ECN Rates

[eusdaiki]

DOTD routes to NYSE without checking NASDAQ book. The NYSE can reroute it.

Here's the RASH strategies guide from Nasdaq trader:

http://www.nasdaqtrader.com/content/ProductsServices/Trading/Workstation/rash_strategy.pdf


If you want an order that hits everything, try DOTA...






btw, what's SDOT??

 

[EpiphanyTrading]

Quote from Marc to Market:

ARCA and NSDQ are typically .002 - .0025 for adding and .003 for removing.

Direct Edge ECN Fee Schedule:

http://www.directedge.com/fee_schedule.aspx

BATS Fee Schedule:

http://www.batstrading.com/subscriber_resources/BATS_Fee_Schedule_20080501.pdf

And don't forget about NSX. They're a pretty big ECN right now:

http://www.nsx.com/pricing_fee.html

Keep in mind that these rates can vary from broker to broker. Some might give actual pass throughs while others may not. Also, the fees and rebates can vary based on how much volume your broker does with that particular ECN.

It's funny how much this shit changes from year to year. I remember the "old" days of INCA, REDI, etc.

The break points where NASDAQ give beneficial pricing is so high, only the major firms get that. It is a month to month pricing structure, so a firm cannot guarantee a superior rate in a traders daily trading. Therefore, most firms keep any additional benefit.

Does anyone have experience receiving the breakpoint ECN's in their pricing, and where?

 

[eusdaiki]

Quote from EpiphanyTrading:

The break points where NASDAQ give beneficial pricing is so high, only the major firms get that. It is a month to month pricing structure, so a firm cannot guarantee a superior rate in a traders daily trading. Therefore, most firms keep any additional benefit.

Does anyone have experience receiving the breakpoint ECN's in their pricing, and where?

Swift hits it every month, in a regular basis.

 

[dafong]

i trade mostly listed stocks so i was wondering which is the best place to route if i want to hit bids/take offers for listed stocks? what i mean by best place is most liquid. is it SDOT or ARCA?

you have to keep in mind that SDOT charges 0.0008 per share for removing liquidity and ARCA charges 0.003 per share.

 

[Scalper007]

Hi guys,

The firm I am trading with now has the following ECN schedule per thousand shares:


NYSE: ADD Remove Route

Arca: 2.30 (2.90) (3.00)
Nsdq: 2.00 (3.00) (3.00)
Bats: 2.40 (2.50) (2.90)
EdgA: 0 0 (2.90)
EdgX: 2.50 (2.60) (2.90)

Nasd: ADD Remove Route

Arca: 2.30 (2.90) (3.50)
Nsdq:2.00 (3.00) (3.00)
Bats: 2.40 (2.50) (2.90)
EdgA: 0 0 (2.90)
EdgX:2.50 (2.60) (2.90)

I trade Nyse and nasdaq stocks and I primarily add liquidity except in the certain cases where I must get out at market. And I'd like to use one ecn for both nasdaq and nyse. Previously at my other firm, I was using nsdq with tight provide/take liquidity prices at .0025 and .0026 respectively. As you can see, with this firm, I can no longer afford to use nsdq efficiently so that I can get rebates. Therefore, which ecn will be optimal for me to use given the above conditions?

Note: Liquidity is very important to me, then comes rebates.

I really would like to hear from rebate traders and scalpers who know ECNs inside out.

thanks

 

[Sky123987]

the > the rebate is the > the chance is you don't get filled resulting in more slippage. You're much better off posting to the NYSE

 

[eusdaiki]

Quote from Scalper007:

Hi guys,

The firm I am trading with now has the following ECN schedule per thousand shares:


NYSE: ADD Remove Route

Arca: 2.30 (2.90) (3.00)
Nsdq: 2.00 (3.00) (3.00)
Bats: 2.40 (2.50) (2.90)
EdgA: 0 0 (2.90)
EdgX: 2.50 (2.60) (2.90)

Nasd: ADD Remove Route

Arca: 2.30 (2.90) (3.50)
Nsdq:2.00 (3.00) (3.00)
Bats: 2.40 (2.50) (2.90)
EdgA: 0 0 (2.90)
EdgX:2.50 (2.60) (2.90)

Edga is a good place to remove liquidity (it's cheap and you can have it scan other places if it doesn't have any... with a ROUT or a ROUZ order) it also gives you price improvement every now and then...

For adding... well, it depends on the stock. Have a look at the TAS, see what's printing... then have a look at the line, you want to get to an ECN that has little line, prints a lot and pays the highest credit...
Even trading the same stock everyday, you might want to move around as some days one ECN is going to be more active than others.

 

[Scalper007]

Thanks a lot for the answers. I understand that if not arca and nsdq, then the other ECNs just depends on the stock.

 

[bespoke]

For stop market orders, what do you guys think is the best way to route to reduce slippage? For both thin and thick stocks. Were you saying that black boxes can cancel on ECNs during market orders?

I'm currently averaging 0.00547 per share of slippage on average order size of 1000 on all stocks > 1 mil volume (that's $5.47 per trade in slippage in my losses). That's using NSDQSTGY. I could try them all but it would take months to get large enough sample sizes for all of them. So a few suggestions from people who know better than me could help. I'll report the results back here too.