Limit orders that rest in the US equity markets

[777]

Anyone extensively use resting limit orders?

If you do, are you not afraid of adverse selection?

-getting filled when the price is likely moving against you but getting denied your fill because of being sub-pennied by algos if your fill figures to be a good one?

 

[traider]

Anyone extensively use resting limit orders?

If you do, are you not afraid of adverse selection?

-getting filled when the price is likely moving against you but getting denied your fill because of being sub-pennied by algos if your fill figures to be a good one?

How much are you aiming to make per trade? What type of infrastructure do you have? If you are just retail suck it up and accept that you will have to pay the spread most of the time.

You can try IEX, haven't done it extensively. Other exchanges, yeah you get raped.

 

[Robert Morse]

Anyone extensively use resting limit orders?

If you do, are you not afraid of adverse selection?

-getting filled when the price is likely moving against you but getting denied your fill because of being sub-pennied by algos if your fill figures to be a good one?

Most of my clients use DMA to an ECN for limit orders and SMART for taking liquidity. I was never concerned with what you are asking about. I want to buy a stock at a price for a reason and that reason is not for the next 10 seconds. Some of my best trade were scale orders where I get filled on half of them and then I'm pissed I did not pay up before the end of day. If you target is not a quick flip of 1 to 2 cents, IMO you have to ignore it.

 

[777]

Most of my clients use DMA to an ECN for limit orders and SMART for taking liquidity. I was never concerned with what you are asking about. I want to buy a stock at a price for a reason and that reason is not for the next 10 seconds. Some of my best trade were scale orders where I get filled on half of them and then I'm pissed I did not pay up before the end of day. If you target is not a quick flip of 1 to 2 cents, IMO you have to ignore it.

Sure.

Most trading ideas call for hitting the bid/ask, smart route, etc.

Gone is NYSE price improvement and in are the sub-pennie algos.

Broadening my knowledge with this question.

Thanks you for your reply.

 

[d08]

You get heavily gamed if using lit markets and visible limit orders, you're essentially dumb money and the smart ones will race to take advantage. Dark pools and hidden orders are helpful.

 

[Robert Morse]

You get heavily gamed if using lit markets and visible limit orders, you're essentially dumb money and the smart ones will race to take advantage. Dark pools and hidden orders are helpful.

I disagree. Dark pools are not transparent. You have no idea what is going on and where you stand. I want my orders subject to price discovery so all can see and trade with my orders. I'm not aware of any price protection. If I'm bidding 45.01 dark and the best bid that is lite is 45.00, I beleive sell orders can trade through me.

 

[khotso]

Sorry offtopic
Do those algo-orders look same way like icebergs, on the marketplace? that only small part of it can be seen, or are they completely invisible?

 

[d08]

I disagree. Dark pools are not transparent. You have no idea what is going on and where you stand. I want my orders subject to price discovery so all can see and trade with my orders. I'm not aware of any price protection. If I'm bidding 45.01 dark and the best bid that is lite is 45.00, I beleive sell orders can trade through me.

Others on ET route to dark pools only and have positive experiences - huge volume done with no effect on price. I use algos that route to both but never display anything, I wasted so much money by getting gamed.

Sorry offtopic
Do those algo-orders look same way like icebergs, on the marketplace? that only small part of it can be seen, or are they completely invisible?

It entirely depends on the algo. Every provider seems to have 5-15 strategies and they all have parameters for customization. They appear to be much more efficient than icebergs or hidden orders.

 

[digitalnomad]

Others on ET route to dark pools only and have positive experiences - huge volume done with no effect on price. I use algos that route to both but never display anything, I wasted so much money by getting gamed.

So basically, all your exit orders are held, or emulated within your own front end? If so, are you glued to the screen? Do you have backup batteries/generators/internet configured to provide failover protection, or a VPS?

 

[Grantx]

Others on ET route to dark pools only and have positive experiences - huge volume done with no effect on price. I use algos that route to both but never display anything, I wasted so much money by getting gamed

Apologies for the noob question, are you saying that there are exchanges operating alongside the official CME ones where trades are occuring? Who owns and manages these exchanges?
Also, what is a sub penny algo and how can they deny you a fill?
Thanks.