Is ARCA 'smart'?

[qazmax]

Quote from JohnL111:


Let's say the current bids are:

ARCA - 10K @ 80.20
INET - 10K @ 80.18
AMEX - 50K @ 80.10

If I send a sell limit order to ARCA for 30K @ 80.10 what happens?

ARCA will not trade through the NBBO. For listed stocks the exchanges must suscribe to an antiquated service called ITS.

Your order will execute immediately for 10,000 sh. at ARCA
Then ARCA will check for reserve amounts and discretionary orders on its book. This happen very fast, less than a second.

If no other bids are on ARCA at 80.18 or better ARCA will route to INET.

the best bid in the world is 80.10 AMEX and you still have 10,000 shares to go. Assuming no other bids have come to the market place.

At this point the computer generates an ITS order and sends it to the AMEX specialist to be ignored (OK, they may not ignore it). ITS generates a pop-up window that reads someting like "Order: Sell 10,000 XYZ at 80.10" 15 seconds to respond.

ITS orders can be rejected, partialled, filled, or timed-out.

In theory the exchange is supposed to trade it unless it traded ahead.

If it does not fill it returns to ARCA and begins again.

 

[BinaryMan]

Insofar as I've read, it appears that most of the lock/cross of ECNs are due to the extra charge to take liquidity from the books. For instance, INET charges 0.3c/sh (I think) for taking liquidity. Because of this, the quoted price actually does not reflect the true share price. So, you might see a bid/ask of 5.50/5.50, but the price calculated in "smart" order-routing systems will see that it is really equivalent to 5.497/5.503 and will not execute the trade.

 

[JohnL111]

Quote from qazmax:

ARCA will not trade through the NBBO. For listed stocks the exchanges must suscribe to an antiquated service called ITS.

I have a follow-up question about routing to ARCA. My broker sends orders on AMEX ETFs to Knight Capital Markets (this assumes that the customer did not direct the order to ARCA or AMEX). It appears that Knight will fill the order up to size of the NBBO, and then put the remainder on CAES.

I assume that a customer would be better off routing to ARCA - rather than letting the broker collect payment-for-flow from Knight, who will probably not even attempt to get a better price than what is shown at AMEX.

Is this correct or even worse than I think?

 

[Toonces]

I placed an order yesterday through INET, at the same price as the lowest ask, which happened to be BRUT. The order filled, which suggests that INET searched for the best price, even though it was BRUT. But it took at least 3 seconds to fill.

So if I use ARCA or INET by default (trying to lift the offer or hit the bid), am I getting a 3 second lag in getting my order filled?

 

[alanm]

Quote from JohnL111:
It appears that Knight will fill the order up to size of the NBBO...

Are you sure? Normally, there are limitations as to the number of shares, no fill in crossed/locked markets, etc. Who is the broker?

 

[asinine]

I would definitly say that arca stays cross (at least on NYSE) for so long is totally because of the fees involved.

Getting a fill on ARCA on NYSE is free, but i think you pay something like 0.8/1000 to retail it.

For some peoples style of trading (i.e. mine and my firms) that's very important!

Also, as far as i know ARCA is the only ECN left that charges for retails on NYSE, BRUT is now free, and ISLD pays to retail - that probably figures into the routing equation!

 

[alanm]

Quote from asinine:
Getting a fill on ARCA on NYSE is free, but i think you pay something like 0.8/1000 to retail it.
...
Also, as far as i know ARCA is the only ECN left that charges for retails on NYSE, BRUT is now free, and ISLD pays to retail

The current per-share fees for NYSE-listed stocks are:

ARCA $0.001 charge to take from ARCA or another market / $0.000 to add ( http://www.tradearca.com/traders/fees.asp )
INET $0.009 credit to take / $0.001 charge to add ( http://www.inetats.com/prodserv/bd/fee/fee.asp )
BRUT $0.000 to take / $0.000 to add ( http://www.nasdaqtrader.com/trader/tradingservices/productservices/pricesheet/pricing.stm#CAESITS )

 

[larrybf]

ARCA seems to be filling my orders much quicker and giving me less partial fills.... did the order routing program get changed to make it "smarter" ??? thanks in advance