Observations on the NYSE specialist.

I have done a number of trades in SPY over the past few years. This ETF has a great deal of liquidity on ECNs, and also trades on NYSE and AMEX. I think that this particular security provides evidence that something is fundamentally wrong at NYSE.

I carefully track and analyze the reasons for any excessive execution costs on a particular trade. This includes careful analysis of time and sales for each available market center. I found that when one of my SPY orders were routed to NYSE by IB's smart router, my resulting executions were at far worse prices than they would have been if they had simply been routed to an ECN for immediate execution. It was my analysis which persuaded IB that it needed to permit each customer a choice to exclude NYSE from IB's smart router. This feature virtually eliminates the unpredictably huge costs which resulted from having my SPY orders smart-routed to NYSE.

Does anybody have a better experience with SPY orders at NYSE? Am I the only person who believes that the case of SPY strongly evidences that something is fundamentally broken and wrong with routine NYSE trading?
 
i'll tell you all you need to know about the specialist -

the're all wankers. every last one of them.

same with those bastards who just pushed es up after i went short. they are wankers too - only worse wankers.



:mad:
 
Quote from jimrockford:

I have done a number of trades in SPY over the past few years. This ETF has a great deal of liquidity on ECNs, and also trades on NYSE and AMEX. I think that this particular security provides evidence that something is fundamentally wrong at NYSE.

I carefully track and analyze the reasons for any excessive execution costs on a particular trade. This includes careful analysis of time and sales for each available market center. I found that when one of my SPY orders were routed to NYSE by IB's smart router, my resulting executions were at far worse prices than they would have been if they had simply been routed to an ECN for immediate execution. It was my analysis which persuaded IB that it needed to permit each customer a choice to exclude NYSE from IB's smart router. This feature virtually eliminates the unpredictably huge costs which resulted from having my SPY orders smart-routed to NYSE.

Does anybody have a better experience with SPY orders at NYSE? Am I the only person who believes that the case of SPY strongly evidences that something is fundamentally broken and wrong with routine NYSE trading?
More...

Retail orders are routed to the brokerage firm (IB in your case) by regulation, and therefore may not even make it directly to the NYSE (although it may show on your sheets that it traded there, it may have been simply "put on the tape" there)...your T&S will show NYSE, but it also may show "as of" - many variables involved in retail trading. You're right that you may get better executions on an ECN in this case.

Don
 
Quote from FredBloggs:

i'll tell you all you need to know about the specialist -

the're all wankers. every last one of them.

same with those bastards who just pushed es up after i went short. they are wankers too - only worse wankers.



:mad:
More...

Darn those bulls, LOL. Same wankers that ran my short EP up this morning....

Don:cool:
 
Quote from Don Bright:

Retail orders are routed to the brokerage firm (IB in your case) by regulation, and therefore may not even make it directly to the NYSE (although it may show on your sheets that it traded there, it may have been simply "put on the tape" there)...your T&S will show NYSE, but it also may show "as of" - many variables involved in retail trading. You're right that you may get better executions on an ECN in this case.

Don
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Don,

If I understand, you are suggesting that some orders reported by IB as routed to NYSE were actually executed by IB acting as my counterparty, and that the resulting execution was reported as a NYSE trade even though the order was not actually matched by NYSE. I think you are suggesting that the pattern of very bad execution prices I received was due to my broker, rather than to NYSE.

Please be advised that this was definitely not the case. If IB takes the other side of a customer equity trade, IB indicates that its Timber Hill affiliate was the counterparty. If IB reports that the order was routed to NYSE, then this means it really was routed to NYSE. If IB reports that the order was executed on NYSE, then this means it really was executed on NYSE.

I respect your expertise so I would be eager to see any further comments you might make, based on the information which I just provided.
 
Quote from jimrockford:

I have done a number of trades in SPY over the past few years. This ETF has a great deal of liquidity on ECNs, and also trades on NYSE and AMEX. I think that this particular security provides evidence that something is fundamentally wrong at NYSE.

I
Does anybody have a better experience with SPY orders at NYSE? Am I the only person who believes that the case of SPY strongly evidences that something is fundamentally broken and wrong with routine NYSE trading?
More...
_____________________________
I have traded SPY on the NYSE without any fundemental problems other than shitty timing on entry points by myself.

I don't think I would use a platform smart button however. I prefer to route directly based on the prints I'm watching.
 
Quote from jimrockford:

Don,

If I understand, you are suggesting that some orders reported by IB as routed to NYSE were actually executed by IB acting as my counterparty, and that the resulting execution was reported as a NYSE trade even though the order was not actually matched by NYSE. I think you are suggesting that the pattern of very bad execution prices I received was due to my broker, rather than to NYSE.

Please be advised that this was definitely not the case. If IB takes the other side of a customer equity trade, IB indicates that its Timber Hill affiliate was the counterparty. If IB reports that the order was routed to NYSE, then this means it really was routed to NYSE. If IB reports that the order was executed on NYSE, then this means it really was executed on NYSE.

I respect your expertise so I would be eager to see any further comments you might make, based on the information which I just provided.
More...

sure, I understand...and, no, IB may not be on the other side, but they can also "sell" order flow (check your contract, I've read IB's), and any delay could cause a price difference). If the trade is reported back to you in a few seconds, then you have to be filled within the NBBO price quotes, no matter what. Sometimes you are "matched" with another IB customer. I am assuming that you use only limit orders (I don't think anyone really would use market orders any more).....so, you can't be filled at a worse price than your limit, and you may get "price improvement" (as I do several times each day).

