IB's chat service is useless: question about algos

mskl said:
yes - OCC

One could breakdown the stats per security with the right data vendor.
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Can you suggest any vendors who would provide volume level at the security/option level?

I wonder how they track grey/black pools off-exchange trading activity? one is surely just limited to the lit market right?
 
tonyf said:
Can you suggest any vendors who would provide volume level at the security/option level?

I wonder how they track grey/black pools off-exchange trading activity? one is surely just limited to the lit market right?
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dark pools need to report the execution to finra immediately.
 
mskl said:
It depends on the security but as you can see from the data below - the volume is distributed relatively evenly overall. Keep in mind that some volumes can be overstated for a variety of reasons. for example the PHLX volume is overstated because a large portion (maybe as much as 30%) is BS dividend volume. This volume (large blocks) is crossed from one PHLX member to another the day prior to x-dividend. Take note of all the deep call spreads that trade at parity on the PHLX floor on these days. This is reflected in the lower amount of trades relative to their volume. Also note that not every security has 16 Exchanges.

Aug 2021 Volume

Total volume approximately 388 million
Data (Volume: # of trades)

PHLX: 52.3 million : 7 million trades
ARCA: 52.1 million: 10.8 million trades
CBOE: 38.8 million: 7 million trades
NSDQ: 33.7 million: 6.4 million trades
BATS: 31.8 million: 5.3 million trades
AMEX: 25.9 million: 4 million trades
BOX: 24.2 million: 4.1 million trades
MIAX: 24.1 million: 5.1 million trades
EMLD: 23.8 million: 5.2 million trades
ISE: 16.8 million: 2.9 million trades
C2: 15.1 million: 3 million trades
EDGX: 14.4 million: 3 million trades
MPRL: 12.1 million: 2.3 million trades
GEM: 11.5 million: 2.2 million trades
MCRY: 7.1 million: 1.8 million trades
NOBO: 4.3 million: 1 million trades
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Just curious, what is the mode of the trade size (most common number of contracts traded per trade)? Is it one contract? It's certainly much less than (volume/# trades). Thanks.
 
ISO's - generally done sans payment - some retail firms can do a small variant. Generally, you bypass the smart routers - which may be an intent - and go directly to the venues.
 
ajacobson said:
ISO's - generally done sans payment - some retail firms can do a small variant. Generally, you bypass the smart routers - which may be an intent - and go directly to the venues.
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Actually I was asking about the most common number of contracts traded per trade. Does anyone know what that might be? It's certainly much less than (volume/# trades). Thanks.
 
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