So the midpoints are accessed via dark pools i'm assuming? so al nyse stocks with dark pool markets will have sub penny prints?
Sub Penny Prints on C
- Thread starter GregoryG
- Start date
I'm not 100% sure, so maybe someone can correct me, but I thought if someone places a market order or a limit order through the offer, certain participants are given a chance to improve price, thus explaining the sub-penny prints.
Iâve noticed these as well in my everyday trading. What you saw was in fact a sub penny print. Many traders will not see these prints because the âlastâ default on their ticker is set to two decimal places, not four.
I came across a link to this presentation through an online blog. When you have a chance, take five minutes and read it over. It describes what sub-pennying is, how it happens, and how it affects us as traders. This is a real eye opener.
http://www.defendtrading.com/SubpennyinginDarkPoolsCompromisingNBBO.pps
Cheers,
- Carlos
Just realised that was a direct link to a .pps. For those that don't have powerpoint, here is a link to the actual page which offers a .pdf version too.
-Carlos
http://www.defendtrading.com/subpennying.html
-Carlos
http://www.defendtrading.com/subpennying.html
Thanks Carlos for the link, really interesting.
That sucks! High frequency traders and dark pools are moving millions of stocks in subpennies and here I am sitting on my 1k shares trade and watching the ticker and just praying my hunch is on the money.
Just how much of a penny are they allowed to buy and sell stocks? Can they quote a millionth of a penny?
I may have missed the boat for making a living out of day trading!
Just how much of a penny are they allowed to buy and sell stocks? Can they quote a millionth of a penny?
I may have missed the boat for making a living out of day trading!
They can't quote a millionth of a penny because it wouldn't be a better price.
Suppose
100 shares * $3.00 = $300.
If you improve on $100 by a penny (so total order is $300.01 instead of $300.00), then that is $0.0001 / share. Can't go lower than that.
2- You can learn trading strategies that involve smacking the bid/offer / paying the spread.
For example, SPY moves 10-50 cents in a very short period of time. That is often a good setup to smack the bid/offer. Certain stocks will have a delayed reaction to that and then move in the direction SPY went.
There are other strategies out there too (e.g. longer-term trading). I think you have to evolve or die. This sub-pennying and price improvement crap sucks.
Suppose
100 shares * $3.00 = $300.
If you improve on $100 by a penny (so total order is $300.01 instead of $300.00), then that is $0.0001 / share. Can't go lower than that.
2- You can learn trading strategies that involve smacking the bid/offer / paying the spread.
For example, SPY moves 10-50 cents in a very short period of time. That is often a good setup to smack the bid/offer. Certain stocks will have a delayed reaction to that and then move in the direction SPY went.
There are other strategies out there too (e.g. longer-term trading). I think you have to evolve or die. This sub-pennying and price improvement crap sucks.