Hey Scalpers, how do you enjoy trading against machines w/1 millisecond turnaround?

Quote from Hydroblunt:

I don't know about NASDAQ but on NYSE, the ECNs often do this. Anything below L1 is usually fake and reacts as soon as the bid is hit. Not every time but I have seen this occur. Now if you watch SPY trade, it's hilarious cause almost everything you see in market depth is an illussion. The dark pools are getting all the volume, everything else is just smoke and mirrors.

To requote an ET poster from a while back. "Liquidity on Nasdaq is an illusion". At times, it's the same with NYSE.
More...

With intermarket sweep orders I can swipe through several levels of ECNs before anything has a chance to pull.
 
Quote from Hydroblunt:

I don't know about NASDAQ but on NYSE, the ECNs often do this. Anything below L1 is usually fake and reacts as soon as the bid is hit. Not every time but I have seen this occur. Now if you watch SPY trade, it's hilarious cause almost everything you see in market depth is an illussion. The dark pools are getting all the volume, everything else is just smoke and mirrors.

To requote an ET poster from a while back. "Liquidity on Nasdaq is an illusion". At times, it's the same with NYSE.
More...


Hydro is this just all about the big players being closer to the actual scene then? i.e. guys in newyork have a millisecond faster connection speed since i got to come all the way back to B.C.?


Have you noticed with NMS that the big players can cross/lock the market whenever the fuck they choose, and actually in fact trade through?

Seems like all NMS did was screw the little guy, because anything that i got to route to fill a level to get to the next one always misses, and im talking like 90%, or more, often times there will be ARCA(400 SHARES) ISLAND (400 SHARES) ON THE SAME LEVEL, L1 and i go to hit and it will miss one or the other, this just all seems like a crock of shit the market makers have a free choice as to wether or not they want these shares to fill.

The entire book is a joke, as when you go to hit anything 3-4 levels back IT WILL 99% of the time not fill, unless you got a solid level that actually wants them. But then whose hitting it anyways? if the quote is for 10k and not backing off every time L1 changes then i just use it as support/resistance and trade off of it, so what the hell is the point of the entire system? it is just very aggravating, NMS made everything difficult!!!
 
Longhorn again thx for the reply, now that i think of this, this is an even bigger scam, and i just realized it, often times i got to hit JUST 1 LEVEL with an order which will hit it, (i.e.go to hit ISLAND with 20k shares that are showing on ISLAND on L1)and often times that doesnt even fill, that is a joke, atleast they can kind of explain when it has to route there is a bit of a time lag for them to pull but how the fuck do they explain basically saying "nahhhhhh we aint gonna give you these shares," when you go to get a direct fill on one ECN.

This means that the book being shown at any given time is just a scam, i dont give a shit if the guy is fake and trying to bluff but i should atleast have the chance to hit him if i choose.

I started trading nasdaq in november when hybrid was rolling in cause i figured if it was electronic i may as well but is there something im missing?




Quote from Longhorns:

Porn,

Some of the problem is a speed issue, but the real problem is that the NSDQ order matching system is extremely inefficient.

Even in super liquid stocks (DELL, INTC, etc.) I noticed that whenever I would swipe a out of a block (say 25k shares), even if there were multiple bids totaling 100k shares, I would often just get a partial fill and the order would reroute down to the next penny for the rest.

After months of me complaining to our tech staff they finally got to the bottom of the problem. It wasn't our platform or a speed routing issue, it's that the NSDQ system is set up in such a way that the bids/offers on the book are able to be pulled before their own internal system can hit them.

Here's an example...

NSDQ aggregated quote is showing 30,000 shares on the bid.

Those 30,000 shares are 5 different orders in this sequence..

100
1000
800
25000
3100

Assume all those orders were box programs with top tier speed...

If you sent an order for 30,000 shares, you would immediately get the 100 on top and probably the next 1000, but the 800, 25000, and 3100 would all be able to pull before the shitty NSDQ system can hit them (and forget about routing through ARCA or another ECN....that would be even slower).

How in the world this is allowed to happen is beyond comprehension.

Hope this helped. PM me if you have any other questions.
More...
 
Get market maker lines and hope that they auto-ex your size. If not then they'll either reroute for you or hold your order up. And if they reroute or hold you up then at least that is good info on you knowing their side.



Quote from PORNSTAR69371:

Someone here must swing, or has swung a decent line, yet no one cn answer my question......



here is an example, i go to send an arca market to hit 6k shares, the offer is 0.38(700 shares island), 0.39(1800 shares arca),
0.4(3500 shares ADFN), somehow i hit 700 arca and miss the rest, point is it will hit level 1 and miss everything else, obviously i dont consider myself a high roller just that i take on more shares than 90% of this board, wether that is good or bad should be another debate, but what can i do to hit all this without them dodging once i hit the L1 quote?


This is the one of the many things i hate about comps!!!

They generate a totally false L2 which they have no intention of ever taking on.

There is no nasdaq floor so how am i being consistently gamed?


NITRO?
More...
:D :D
 
JMARTINEZ do you care to ellaborate?

As far as i know auto EX died with NYSE.


Quote from JMartinez:

Get market maker lines and hope that they auto-ex your size. If not then they'll either reroute for you or hold your order up. And if they reroute or hold you up then at least that is good info on you knowing their side.



:D :D
More...
 
ATD, Knight, Madoff, UBS, and Citadel still have it on depending on market and their position. And not just OTC, listed too.



Quote from PORNSTAR69371:

JMARTINEZ do you care to ellaborate?

As far as i know auto EX died with NYSE.
More...
 
Quote from JMartinez:

ATD, Knight, Madoff, UBS, and Citadel still have it on depending on market and their position. And not just OTC, listed too.
More...

ok will these orders fill what is on the level or only what these POS market makers have to offer at any given time? Being that im from swift i have a pretty good education on dark books =), it doesnt help much when the only liquidity is in the ISLAND/ARCA book
 
One other thing i forgot to mention, often times these are 25-40k positions on stosks that show at any given time 500 shares on L1 skip 2 levels 300 on l2 3 cents back, and you have no choice but to punch it up, BUT when you miss everything, behind what you just missed gets lifted also cause it saw you coming in so you literally got out of 2k shares and pushed a stock 8-10 cents against a 20000 share position, nice 1600 dollar hit and you still got to deal with the shit position, if it was 1 cent on intc i could hack it no problem, its the 30 centers on 20k shares that hurt.



Quote from Longhorns:

Porn,

Some of the problem is a speed issue, but the real problem is that the NSDQ order matching system is extremely inefficient.

Even in super liquid stocks (DELL, INTC, etc.) I noticed that whenever I would swipe a out of a block (say 25k shares), even if there were multiple bids totaling 100k shares, I would often just get a partial fill and the order would reroute down to the next penny for the rest.

After months of me complaining to our tech staff they finally got to the bottom of the problem. It wasn't our platform or a speed routing issue, it's that the NSDQ system is set up in such a way that the bids/offers on the book are able to be pulled before their own internal system can hit them.

Here's an example...

NSDQ aggregated quote is showing 30,000 shares on the bid.

Those 30,000 shares are 5 different orders in this sequence..

100
1000
800
25000
3100

Assume all those orders were box programs with top tier speed...

If you sent an order for 30,000 shares, you would immediately get the 100 on top and probably the next 1000, but the 800, 25000, and 3100 would all be able to pull before the shitty NSDQ system can hit them (and forget about routing through ARCA or another ECN....that would be even slower).

How in the world this is allowed to happen is beyond comprehension.

Hope this helped. PM me if you have any other questions.
More...
 
You must log in or register to reply here.
Back
Top