Just trying to help...

Don
 
Quote from Don Bright:

sure, I understand...and, no, IB may not be on the other side, but they can also "sell" order flow (check your contract, I've read IB's), and any delay could cause a price difference). If the trade is reported back to you in a few seconds, then you have to be filled within the NBBO price quotes, no matter what. Sometimes you are "matched" with another IB customer. I am assuming that you use only limit orders (I don't think anyone really would use market orders any more).....so, you can't be filled at a worse price than your limit, and you may get "price improvement" (as I do several times each day).

Just trying to help...

Don
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Thanks, Don. Let me address a few more pieces of information in your posting, and then ask if, in response, you have any further comments.

IB definitely does not sell equity order flow. If IB routes my marketable order to NYSE, it does so in a tiny fraction of a second, without any meaningful or intentional delay. My NYSE orders did frequently involve delays, as I recall, sometimes extending up to 30 seconds or more, but these delays were entirely due to NYSE and not to IB.

I would often receive a price far worse than the NBBO as of the time I placed my order. The order, in such cases, would not be filled until after the NBBO had moved far against me, and then the order would be filled; but if I had just routed it to an ECN, for immediate execution, I would, on average, have received a far better price than the one I received after waiting a long time for a much worse price on NYSE.

It is also not correct that the NYSE must fill orders within the NBBO. The trade-thru rule has many exceptions and loopholes allowing the NYSE to give prices inferior to the NBBO. The SEC, for example, has instituted a de minimis exemption to the trade-thru rule, freely allowing trade-thrus of up to 3 cents on any order for SPY or DIA.

It is not correct that IB will match equity trades between its customers. They will do it for forex trades, but not for equity trades.

My orders were aggressively priced marketable limit orders. You are correct that I would not be filled outside of my limit, but that misses my point. If I can consistently get far better SPY prices by routing to ECNs, does this not indicate that something is fundamentally broken, wrong, and corrupt with routine NYSE trading?

You are correct that I would sometimes get price improvement from NYSE on SPY, but price improvements were far outweighed by the extremely poor execution prices I would receive on other trades. I make this statement by using the immediately executable prices available on ECNs as my benchmark.

So, Don, any further comments? Thanks for helping.
 
Quote from Don Bright:

Darn those bulls, LOL. Same wankers that ran my short EP up this morning....

Don:cool:
More...

cheers don. good to know im in good company, even if i am in the wrong side of the market now and then!!

i think ive just got to face that my method has stopped working for a while - time to find a new method/approach. too many losers recently - too many than i should have when its running like it should.

was that last trade the straw that broke the camels back - or is it just playing games in a thiiner market that we often see before a holiday?
 
Quote from jimrockford:

Thanks, Don. Let me address a few more pieces of information in your posting, and then ask if, in response, you have any further comments.

IB definitely does not sell equity order flow. If IB routes my marketable order to NYSE, it does so in a tiny fraction of a second, without any meaningful or intentional delay. My NYSE orders did frequently involve delays, as I recall, sometimes extending up to 30 seconds or more, but these delays were entirely due to NYSE and not to IB.

I would often receive a price far worse than the NBBO as of the time I placed my order. The order, in such cases, would not be filled until after the NBBO had moved far against me, and then the order would be filled; but if I had just routed it to an ECN, for immediate execution, I would, on average, have received a far better price than the one I received after waiting a long time for a much worse price on NYSE.

It is also not correct that the NYSE must fill orders within the NBBO. The trade-thru rule has many exceptions and loopholes allowing the NYSE to give prices inferior to the NBBO. The SEC, for example, has instituted a de minimis exemption to the trade-thru rule, freely allowing trade-thrus of up to 3 cents on any order for SPY or DIA.

It is not correct that IB will match equity trades between its customers. They will do it for forex trades, but not for equity trades.

My orders were aggressively priced marketable limit orders. You are correct that I would not be filled outside of my limit, but that misses my point. If I can consistently get far better SPY prices by routing to ECNs, does this not indicate that something is fundamentally broken, wrong, and corrupt with routine NYSE trading?

You are correct that I would sometimes get price improvement from NYSE on SPY, but price improvements were far outweighed by the extremely poor execution prices I would receive on other trades. I make this statement by using the immediately executable prices available on ECNs as my benchmark.

So, Don, any further comments? Thanks for helping.
More...

I just made a few trades on the SPY, and while watching the NYOB and L2, I notice very tight markets (obviously, for any ETF), and see INET and ARCA both either matching or beating the AMEX and the NYSE at times. With a 1 or 2 penny spread, I can't see how anything outrageous could or would happen.....I put 2 120.96 buy orders in at the same time on ARCA and NYSE, and got filled on both (sold back at .98 (I don't normally trade ETF's, I'm not a directional trader), LOL.

I tell my traders to keep 2 montages up at all times, one with NYOB and one with L2....95% of all the stocks we trade will have better pricing on the NYSE, but when they see an ECN with a better price, go for it (no-brainer).

Another note about routing that may be of interest....by using the "smart limit" routing, our orders go to the Goldman Sachs "hidden" liquidity pool (which is huge, but not shown), and then we can "rest" anywhere we like (NYSE or ECN)...this opens a whole new source of better pricing, and we cannot ever get a worse fill than any price out there (according to GS anyway). I know this is a bit "off topic" but pertinent in that new sources and routing are very important, of course.

ETF's are a bit different than stocks of course, and I honestly feel that they are one instrument that makes good use of multiple markets.

All the best,

Don
 
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