Graybox Order Entry

M

mjt

For those of you who have been using Hold Brothers's Graybox for a while, I'm trying to get an idea of how well the specialized order entry functions work (eg Smart Order, Blasting, SuperECN, etc.)

In general, here is what I'll be attempting to do. Let's say there are sufficient shares offered within the price I'm willing to pay, but they're spread out among various ECNs. I just want to hit one button and have it grab as many shares as I need, regardless of whether it has to split the order among different ECNs.

From reading the manual, it looks like I need the Smart Order route. In the above situation, am I going to get an immediate execution? Or is it going to look at ISLD, sit there for 10 seconds if the order doesn't fill completely, then look at INCA for 10 seconds, then 10 seconds at REDI...? The manual doesn't specify whether it uses Selectnet, or whether it looks at all ECNs continually, or only one at a time.
 
If I were you, I would ask Hold Brothers directly to get the answer. In this game, you can't avoid to have any assumptions about how the software works.

MGB
 
mjt,

I've been discussing something similar to what you want on other threads here.

I had thought at first that Graybox can't do what we want, but that's because its manual is unclear. However, there's a new 2.4.2 version now that has a slightly rewritten manual that explains how to grab ECNs within a limit price. Did Hold Brothers notify you of the new version? If not, go to ftp.holdbrothers.com to get it. I can't seem to log onto it right now, but there should be a Graybox/Graybox 2.4 directory. Download setup.exe plus graybox.exe and other DLLs. Run setup.exe (I installed into a new directory) and then copy graybox.exe and the DLLs into the install directory. Setup should pick up your settings from your old install. When I first ran the new version, it said I was missing some DLLs. I just copied these from the old install.

Anyway, what we want is Blasting. I had looked at this before, but the old manual made it seem like a Blast order will try to take out whole levels, so I thought I would get more shares than what I wanted. What Blast really does is send multiple orders up to a maximum quantity at a price diffential that you set. So if your max quantity is 1000, max diffential is 0.5 and max levels is 5 and you want to buy, Blast will send orders to the best-priced parties at the ask plus 0.5, splitting the 1000 shares among the parties and going up a maximum of 5 tiers on Level II. You can choose to send orders at your default size or at the sizes that the parties display. You can remove any ECN or all MMs from the 'hit list' (I choose to exlude MMs). You can also have Blast send in a SOES order along with the regular orders. In the new version of Graybox, you can set up parameters for 3 different Blast orders instead of the 1 that was in the old version.

I tried out Blast today and it worked well, although I couldn't get it to split my order because I was only trying 100 and 200 shares to test. Its algorithm for figuring out which parties to hit is extremely fast, sending out orders instantly after my keystrokes. It just brought a smile to my face!

Smart Order is similar to Blast, but it only sends orders to the inside price. You program it by setting up a list of parties you want it to look through in order. I have mine looking at ISLD first, then ARCA, REDI, INCA and the other ECNs. I throw in SOES as the last resort. Smart Order doesn't go to each party for 10 seconds and then move on. It looks at the inside and then sends an order to the first party on your list that is there. There's an option to split your order among the parties it finds. If no party on your list is found, no order is sent. Its speed is similar to Blast's: instantaneous.

The order entry is terrific, but the quotes and connection are not as good. Everyday I've seen my quotes freeze; then I have to click on Reset Connection to try to get them back. Sometimes even that doesn't work. At other times I lose my connection to the Order Entry server. The tech support always says that everything's fine on their end and that packet loss over the internet is probably causing the sputters, but what can I do about that? My Tradescape and even QCharts quotes are coming in fine, so there must be something wrong with their quotes server. Have you noticed any quote freezes?
 
MGB

I did talk directly with the company. I'm just trying to get some feedback from other traders on how well the order entry works.

Klaorman

It looks to me like blasting could get you in trouble. Let's say you're trading a $60 stock. You may be willing to pay up to .50, for example, if you really want to get in. Then you switch to a $15 stock, and maybe you'd only be willing to pay up .10. Of course, I realize that you have 3 different blasting options.

Even with having 3 different blasting structures, I don't feel comfortable because every situation is so individualized. I guess I could have one blasting structure where I'm willing to pay up .05, another where I'm willing to pay up .15, and another where I'm willing to pay up .25. It would just be so much easier, and efficient, if I could pick my price. I don't know why they don't have this option.

The other problem with blasing is you don't choose how many shares you want. I can't just indicate that I want 2000 shares. I can set it up so that I get no more than a certain # of shares. But again, my decision can't be divided into 3 options. The number of shares I want depends on whether I have other positions open, how sure I feel about the trade, the price of the stock...I can't imagine that 3 different blasting options would fit every scenario.

I'll have to think about it. Maybe I can get blasting to work. I'm just trying to think about what can go wrong before I commit to using it.

I'll have to get back to you on the quotes freezing up. Do your quotes freeze often enough to affect your trading?

 
mjt,

Whoa! I was rereading your post and thinking "hmmm, this reads differently from when I first read it 30 minutes ago" and suddenly realized that you edited it. I thought I had gone crazy...

Yes, Blasting is restricted as you describe. Most of Graybox's specialized order entry functions seem oriented towards the scalper (Blasting, Swiping, Crushing, Slamming... get me in/out NOW!). But having 3 Blast setups and setting a price differential instead of an absolute price is ok with me. I trade small shares, so the 3 setups are enough. I set a .30 differential for all 3 and watch Level II for ECNs to come into range. I've also set up the Swipe key to hit ISLD at a .50 differential to take care of the times when I really want to pay up (which is rare).

