HYBRID, good news.

reg · Sep 14, 2006

Quote from Don Bright:

The openings are remaining the same (for now)...thank goodness!

Don

Thanks, Don.
I am intrigued by your "for now" remark. Is there something in the pipeline that they are thinking of that will affect openings in the near future or was that just a casual remark?

ang_99 · Sep 14, 2006

Quote from Don Bright:

This means that none of our traders would "park" orders on the NYSE any longer (why would we, if they can walk the book right over us?).
Don

Don could you or someone explain what you mean by "walk the book right over us"?

Dogballoon · Sep 14, 2006

Quote from ang_99:

Don could you or someone explain what you mean by "walk the book right over us"?

A large buyer (or seller) hitting each resting limit on the book instead of sweeping everything and printing higher. Price improvement for the limits all the way up won't happen anymore (hasn't happened significantly in a while anyway).

Don Bright · Sep 14, 2006

Quote from ang_99:

Don could you or someone explain what you mean by "walk the book right over us"?

Yes, sure. Example: NYSE bid/offer is 47.10 47.15. We bid 47.08 and offer at 47.18 (resting the orders, called "enveloping").

If a big buyer came in, willing to pay 47.25 for 100K shares, every offer between 4715 and 47.25 would receive the top price of $47.25, thus "price improvement". Our traders "provide liquidity" and receive this price improvement either manually or with automated programs.

Now, if that same buyer came in, they would pay. 47.15, .16, .17, .18, .19, .20, all the way up to maybe .35 or so (depending on how many shares are in the book).

So, obviously we won't be "walked over" (stupid), so we just won't leave orders on NYSE, thus drying up their liquidity and moving trading elsewhere.

No one was paying for us providing liquidity on NYSE stocks, so we would've stopped altogether....but now, we get paid for providing on the ARCA ECN portion of the NYSE, so this strategy is "back in business"...we rest on ARCA, take on NYSE, thus avoiding the 30 cent "taking" fee on ARCA.

Hope this helps,

Don

Don Bright · Sep 14, 2006

Quote from Dogballoon:

A large buyer (or seller) hitting each resting limit on the book instead of sweeping everything and printing higher. Price improvement for the limits all the way up won't happen anymore (hasn't happened significantly in a while anyway).

My brother estimates about 15 times per day he gets price improvement, and our automated guys say more like 50 times per day with their scalper program. More than one might think (and more than the NYSE guys think now).

FWIW,

Don

Dogballoon · Sep 14, 2006

Quote from Don Bright:

My brother estimates about 15 times per day he gets price improvement, and our automated guys say more like 50 times per day with their scalper program. More than one might think (and more than the NYSE guys think now).

FWIW,

Don

15 times a day? That's pretty significant day after day if so. From my trading, I haven't seen a (significant) sweep in over a week. I'm sure you guys are more observant with small sweeps coming in on your entries and exits than I am. Also, I know you guys use limit orders more than me. I tend to test with market orders and exit with NXs.

realstockaddict · Sep 14, 2006

i am setting up my arca bid hotkey now...

how will NX work? getting rid of 30 second rule? still 3 lines to DOT? now can NX more than 1000 shares?

reg · Sep 14, 2006

Quote from realstockaddict:

i am setting up my arca bid hotkey now...
how will NX work? getting rid of 30 second rule? still 3 lines to DOT? now can NX more than 1000 shares?

No more 30 second rule for NX and 1 million share limit instead of 1000.

Szeven · Sep 14, 2006

Awesome now credit traders will be all over volume stocks. This is terrible news for anyone who likes volitility.

ang_99 · Sep 14, 2006

Quote from Don Bright:

Yes, sure. Example: NYSE bid/offer is 47.10 47.15. We bid 47.08 and offer at 47.18 (resting the orders, called "enveloping").

If a big buyer came in, willing to pay 47.25 for 100K shares, every offer between 4715 and 47.25 would receive the top price of $47.25, thus "price improvement". Our traders "provide liquidity" and receive this price improvement either manually or with automated programs.

Now, if that same buyer came in, they would pay. 47.15, .16, .17, .18, .19, .20, all the way up to maybe .35 or so (depending on how many shares are in the book).

So, obviously we won't be "walked over" (stupid), so we just won't leave orders on NYSE, thus drying up their liquidity and moving trading elsewhere.

No one was paying for us providing liquidity on NYSE stocks, so we would've stopped altogether....but now, we get paid for providing on the ARCA ECN portion of the NYSE, so this strategy is "back in business"...we rest on ARCA, take on NYSE, thus avoiding the 30 cent "taking" fee on ARCA.

Hope this helps,

Don

Good explanation, thanks.

So I assume you believe the arca credit will make up for price improvement. In the example you provided you would have made $30.00 on 1K shares in price improvement but would only get a $3.00 arca credit. Am I missing something...