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I'm starting to realize ECN rebates are for suckers
- Thread starter Sky123987
- Start date
Quote from johnston:
whats does "beating the spread" mean?
it means hitting the bid/offer with so many orders that it falls and bleeds under your mighty hand.
but, in this case, what i think he meant was to make the difference between bid/ask in profits. so, if you want long and you take the offer you pay or lose the spread, but if you bid instead and get filled you make the spread or beat it.
Quote from onelot:
it means hitting the bid/offer with so many orders that it falls and bleeds under your mighty hand.
but, in this case, what i think he meant was to make the difference between bid/ask in profits. so, if you want long and you take the offer you pay or lose the spread, but if you bid instead and get filled you make the spread or beat it.
I scalp spready stocks all day long, and if I buy an offer, and instantly put an offer out 10 cents, and am in the trade less than 2 seconds, I consider that "earning the spread" and feel that it's far easier to make a 10 cent spread that way than by joining or pennying the bid vs lifting the offer. Often when you get filled you'll immediately be "out" the spread" if you will.
Quote from Sky123987:
this is the whole point... how do you know that it's an ROI enhancer... if you believe that ARCA, BATS and INET orders are just as likely to be filled as NYSE order then I agree with your statement, however I doubt that's the case... so you have to try to estimate the cost of getting filled later vs the ECN rebates.
You have to have a database to really get the answer...
Since the enactment of the NMS (National Market System)... we won't get traded through (supposedly), but will, at times, find that NYSE will fill at the same exact price and not fill on ARCA, but it's pretty rare.
I tested this on GE for a few weeks and found that perhaps 5% of the orders parked on ARCA didn't get filled when NYSE would have. Not a bad percentage, and really thick stock.
Don
Quote from Don Bright:
Since the enactment of the NMS (National Market System)... we won't get traded through (supposedly), but will, at times, find that NYSE will fill at the same exact price and not fill on ARCA, but it's pretty rare.
I tested this on GE for a few weeks and found that perhaps 5% of the orders parked on ARCA didn't get filled when NYSE would have. Not a bad percentage, and really thick stock.
Don
thanks for sharing that Don. Why do you think that would be? One would think that all the NYSE orders would be cleared first and then all the ARCA ones... yielding a percentage much > 5%
Quote from Sky123987:
thanks for sharing that Don. Why do you think that would be? One would think that all the NYSE orders would be cleared first and then all the ARCA ones... yielding a percentage much > 5%
A lot of program trading is designed for NYSE only since they don't want to pay the "taking liquidity" fee for ARCA orders. These orders are constantly being sent in to NYSE vs. ARCA. ARCA is a "last resort" for those hitting bids or taking out offers at exact same price.
Don