If you are offering on nyse or amex (through dot) it cannot trade higher without filling you, unless the trade occured just before or as you sent your order. Once your order is on the book for a minute, there for sure wont be a trade-through, and it is very rare to see a trade-through after your order is out there for a handful of seconds.
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Observations on the NYSE specialist.
- Thread starter oliver777
- Start date
If you are offering on nyse or amex (through dot) it cannot trade higher without filling you, unless the trade occured just before or as you sent your order. Once your order is on the book for a minute, there for sure wont be a trade-through, and it is very rare to see a trade-through after your order is out there for a handful of seconds.
Quote from Avid_Consumer:
not sure if i'm routing through SDOT, I'm using IB's default and going direct to nyse, not via smart
All orders to the nyse go through sdot. To verify your order is there, it should appear on the open book within seconds. If not, you need to find out where that default is routing too or talk to IB.
cool. that explains the tradethrough. any thoughts on why all this counter liquidity trades at my price on nyse and amex when i'm nbbo on arca, but almost never when i'm nbbo on nyse or amex? it happens with very heavy consistency in a wide variety of order and market conditions.
Quote from Avid_Consumer:
cool. that explains the tradethrough. any thoughts on why all this counter liquidity trades at my price on nyse and amex when i'm nbbo on arca, but almost never when i'm nbbo on nyse or amex? it happens with very heavy consistency in a wide variety of order and market conditions.
This is impossible to answer without seeing specific examples.
you were sitting on ARCA? haha, you're at the mercy of other market makers trading through ECN. I'm not sure of the process of how specialist system interact with the ECN system.
Today, i had trouble of selling my long's on CHK using ARCA... everytime i try to sell my 100share order, a computer tags on 300 more shares at the same price. (how would i know?) i enter & cancel my 100share a few times to see the 300share tagged on & removed. (+-400shares in the ECN book)
No one would hit my offer even when NYSE was trading my price. that's no biggy, just cancel my order & reroute to NYSE. i thougt ECN would be a bit more inefficient, and if there's any run up, ECN might have higher bids than NYSE. but it was not the case for CHK, at least when I was trading.
I'm not complaining. It's just trading. Some one has to take my order in order to for me to have a trade. Simple! Now, I need to figure out how to make money, consistently. Learn the system, instead of working against it.
I'm not sure how IB routes its orders, & I am not familiar with its software settings.
Most of the specialists(or any other market makers) are not out to screw you. Your emotions will do a better job than they ever will.
for exmp
Today, i had trouble of selling my long's on CHK using ARCA... everytime i try to sell my 100share order, a computer tags on 300 more shares at the same price. (how would i know?) i enter & cancel my 100share a few times to see the 300share tagged on & removed. (+-400shares in the ECN book)
No one would hit my offer even when NYSE was trading my price. that's no biggy, just cancel my order & reroute to NYSE. i thougt ECN would be a bit more inefficient, and if there's any run up, ECN might have higher bids than NYSE. but it was not the case for CHK, at least when I was trading.
I'm not complaining. It's just trading. Some one has to take my order in order to for me to have a trade. Simple! Now, I need to figure out how to make money, consistently. Learn the system, instead of working against it.
I'm not sure how IB routes its orders, & I am not familiar with its software settings.
Most of the specialists(or any other market makers) are not out to screw you. Your emotions will do a better job than they ever will.
for exmp
Quote from Avid_Consumer:
thanks, i really appreciate your response. ok, i can definitely understand someone making a more competetive offer than mine which is sitting on arca, and them therefore becoming the nbbo. this actually happens quite frequently and before I know it, in the process of feeling for liquidity inside the nyse's wide spread, the stock and the spread have moved significantly lower as i would expect them to if the customer bids in his book truly did change (or can he do this discretionarily? are there conditions under which he can reflect a bid lower than what's actually in his book?).
in this specific situation though, i'm not seeing more competetive offers, i'm almost always seeing buys at my price trading on the nyse and the amex, and yes sometimes even higher which i understand to be a tradethrough. it's certainly frustrating to be the nbbo offer for 200 shares, and watch 1700 shares bought on nyse and amex at my selling price and higher without me getting filled. what's even more frustrating is that in almost every instance where i've improved his offer by sending my limit sell to nyse or amex directly, that flood of easy looking liquidity is never there.
