Limit orders that rest in the US equity markets

[Robert Morse]

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.

As far as I know, there are no futures dark pools. Their are OTC trades that trade off floor then print the trade on the exchange.

 

[d08]

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?

They're not mine. IB provides their own algos as well as CSFB (Credit Suisse) and Jefferies.
I do submit some orders for instant execution via my frontend. I do have a backup generator in the building which starts within seconds and a backup (mobile) internet provider. The delay will cause me problems but I'm gambling on it not happening often.

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.

I don't trade CME any longer, I'm talking about stocks. There's a lot of information out there about how dark pools work.
Sub-pennying is when you have a limit buy order sitting at 12.05 of considerable size, sub-penny order comes in just before to take a position at 12.0501 because your order is essentially support, they will be out before the price comes back to 12.05 again, more often than not with profit.

 

[Overnight]

As far as I know, there are no futures dark pools...

Someone at the CME confirmed this to me about a year ago. There are no dark pools on their products, because you cannot trade lower than their minimum price fluctuation. If anyone wishes to disprove this, call them and ask.

(Why are so many people afraid to call people on the phone and get the deelio?)

 

[ajacobson]

CME's big edge isn't only no dark pools, but it is monopoly clearing. You could start a pool with CFTC approval, but they would never let you make the product fungible as you wouldn't be able to clear it. Go back and look at Eurex's attempt to crack the U.S. Tsy market.

 

[d08]

The whole topic is about equity markets though, futures are completely different animal when it comes to this.

 

[digitalnomad]

They're not mine. IB provides their own algos. I do submit some orders for instant execution via my frontend.

Sub-pennying is when you have a limit buy order sitting at 12.05 of considerable size, sub-penny order comes in just before to take a position at 12.0501 because your order is essentially support, they will be out before the price comes back to 12.05 again, more often than not with profit.

I’m aware of the hidden IB option. Never used it. Due to other daily obligations, I currently run algos that display stop/target instantly at broker/exchange post-entry. I do also possess versions of the same algos coded to allow full stop/target emulation within my front end. They display instantly at broker/exchange after price point criteria is met.

But considering my position, and resources, I can only assume that it wouldn’t matter when I display them. In the world of microseconds they’ll still be sub-pennied. I haven’t run any definitive comparisons.

This is my world:

Exchange > IQ Feed 100-200ms
IQ Feed > My Server 30ms
Imperfect PC clock sync 100ms
IB API/Front end delay 100ms
My Server > IB Gateway 10ms
IB Gateway > Exchange 30ms

So 500ms best case scenario without factoring in potential general internet delays. Worse case scenario, who knows? Big advantage is my monthly operating costs relative to even having a chance at 1/2 a second.