I'd be interested to experiment between Genesis stops and specialist stops. Which would give you a better fill?
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Stops at Genesis
- Thread starter BrownianMotion
- Start date
Quote from SitrusTrader:
I'd be interested to experiment between Genesis stops and specialist stops. Which would give you a better fill?
With respect to NYSE server-side stops:
* You can choose any order type (not just DOT stop and DOT stop limit orders). That improves your fill potential because you can access ECNs for liquidity also. And because server-side stops are fully automated, you often get filled quicker.
* Depending on how they're coded, server-side stops can trigger off the bid or ask prices, instead of just the last trade like specialist stops. These execute quicker because you don't have to wait for a trade to trigger the stop when a level is broken. Hopefully Genesis server-side stops allow for this--it's more like a conditional order, which is more flexible.
* In the event of very bad/good news or a huge seller/buyer, the specialist could hold the market (and your stop from being executed). Meanwhile, ECNs will often still be trading and give you a chance for an exit before the specialist puts up a big print.
* Server-side stops entail zero chance of a specialist trying to "run your stops" to generate liquidty, volume, or profit for his proprietary account.
Serge Pustelnik
Genesis Securities
Serge,
First off, these stops will be a big help to traders who previously didn't have non-exchange stops. So you deserve applause for adding them. Hopefully more brokers will wake up and add non-exchange-held stops soon.
I have a few comments, however, in the spirit of offering constructive suggestions:
1) Client-side stops entail MUCH more slippage than server-side stops. For example, when a T-Stop is triggered, it means that a trade message had to travel to the trader's PC before his/her PC notified your server to execute the stop. Assuming a 75 millisecond ping time to your servers, this means there is a built-in 75 millisecond delay in T-Stops. That might not sound like much, but compared to REDI+ Sigma stops for example (which are server-side), your T-Stops will execute later every time--costing traders money. In short, client-side stops generally cannot compete with server-side stops.
2) If a trader's client goes down, or has internet trouble, client-side stops are useless.
3) T-Stops trigger off the last trade price. In the next revision you should allow them the option of triggering off bid/ask prices--which can save execution time because the stop doesn't have to wait for a print.
First off, these stops will be a big help to traders who previously didn't have non-exchange stops. So you deserve applause for adding them. Hopefully more brokers will wake up and add non-exchange-held stops soon.
I have a few comments, however, in the spirit of offering constructive suggestions:
1) Client-side stops entail MUCH more slippage than server-side stops. For example, when a T-Stop is triggered, it means that a trade message had to travel to the trader's PC before his/her PC notified your server to execute the stop. Assuming a 75 millisecond ping time to your servers, this means there is a built-in 75 millisecond delay in T-Stops. That might not sound like much, but compared to REDI+ Sigma stops for example (which are server-side), your T-Stops will execute later every time--costing traders money. In short, client-side stops generally cannot compete with server-side stops.
2) If a trader's client goes down, or has internet trouble, client-side stops are useless.
3) T-Stops trigger off the last trade price. In the next revision you should allow them the option of triggering off bid/ask prices--which can save execution time because the stop doesn't have to wait for a print.
Serge Pustelnik
Genesis Securities
Quote from BrownianMotion:
Serge,
First off, these stops will be a big help to traders who previously didn't have non-exchange stops. So you deserve applause for adding them. Hopefully more brokers will wake up and add non-exchange-held stops soon.
I have a few comments, however, in the spirit of offering constructive suggestions:
1) Client-side stops entail MUCH more slippage than server-side stops. For example, when a T-Stop is triggered, it means that a trade message had to travel to the trader's PC before his/her PC notified your server to execute the stop. Assuming a 75 millisecond ping time to your servers, this means there is a built-in 75 millisecond delay in T-Stops. That might not sound like much, but compared to REDI+ Sigma stops for example (which are server-side), your T-Stops will execute later every time--costing traders money. In short, client-side stops generally cannot compete with server-side stops.
2) If a trader's client goes down, or has internet trouble, client-side stops are useless.
3) T-Stops trigger off the last trade price. In the next revision you should allow them the option of triggering off bid/ask prices--which can save execution time because the stop doesn't have to wait for a print.
I really appreciate and welcome all feedback.
1 & 2) I agree with you that client based stops have more slippage then server based one. This is our first release and all this does is create an automated module to replace the actions of the trader. In due time we will release a server based module (which will have more than just stops). This is a huge project and we want to do this the right way.
3) Version 1.1 will have this feature (released in a few weeks).
Serge, That's excellent. Thanks.
Serge Pustelnik
Genesis Securities
It is up on the internet.
Includes:
I. Stops (T-Stop)
a) Absolute Amount
b) Fixed % off open cost
Triggered by:
a) Last Print
b) Bid
c) Ask
Filtered By:
a) NBBO
b) NYSE only.
And.
Client Trailing Stops (T-TStops)
Basis (same as T-Stops)
Includes:
I. Stops (T-Stop)
a) Absolute Amount
b) Fixed % off open cost
Triggered by:
a) Last Print
b) Bid
c) Ask
Filtered By:
a) NBBO
b) NYSE only.
And.
Client Trailing Stops (T-TStops)
Basis (same as T-Stops)
Serge, Great news! Look forward to trying them...