're sending an order to New York? That there exists no difference in the properties of how DOTD fills orders vs. any other pipeline to NY, outside of perhaps latency?
Sterling, Laser, and Anvil both have DOTD keys as alternative direct routes to NY, so it is very simple to perform experiments which will show that what you are saying is not true.
You should wait until you are at least 20 years old before you think you know it all!
When I route to NY through anything other than DOTD, the liquidity outside of the NBBO provided by black boxes sitting right by the ecns is able to cancel before getting filled IF they don't want to give me the fill. With DDOT i can swipe it and get the fill every time on depth of book PSE, NSDQ, NYS.
Picture this market depth situation.
For illustrative purposes, we'll just consider the offer sizes.
NYSE BOOK:
50.00 200
50.05 100
50.10 200
NSDQ BOOK:
50.04 100
50.06 300
If you cross through 900 shares 50.10 on NYSE, if you use a line to NY that's not RASH you will only get the NYSE shares; the boxes that are posting the NSDQ orders will cancel before you get the fill, unless they really want to get filled. If it's stock you're taking that really wants to get filled vs. a box that will happily cancel, then your chances of being immediately right are significantly reduced.
Now, if you cross through 500 shares with DOTD, you will most of the time still get the 50.10s NYSEs before the 50.04 NSDQs, though sometimes you will get the .04s, even when they're not NBBO, and I have not found anything to indicate when this will or won't be the case.
If you cross through 50.06 for 700 shares, you will get the NSDQ shares before they are able to cancel. Try this crossing with EDGX, crossing with ARCA, going to NY a different way... the boxes will beat you every time.
What you guys don't seem to get is what matter is whether or not you get filled on a venue before algos can react to the reg-nms order routing algorithms. By reading the definition in that Assent document, one would get the impression that DDOT is a glorified SDOT, however if you try taking screenshots of the market and crossing the differences will become apparent.
And no, I don't just say this because Genesis sells the orderflow on BELZgrade as I realize that is not a valid comparison to DDOT.
Believe what you guys want, but if your money is on the line, do what I've done: test all order types by taking screenshots of the books before sweeping, while trading a stock where you can be sure you are the only person who took liquidity at the moment you are doing a test.
Picture this market depth situation.
For illustrative purposes, we'll just consider the offer sizes.
NYSE BOOK:
50.00 200
50.05 100
50.10 200
NSDQ BOOK:
50.04 100
50.06 300
If you cross through 900 shares 50.10 on NYSE, if you use a line to NY that's not RASH you will only get the NYSE shares; the boxes that are posting the NSDQ orders will cancel before you get the fill, unless they really want to get filled. If it's stock you're taking that really wants to get filled vs. a box that will happily cancel, then your chances of being immediately right are significantly reduced.
Now, if you cross through 500 shares with DOTD, you will most of the time still get the 50.10s NYSEs before the 50.04 NSDQs, though sometimes you will get the .04s, even when they're not NBBO, and I have not found anything to indicate when this will or won't be the case.
If you cross through 50.06 for 700 shares, you will get the NSDQ shares before they are able to cancel. Try this crossing with EDGX, crossing with ARCA, going to NY a different way... the boxes will beat you every time.
What you guys don't seem to get is what matter is whether or not you get filled on a venue before algos can react to the reg-nms order routing algorithms. By reading the definition in that Assent document, one would get the impression that DDOT is a glorified SDOT, however if you try taking screenshots of the market and crossing the differences will become apparent.
And no, I don't just say this because Genesis sells the orderflow on BELZgrade as I realize that is not a valid comparison to DDOT.
Believe what you guys want, but if your money is on the line, do what I've done: test all order types by taking screenshots of the books before sweeping, while trading a stock where you can be sure you are the only person who took liquidity at the moment you are doing a test.
Quote from NY0BScalper:
When I route to NY through anything other than DOTD, the liquidity outside of the NBBO provided by black boxes sitting right by the ecns is able to cancel before getting filled IF they don't want to give me the fill. With DDOT i can swipe it and get the fill every time on depth of book PSE, NSDQ, NYS.
Picture this market depth situation.
For illustrative purposes, we'll just consider the offer sizes.
NYSE BOOK:
50.00 200
50.05 100
50.10 200
NSDQ BOOK:
50.04 100
50.06 300
If you cross through 900 shares 50.10 on NYSE, if you use a line to NY that's not RASH you will only get the NYSE shares; the boxes that are posting the NSDQ orders will cancel before you get the fill, unless they really want to get filled. If it's stock you're taking that really wants to get filled vs. a box that will happily cancel, then your chances of being immediately right are significantly reduced.
Now, if you cross through 500 shares with DOTD, you will most of the time still get the 50.10s NYSEs before the 50.04 NSDQs, though sometimes you will get the .04s, even when they're not NBBO, and I have not found anything to indicate when this will or won't be the case.
If you cross through 50.06 for 700 shares, you will get the NSDQ shares before they are able to cancel. Try this crossing with EDGX, crossing with ARCA, going to NY a different way... the boxes will beat you every time.
What you guys don't seem to get is what matter is whether or not you get filled on a venue before algos can react to the reg-nms order routing algorithms. By reading the definition in that Assent document, one would get the impression that DDOT is a glorified SDOT, however if you try taking screenshots of the market and crossing the differences will become apparent.
And no, I don't just say this because Genesis sells the orderflow on BELZgrade as I realize that is not a valid comparison to DDOT.
Believe what you guys want, but if your money is on the line, do what I've done: test all order types by taking screenshots of the books before sweeping, while trading a stock where you can be sure you are the only person who took liquidity at the moment you are doing a test.
Remember, that under RegNMS the only top of book is protected, so if you send an order down to NYSE and NBBO is somewhere else, you'll get partially filled from another venue (and paying routing fee unless it's ISO or DNS), and then sweep NYSE book for the full force. Also, NYSE execution/reporting systems are still slower that other market centers, so algo's have to wait for the print/fill until they can react.