question about a non-fill

T

TheFinn

I sold short 1000 shares of dell, and then I put in a cover of a quarter point above what I shorted it at, so I could cover the short if the price went up. I am using Datek, and I put in order route for Island Only. When the price eventually rolled around, my order didn't get filled! I had to enter a market buy to cover the short and by then it went up more. There were like maybe 10 MMs on the level II at the price I had set the Island Only cover for. How come I didn't get filled at the price I had put in way ahead of time it actually reached that price?

Finn (pissed)
 
Hi Finn,

I do agree that your situation seems rather weird and I can only think of 2 possibilities.

1. There could have been no island offers at the price which you set. If Dell was running at the time, then island often trades much higher than the actual market so the "true" island market was even higher than your price. Using the island only option on datek direct doesn't allow you to trade with any market makers or other ecns.

2. If you were using the Datek level 2 streamer then maybe the quotes themselves were slow. Datek's level 2 is not very good in my opinion and often the quotes lag by a couple of seconds.
 
I was using Qcharts for my level II. I guess it was that Island didn't have any shares at that price, but that is kind of hard for me to believe since there were like 10 MMs sitting on the top ask (the price I wanted to sell at). I think maybe it's that Datek just sucks. Thanks, though. I think I am going to switch to MBTrader now.

The Finn
 
Finn - as was noted, with your order posted only on ISLD, you can only execute on ISLD. There may have been 10 MMs sitting at that price (although if they were sitting at that on the ask and you were selling, they're not going to buy from you since they're trying to sell too).

But in any event, if your order is on ISLD, then you've got to be hit on ISLD. So you need a buy order already sitting on ISLD or for someone to preference ISLD with a new buy order. In the meantime, people could be preferencing other ECNs or MMs while your ISLD order waits.

If you're trading for fractions like that, you might be better off doing your own order route preferencing or using a platform that allows you to set a stop price but then does best execution.

ISLD seems to be OK for very liquid stocks that trade millions of shares on ISLD a day, but I see ISLD routinely way out of the top 5 on L2 quite often for a lot of stocks.
 
Hi Finn,

sorry for the loss you took,

but I cannot understand, why you limited your possibilities for execution of stop-loss order at your price by using only Island ECN.

When using only Island, you cut off about 90% of the possible market for your order. This has nothing to do with your Broker, be it Datek or MB Trading.
It was most probably your selection of order-route which caused the trouble.

Island is for some stocks the biggest single marketplace among the many ECN's, but even Island counts only for roughly 10% of the volume traded in DELL and many other Nasdaq stocks.
( today, Dell traded 38.9 Mio shares in total, of which 3.4 Mio were traded on Island; less than 10% of Dell's trading volume !!! )

So if you set a stop-loss , this means, you want to be out of this trade a your price, no matter who fills the order - be it Island or any other ECN. In this case, you can either monitor your L2 data closely and enter a limit order but not assigned to a specific route, or you enter your order in advance with Auto-routing enabled.

BTW : if you use specific routing to an ECN or MM with Datek, the 60 second commitment from Datek will not be applicable, since MM's have up to 3 minutes to honour their quote.
If you use Auto-routing with DatekDirect and a marketable trade takes longer than 60 seconds to execute, commission will be waived ( as usual with Datek, I had this happen 2 times last week ).

Even if you use a specified route other than Island with DatekDirect, your order will always be routed to Island first for a possible match. This takes , according to Datek, about 0.2 seconds extra time.
( see also Datek mail & explanations below )

Please read this mail from Datek :

Dear ....
Many investors are now taking a more active role in their strategies by directing trades to market makers or ECNs (Electronic Communications Networks). If you are ready to take your trading to a higher level, use Datek's new direct access trading product, Datek Direct1 to route your orders:
Exclusively to The Island ECN®;

To your choice of any other ECN or market maker;

To SOES (Small Order Execution Systems); or

Through the proprietary Auto Routing technology that ordinarily handles your Datek Online orders.2

Designed for demanding hands-on investors, Datek Direct lets you trade for an introductory commission of $9.99 per online equity trade up to 5,000 shares.