Do you set alerts on your stocks so that if one hits, you quickly bring up its Level II and chart and decide right then if you want to buy/short? Or do you stalk your stocks, waiting for the right moment? If the latter, you can always change one of the Blast setups to match your preferences for that stock. It won't take too long.

There's no fast way to specify the exact price limit you want, but I've talked briefly with one of Hold Brothers' allegedly best onsite traders and he says that he and most onsite traders (including Speedracer, who drops in occasionally on Elite Trader) use the SelectNet Preference box (F9 brings up a version of it) to place orders. With it you can scroll up and down the various Level II tiers and press hotkeys to hit whomever you want at their prices. The manual mentions lots of customizable settings and specialized orders for this box alone. In the 2.4.2 version, the keyboard config box is divided into keys for this box and keys for the rest of the interface, so they must think that this is the place to be in Graybox. I think it takes too many keystrokes to do something in the box, but I'm not experienced enough to know the power of it.

That's another thing: I'm sure the onsite traders have gotten a thorough tutorial on how to use Graybox's power to the fullest. We remote traders have to puzzle it out for ourselves. The manual lays everything out, but it's like a reference guide and doesn't tell us the power tips or the best way to do things.

About the quotes freezing: Two days last week they froze so much that I wasn't confident in placing any trades, so I switched over to my backup broker. Even with all of Graybox's order entry power, if there are no quotes, there's no trade.
 
mjt, I know you're from Ohio, and I don't know where your nearest Hold office is (NYC?). From all these threads, it appears that a short stint with onsite traders is recommended in order to fully familiarize yourself with Graybox's features, both documented and undocumented. Other advantages :
(a) You then know what to look for when comparing remote vs. onsite trading.
(b) Have a few additional knowledgeable contacts apart from Tech Support.
 
klaorman

The more I look at it, the more it looks like blasting might work out. I guess I'm being too much of a perfectionist tying to allow for every possible scenario.

2 days out of 5 having quote problems doesn't sound too good to me. Hopefully that's not the norm. I'll give it about a week and see how reliable their quotes are.


tom p

That would be nice to actually hang out at an office for a little bit. I'll keep that in mind.

 
MJT and Klaorman:

I am going to try to help a bit. First of all, Hold tech guys are tech guys, they don't understand trading no matter what they try to tell you. You will always get a better answer from a trader, and the techs will always tell you that it looks Ok on theie end. Your quote problem I fell is going to be your inet connection. We have very few qoute problems in shop anymore. Nothing like you describe.

My keyboard setup is the default setup for graybox. I have a buy offer=F9, bid=F8, sell bid=F4, offer=F5. I use this for everything. If you are willing to blast for stck over a .10 to .50 cent interval, there is no reason you can't oull up the corresponding selectnet box and pick off the stock you want. It looks like a pain, but it works well.
Just pull up the box, use the +/- keys to change the price up or down, or the page up, page down keys to do the same, to the level the available stock you want is and hit the # on the #pad that the ISLD or INCa etc. is on. OR, use the right left arrows to move across the ECN bar to the desired ecn and hit enter. The ECNs are all direct so you will know instantly if you got the stock or not. If you want 2000, and there is 500 on ISld at .1, 700 on redi at .11, and 1000 on inca at .11, have your box set at 1000 or 500 ot whatever you are comfortable with, then F9, left arrow once, enter, (you have the 500 ISLD), cancel remaining order. then hit +, left arrow twice again, enter (you have the 700 redi) cancel remaining order, then right arrow three times to the inca box, hit #8 on top of keyboard to change order qty. to 800, enter. (you have 800 of the inca) And you are filled for the entire 2000, and you don't have more than you want. Hit enter again once your selectnet box is down and your default qty goes back to 1000. It sounds like alot, but once you get the keys down, this is a very quick method that the scalpers I know use. Anything to get rid of the mouse in placing orders adds much speed to the process, and changing the balst function stock to stock will be slow.

You are right about the software being for scalpering, but I would guess at least 95% of holds volume, if not more, is from scalping. The process above would get me the 2000 share in 5 seconds tops.

Hope I didn't confuse you all too much. If I did, a trip to a office may be a good idea to see the sofware in action.
 
Speed

I was reading the manual earlier and was considering an option pretty much in line with what you're describing. It looks like you might be able to simplify it a little bit. This is on page 25 of the manual


Enter&Order: This feature allows users to preference various market makers/ECNs at different levels by repeatedly pressing the ENTER key in the SNET Pref Window. To enable this feature, the user needs to have the SNET Box Focus set to SNET (in Trading Options). On bringing up the SNET Pref Window, the focus is set on the first market maker button. Hitting ENTER sends out a preference order for the market maker represented by the button. Automatically, the focus shifts to the next market maker button. Hitting ENTER again sends out a preference to that particular market maker and so on and so forth. At the end of each level, SNET Pref Window moves to the next price level with the focus on the first market maker button.

(I'm assuming you can substitue 'ECN' for 'market maker' in the above documentation)


BTW, do you ever talk to the managers at your office? Since they make a big deal about how they listen to traders and make software changes based on their suggestions, I think this would be a good suggestion. A Smart limit order. Hit a hot key, adjust for your limit price and quantity, and have the software get your shares, regardless of how many ECNs it has to hit. The process you described above could be cut from 5 seconds to about 1 second, I would think. I think it would also cut down on keyboard errors since you don't have to hit so many buttons. It would really solve my problem, too. I'll mention it again when I talk to them next, but I think they might listen to you since you trade onsite. If you think that's a good idea, I would greatly appreciate your putting a bug in someone's ear.
 
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