SuperSoes execution algorithm

T

Turok

Could someone please direct me to a page that will answer my questions regarding SuperSoes.

Example question:

CSCO Bid

GSCO | 17.75 | 100
MSCO | 17.75 | 200
PRUS | 17.73 | 700

Assume I am first in the que.

A. Will a sell limit order for 17.73 x 500s execute 300s @ 17.75 with price improvement and then having taken out GSCO and MSCO execute the remaining 200s against PRUS at my limit?

OR

B. Will it remain live and unexecuted for some timed period until (perhaps) PRUS reaches the inside at which time my 500s would execute at the limit price?

OR

C. Will it be rejected since the limit price is away from the market?

I could ask about 50 more questions similar to the above (and I may have to), but I would first like to read up on it before boring all here with such minutia.

I have read everything I could find on the Nasdaq site and it wasn't sufficient.

Thanks

JB

 
JB,

Scenario "A" is correct. SuperSOES only executes at the NBBO, so assuming no ECNs appear better than 17.73, when you hit GSCO and MSCO, PRUS becomes best bid.

SOES orders stay live for 90 seconds (except from 9:00 AM to 9:33 AM ET when they stay live 3 min.), so in scenario "B", should an ECN appear ahead of PRUS, then the SOES fill stops and you have the remainder of your order life for PRUS to move to the inside. If no MM appears at the inside within 90 seconds, the order cancels.

Regarding a reference site for info, I know the Direct Access Order Routing Table over at HardRightEdge.com is being updated for SuperSOES and SNET changes. The individual route columns are not updated yet, but the SuperSOES and SNET columns are 99% complete.

By the way, ARCA and REDI hit SuperSOES now as part of their "smart" routing.
 
Hi

I did the post below about a month ago on another board which may be of help. When there is no ECN I use SS and find their fills take 1 second, which is far better than it used to be. Here's the cut& paste.

SuperSoes (SS) and SelectNet(SN)

SS is intended to replace SOES and SN rules are being changed.

I quick overview of SOES. Trading with SOES was fraught with problems for a day trader. There was a tier limit on the amount you could trade with each stock during a certain time period, T10 basically meant that you could only trade 1000 shares of that stock once within 5mins. T2 meaning only 200 shares within 5mins. There was more to it than that, there is no need to go into detail. I never used SOES for day trading.

SuperSoes changed the rules in that there is no tier limit or time limit on the amount of shares you can trade using SS. You can cancel your order at any time. The MMs have to fill your order between 0.5-0.8 of a second which is virtually zero. If there is an ECN at the inside price your order will wait in a queue for up to 90 seconds until the ECN moves off the inside price. You cannot put your prices in-between the inside price. If you do SS will cancel your order.
If a MM is displaying 10 (1000shares) that means the MM has a reserve. You do not know how much this reserve is.
Here is an example of how a limit order will work. If you order 2000 shares and on the inside price NITE is displaying 1000 shares, GSCO 500 and MLCO 500. Your order will take the 1000 of NITE then 500 of GSCO and 500 off MLCO.
If you order 3000 shares on the same set up. It will take 1000 off NITE, 500 off GSCO, 500 off MLCO then go back to NITE as it is displaying a 1000 therefore has a reserve.
If you have an odd lot of shares with your order. That portion will go into a “bucket” with other odd lots in an attempt to make an even lot.
SuperSoes is on a first come first served basis.
You can trade about 20 shares with SS at the moment. Another 80 being added on Monday and all the rest by July 31st

SelectNet rules are changing in that when you SN preference a MM the MM no longer has to fill you or move off the price in 17 seconds. If you SN preference a MM your order has to be for a 100shares more than the MM is displaying or your order will be cancelled. If you want to buy less than the MM is displaying you have to bid above the MMs price. The bid above could be $0.001 and you will be allowed to put the price in-between the inside price for SN preference only.
If you SN preference a MM you cannot cancel your order for 10 seconds. With SS you can cancel immediately. SN will become fully functional as when SS does.

SuperSoes is being brought in to try and get more business and compete with ECNs.
They are also trying to stop us using SelectNet preference as much. I used SN preferance to scatter MMs off level II. Now they don’t have to move off the price or fill me with SN preference.
With SuperSoes you are supposed to get quicker fills, providing an ECN is not at the inside price and you are there first.

ECNs were asked to participate in SuperSoes but refused to do so.

