chartman, is there any reason why I wouldn't be able to sub penny at a retail level by having my orders execute on BATSALIQ using their PEG Midpoint functionality? I am a little confused by your 'insiders only' statements.
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SPY vrs ES (sub penny) Question
- Thread starter MoonlightGraham
- Start date
Quote from walterjennings:
chartman, is there any reason why I wouldn't be able to sub penny at a retail level by having my orders execute on BATSALIQ using their PEG Midpoint functionality? I am a little confused by your 'insiders only' statements.
Sorry, I am not the best authority on the current electronic markets. I am semi-retired and have been for about twenty years. I have traded some on the ECN's but I am not familiar with their operations. It is my understanding that the public cannot place sub-penny orders on the electronic exchanges. I tried a few times but my orders were rejected. As I have stated, I am not knowledgeable of the term PEG Midpoint but I would guess you might be able to place an order to be executed using some mathematical formula to arrive at a midpoint price of recent transactions. That is only a probability and not a known fact.
My statement about 'insiders' was based only on my experience that, if possible, the professionals will always try to have an edge over the public.
I trade only commodity futures now. Mainly options and spreads on futures. This was the market I started in several years ago. Of course, it is an entirely different market than it was forty years ago. I think the electronic markets in futures have made the market more transparent. I used to own a membership on a regulated commodity exchange and one never knew, especially in a fast market, what the current best price was in the pit. I know this has nothing to do with your question, but I am supportive of electronic markets. I am sure, as with most things, they could be improved. But, in my opinion, these are best of times for the public to be involved in the markets as far the opportunity of trading.
the answers in this thread are just horrible... shamefully so.
spy DOES trade in half penny increments...
chartman, not correct... if the MKT the subpenny trade occurs on is a normal ecn it's not "insiders" or anything nefarious.
spy DOES trade in half penny increments...
chartman, not correct... if the MKT the subpenny trade occurs on is a normal ecn it's not "insiders" or anything nefarious.
outside of the exceptions i mentioned... yep. it's always first come fist serve if you're displayed.Quote from NY0BScalper:
Hrm... are you sure that this is always the case?
don't take my word for it though. every exchange out there has a rule book. they're worth a read. a little hunting around on the respective exchange websites can confirm as well... from arca:
http://www.nyse.com/equities/nysearcaequities/1157018931922.html
again, latency issues would be moot if price->time could be circumvented. instead of hearing zerohedge bitch about hft, we'd be hearing them bitch about 'institutional nbbo stuffers with their unfair size, stealing priority from the little guy.'
@chartman
this thread is about electronic markets, specifically equities. we're not talking about the floor from 30 years ago. regardless of how much experience you say you have, very little of what you've said carries over.
Quote from propseeker:
@chartman
this thread is about electronic markets, specifically equities. we're not talking about the floor from 30 years ago. regardless of how much experience you say you have, very little of what you've said carries over.
You are right. Everything changes over time. No one is interested in the way things used to be years ago. I have not traded equities in about five years. Someone wrote that SPY trades in penny increments. I don't know. When I was trading on the ECNs retail customers could not place sub-penny orders. If it has change, which I have no reason to doubt, I am glad of it. I have always supported the electronic markets due to their ability to have transparency and, at least in theory, FIFO executions. As I have stated in this thread, now is the best time in history for the public to have access to and trade the securities and commodity futures markets. A world of difference from when I started in the business.
Quote from NY0BScalper:
the answers in this thread are just horrible... shamefully so.
chartman, not correct... if the MKT the subpenny trade occurs on is a normal ecn it's not "insiders" or anything nefarious.
<i>Here is another point of view concerning subpenney trading:</i>
Quote from gaj:
here's an answer for sub-pennying:
http://www.defendtrading.com/SubpennyinginDarkPoolsCompromisingNBBO.pdf
yes, it sucks that sub-pennying is allowed for some, and not allowed for most.
Quote from abattia:
... I have contacted NYSE/AMEX, and they have agreed to research the following question:
Q. What are the rules determining order matching on NYSE and AMEX? Do larger orders get filled before smaller ones? i.e. do âinsidersâ get filled before retail traders?
Iâll post their answer as soon as I have it...
I wrote I would post when I received clarifying info from NYSE/AMEX.
I have received
a) advice that I should read âRule 72â (already referenced above in this thread), and
b) a reference to the following document http://www.nyse.com/pdfs/fact_sheet_parity_priority.pdf (which shows there is at least one more way in which time priority can be violated on NYSE/AMEX to share an order between Designated Market Makers, Floor Brokers and the Electronic Order Book).
... I am not sure this clarifies very much ...
Quote from abattia:
( b) a reference to the following document http://www.nyse.com/pdfs/fact_sheet_parity_priority.pdf (which shows there is at least one more way in which time priority can be violated on NYSE/AMEX to share an order between Designated Market Makers, Floor Brokers and the Electronic Order Book).
... I am not sure this clarifies very much ...
Abattia thanks for researching this question. It appears that NYSE/AMEX have slightly changed their order fullfillment procedure. Now the quote setter is guaranteed 15% (unless his order is only 100 shares in which case the entire order is executed), rounded-up to an even lot, of a contra transaction and then share equally with the next two buyers/sellers until his order is completed or cancelled. The old rule used to be if the quote setter's order was not completed on a contra transaction based on time priority, then all shares reminding on the book at the same price became equal under parity with the order that could fill a contra order being the next order excuted. This new method leaves several orders being partially filled whereby the old system tried to completely fill an order before creating partial fills.
I am no longer involved in the securities market as a broker or trader. I trade only futures options and spreads. But if one is actively trading a market, in my opinion, he should be knowledgeable of order fullfillment. I know from experience they are not.
I know this thread is mostly about execution, but another reason to trade ES instead of SPY is the enormous difference in taxation of profits (if you're lucky enough to have any). Being a futures contract, ES is taxed under IRC 1256, whereby short term capital gains are taxed at 23%, as compared to the 35% percent for equities. I would think a savings of 12% on taxes would outweigh any questions of commission or execution.