Someone steals my fill for one hundredth of a cent (as per TRF)

Quote from stdy:

My stock buy order was the only one at the inside price (bid $17.10, routed to Nasdaq, thinly traded stock). Then I see an execution (as per Tradestation time and sales) of over 1000 shares at $17.1001 on TRF (FINRA's Trade Reporting Facility, apparently). Earlier today I routed an order to BATS, and there too somebody stole my fill for a hundredth of a cent.

Who is stealing these fills, and more importantly, is there anything I can do to prevent it? (Note: I placed the order through IB, not Tradestation; I mainly use Tradestation for platform purposes. IB is generally very good about fills, and I don't suspect any funny business on IB's end.)
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HFT's are not there to provide liquidity. They steal good executions and when you want to buy, they provide no offers.

There is actually a way around this if all professional traders decided to use market orders for a week straight, HFT's would self destruct.
 
@stock777: yes, sometimes I'll buy at the offer -- but if I want to buy at the bid and someone wants to sell it to me there, it's not fair (if fairness matters) for an institution to swipe that buy for a hundredth of a cent.

@zdreg: I feel very lucky to be griping about this stuff and to have never been in a war. My heart goes out to our troops, vets, KIAs, etc.

@abattia: As Bob111's links pointed out, subpenny QUOTES are not allowed on stocks priced over $1 but subpenny EXECUTIONS are. The exchange and/or ECN do not affect that.
 
Quote from Lights:
There is actually a way around this if all professional traders decided to use market orders for a week straight, HFT's would self destruct. [/B]
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HFTs are running all sorts of strategies. Doing market orders for a week just plays into another type of HFT strategy.

This sub penny stuff that the OP talks about is probably internalization. Just a guess.
 
Quote from KeLo:

Hi stock777:

I think the complaint is that the broker can step in front of us with a sub-penny bid which we aren't allowed to do. It's not a level playing field, but then it never has been has it?
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anyone can and will front run you,even if you decide to buy at ask. this might not be issue on liquid stocks,but it's all over the place on average\low liquidity stocks. anyone,who think that HFT does really provide any liquidity on those stocks either naive or retarded. or both.


stock..
it's goes like this..you are in daytrading 'business' so spread is counts and adds up very quickly. so charges for removing liquidity. you sit at bid,hoping to close your position at minimum commish and your price. hundreds of shares passing by at your price-nothing happens. pissed off-you try to buy 100 shares at ask,current displayed size -500. you hit your buy button-no more 500 shares,ask moved higher, you have partial fill for 5 shares. now spread is bigger,price moved away and you will pay at last x2 of your commissions,while trying to fill rest of your order.

very very simple.
 
I wonder if everyone used IOC orders exclusively that there would be no latency mismatch for the HTF to use against us.

Of course with the quotes being 500ms or more away from the real NBBO, how do you know where the market is?
 
Quote from Lights:

HFT's are not there to provide liquidity. They steal good executions and when you want to buy, they provide no offers.

There is actually a way around this if all professional traders decided to use market orders for a week straight, HFT's would self destruct.
More...

I never wanted to go toe to toe with HFT's or even professional traders. I backed all my strategies out to a time frame where slippage from market orders was of little consequence. Much of the automation software is designed to work better with market orders, much of it can't deal with uncertainties about position created by limit orders, in fact limit orders can complicate software incredibly...
 
Quote from Bob111:


stock..
it's goes like this..you are in daytrading 'business' so spread is counts and adds up very quickly. so charges for removing liquidity. you sit at bid,hoping to close your position at minimum commish and your price. hundreds of shares passing by at your price-nothing happens. pissed off-you try to buy 100 shares at ask,current displayed size -500. you hit your buy button-no more 500 shares,ask moved higher, you have partial fill for 5 shares. now spread is bigger,price moved away and you will pay at last x2 of your commissions,while trying to fill rest of your order.
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I haven't personally seen a lot of that , and if you can document it consistently , I would think you'd have a case of fraud against the exchanges. If the stock is moving quickly or there's a lot of flashing, that can happen, but if the book is quiet, I'd like to see proof that a buy or sell doesn't happen through a broker like IB, when you enter a marketable order.

Also, if there's a lot of trade taking place in dark pool, you may have trouble getting an inside fill. But if theres 200 on Island, 300 on Arca, and you go to take 500, you're going to get them, or most of them. If you get 5 shares, then it must be sunspots.
 
Quote from abattia:

I believe NASDAQ does not allow subpenny orders (can anyone here confirm or refute this?); so route your trades only to NASDAQ.
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They do allow it. NASDAQ has midpoint orders.




Just because you're part of the NBBO, doesn't mean the person wanting to sell is going to hit your market center. They might hit up a darkpool or free-to-punch ECN...

No one stole OP's fill. The fill went to the intended market center and took someone else's order.
 
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