i know it could be random supply and demand, or simply orders being routed directly to the specialists despite a better offer on arca. but after several weeks of experiencing this daily in all sorts of mkt conditions, buys, sells, entries, exits, on an etf without uptick rules... i have the distinct feeling that the liquidity i can never seem to access is initiated by the specialist. it's almost always there when i compete, and almost never there when i try to play along
how do i prove that without documenting and launching a crusade? not sure. but it's a highly consistent behavior. my competetive offers on arca seem to generate a flood of buy liquidity to the specialist. maybe there's a simple explanation.
not sure if i'm routing through SDOT, I'm using IB's default and going direct to nyse, not via smart
perhaps not personally, but this is a pretty big tangle of rules and scenarios to contend with just to find out how to offer more competetive prices for the purpose of better fills. (imho). next i'll familiarize myself with time/price priority rules.
the irony is, i wouldn't even bother with it if they just honored their quoted size and spread without me having to call my trade desk to get them honored so often as the spread takes a wild excursion from reality
and what's with the contradiction between something like the firm quote policy at the amex, and the fact that a 'service quote' for 100 shares doesn't have to be honored according to policy? BUT, they will honor it if you call it in, i guess since they're just that nice. BUT they don't have to if it was under a minute of waiting. this shit is SO slippery it's beyond doomed in the long run! nothing personal. i think it's fine if they want to compete on a level field, but to own the liquidity in the way they do is pretty wild and maybe even dangerous. we're not talking about exotic derivatives, these are US stocks
the irony is, i wouldn't even bother with it if they just honored their quoted size and spread without me having to call my trade desk to get them honored so often as the spread takes a wild excursion from reality
and what's with the contradiction between something like the firm quote policy at the amex, and the fact that a 'service quote' for 100 shares doesn't have to be honored according to policy? BUT, they will honor it if you call it in, i guess since they're just that nice. BUT they don't have to if it was under a minute of waiting. this shit is SO slippery it's beyond doomed in the long run! nothing personal. i think it's fine if they want to compete on a level field, but to own the liquidity in the way they do is pretty wild and maybe even dangerous. we're not talking about exotic derivatives, these are US stocks
Quote from Avid_Consumer:
perhaps not personally, but this is a pretty big tangle of rules and scenarios to contend with just to find out how to offer more competetive prices for the purpose of better fills. (imho). at the very least i should start reading the time priority rules.
the irony is, i wouldn't even bother with it if they just honored their quoted size and spread without me having to call my trade desk to get them honored so often as the spread takes a wild excursion from reality
and what's with the contradiction between something like the firm quote policy at the amex, and the fact that a 'service quote' for 100 shares doesn't have to be honored according to policy? BUT, they will honor it if you call it in, i guess since they're just that nice. BUT they don't have to if it was under a minute of waiting. this shit is SO slippery it's beyond doomed in the long run! nothing personal.
In my opinion, you are getting way too worked up and putting way too much emphasis on fill prices. I want to be frank with you and tell you truthfully that as a discretionary trader that will not make or break your success as a trader. There are many other things that are much more important that you should focus on. Find out first if you are even cut out to make a living at trading, and then when you can establish that you can, and are consistantly profitable, work on fine tuning it with things like saving a few pennies here and there with better executions. Good luck.
cstu,
It has been claimed, on this thread, that NYSE gives priority to long sell orders over short sell orders. I doubt this. Is it true?
It has been claimed, on this thread, that NYSE gives priority to long sell orders over short sell orders. I doubt this. Is it true?
Quote from Hamlet:
In my opinion, you are getting way too worked up and putting way too much emphasis on fill prices. I want to be frank with you and tell you truthfully that as a discretionary trader that will not make or break your success as a trader. There are many other things that are much more important that you should focus on. Find out first if you are even cut out to make a living at trading, and then when you can establish that you can, and are consistantly profitable, work on fine tuning it with things like saving a few pennies here and there with better executions. Good luck.
don't assume too much. i've been making more per year, for the last 3 years trading futures independently than i was in a support role on the fixed income floor of a major bank after 5 years. god, do i sound that ignorant. i'm just into trading, not regs, and i'm fully systematic with manual execution.
one thing these guys have yet to demonstrate is a sincere commitment to the spirit of electronic trading. the good old boy thing isn't a good mix with global electronic capitalism as much as i appreciate the tradition.
how can you take your p&l seriously without an emphasis on fills? your casual attitude toward fills seems contradictory to your rigorous defense of the system ... or is it more built into your cost structure than any sort of execution edge? how long have you been trading?