As an additional level of service, all orders routed through Datek Direct will first travel to The Island ECN® for an immediate "price check" that determines whether your desired price can be matched or improved upon. The average time it takes to complete this "price check" is 0.2 seconds or less.
....... ( removed the Special offer bla bla.. )

Your feedback is very important to us. Please send comments with the subject "Datek Direct" to support@datek.com. You may also contact Customer Support at 1-800-U2-DATEK.

Sincerely,

John J. Mullin
Datek Online Brokerage Services LLC
http://www.datek.com

Explanations :
1 Datek Direct is a tool, as the name implies, that allows customers to direct their Nasdaq orders to a specific execution venue. The name should not be deemed to imply that a customer is dealing directly with the marketplace. All orders are processed through Datek Online Brokerage Services LLC, a registered broker/dealer. Please note that, once you have activated Datek Direct, all of the other features in your Datek Online account will continue to operate without change.

2 Datek's 60-second commitment does not apply for orders placed through Datek Direct unless Auto Routing is selected. This is because trading rules allow market participants up to three minutes to respond and execute or return your order.

3 After February 28, 2001, Level II quotes on the Streamer system are available FREE of exchange fees for non-professional users if you trade with Datek more than 20 times a month. Trade less and you still can access Streamer Level II quotes for the modest exchange fee of $9.99 per month for non-professional users. Prices and availability are subject to change.

High volumes of trading and volatility may result in executions at prices significantly away from the price quoted or displayed at the time of order entry.

System response and access times may vary due to market conditions, system performance, and other factors.

regards


Good Luck &



 
Sorry about your loss. I've never used stop orders because I have never fully understood the mechanics of it. I usually prefer to monitor manually.

My understanding and according to Island's FAQ is that they only accept limit orders. See here:

http://www.island.com/faq/index.htm#4

I was always under the impression that it was the broker that held the order until the activation price is reached for stop orders. In Datek's case, they do state that if a stop-limit order is used instead of a stop-market, and the stock trades through the limit price, the order will not get filled. Did you use a stop-limit or stop-market?

I really don't know why that happens but I've read that elsewhere.
 
Island is limit only but you can do a limit instantly on the spread so in reality it can be a market order. It is what I usually do.

The stock traded through your price that is all there is to it. YOu placed a limit on ISLAND but there were already 10 MM sitting at that price. The market traded up. It traded up enough that someone decided to outbid your price on island so you weren't filled. You were willing to buy at _____say .10 if someone is willing to pay .11 they go first. If more traders will pay .11 than your old price will never get filled. Soon the market is at .17 or .25 or even .85 (if you go to the bathroom) There wasn't too much resistance at your price level others were simply willing to pay more than your price so the inside/bid ask soon changed. Your price tier was no longer the inside bid/ask.

rtharp
 
rtharp, I was thinking more about Finn's problem and that's kinda what I suspected. Thanks for clearing it up. I guess that's why I don't use stop-limit orders.

One question though, if a stop-market order was used instead, shouldn't that have gotten executed. My understanding is that in a stop-market, only the bid or ask needs to touch the stop price which could cause the stop to change to an immediate market order.
 
forget all these complex orders. Just upgrade brokers.. so you have DAT capabilities.. and you can just make sure that you are always inside bid...
 
p2

problem is Island is limit only. So doesn't matter what the order is. I tend to do about 90% of my nasdaq orders on ISLAND since I trade liquid stocks. I usually just give up the spread. I buy the offer to get in and sell the bid to leave. I'm usually filled in milliseconds. Stops are written down for me and in my head. While daytrading I don't believe in putting them in the market especially with a specialist as the stops are just too easy for him to pick me off of.

Hope that helps. Our friend who posed the question may have had his order in 10 minutes early but he wasn't the first one there. 10MM were already sitting at that price. It was during a rally so his price didn't hold at all just traded right through.

rtharp
 
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