I don’t know if it will be better or not. Will find out after July 31st

Ken




 
Ken,

Now that you have used supersoes, what is your opinion? I have found executions much better but since implementation level2 is virtually usless. Just a tool now for the market markers to manipulated us.

Good Trading
 
Thanks for the input.

Kensmith, your post while excellent doesn't provide the detailed answers about the routing rules that I'm looking for.

Lancer, I had spent quite a bit of time with the HardRightEdge.com routing table before writing my orginal post. It diplays a number of seeming conflicts so I determined that I needed something besides this table to confirm SuperSoes behavour.

For example, it says regarding limit orders:

>While waiting for a participant at the inside,
>limit orders stay live 90 seconds (between
>9:34 AM and 4:00 PM ET), and stay live 3
>minutes from pre-open to 9:33 AM ET.

and:
>If no MM on the inside bid/ask, the
>order cancels (cancels if only ECNs
>on inside).

and:
>Orders at inside price cancel if no MM
>on inside, or if MM moves price.

and:
>(Can lock or cross without cancel)

Unless I'm a moron (and that is sometimes subject to much debate), these statements can't all be true and present a very muddled picture about the accuracy of the table.

I appreciate your help very much and am still looking for the definitive resource.

JB







 
Zed
<i>Now that you have used supersoes, what is your opinion? I have found executions much better but since implementation level2 is virtually usless. Just a tool now for the market markers to manipulated us.</i>

From level II I mainy use ISLD, if its not available any other ECN. Last resort is Supersoes. In the past I used to Selectnet preferance an MM if no ECN available at the inside price. Fills used to be about 8 secs which was far too long and the cancellation time of 10 secs drove me crazy in fast moving positions. I find supersoes is brilliant with fills taking 1 second, when theres no ECN. Cancellation time of zero is great. I never wait in a queue, if it doesn't fill I will cancel and take ECN at lower price or try again.
Most movers there's ECNs however when I was trading ELNK there was more MMs and Supersoes worked fine.

Turok

I havn't quite grasped your question properly. Let me start off by saying I trade directly off level II using cybertrader pro.Mainly nasdaq stocks every day ECN hours.
I don't know if you are closing a long or opening short position.CSCO is a widely traded fast moving stock with plenty on ECNs so why use SuperSoes?
Not being disrespectful to you, but I'm not going to send a SS limit order below the inside price.
As I have mentioned I only use SS if there is no ECN, no way am I going to wait 90secs for an order to fill. If its not filled in a second another route is found.
The basics of SS is in my post, why not trade and find out?

Ken


 
Hi Kensmith. Thanks again for your interest and input.

>I havn't quite grasped your
>question properly.

My question is that I'm looking for a resource that explains in detail the rules and algoriths of the SuperSoes system. I am seeing conflict in the documentation I have found (see previous response regarding HardRightEdge.com) and am hoping that someone knows of a site that is accurate.

>I don't know if you are closing
>a long or opening short position.

I'm sorry...I should have stated that. For simplification, I was just closing a long. I didn't want to bring the downtick rule into the equation just yet.

>CSCO is a widely traded fast moving
>stock with plenty on ECNs so why use
>SuperSoes?

It's a generic question...I don't even trade CSCO anymore. I picked it off the top of my head and I only included a symbol so that everyone would know that the question related to an eligible stock rather than some penny stock.

>Not being disrespectful to you, but
>I'm not going to send a SS limit order
>below the inside price.

No disrespect taken, but I certainly disagree with you. In my example, if I've got 500 shares of stock that I want to get rid of and I only hit the inside, I only get rid of 300. Then guess what?...now .73 is at the inside so you personally would do what?...send another 200 share SS sell order in at the inside?. I'd rather just send in a SS limit for .73 and get it over with. We either both get exactly the same result or you still have 200 shares.

And that is the crux of that question...can I actually do that or will it cancel because it's not at the inside. The material I have found is unclear and contradictory. Lancer says I can and I have no reason to disbelieve him. Also, that is only one of many, many questions that I could create that are not answered by your post(no disrespect intended) or other material that I've found.

>The basics of SS is in my post

And I thank you for your post, but as I noted in the thread introduction, I am looking for the minutia, not just the basics. I've had the basics for some time.

>why not trade and find out?

I am trading all day every day, but as you know, in a dynamic situation (and especially with other unknown entities and quantities in the queue) one cannot always determine with certainty whether the behavior witnessed was altered by something changing mid-execution (like an ECN stepping in, or a MM moving and part of your order getting canceled)

I work all my own orders and have found it quite profitable to really KNOW what happens when I push that execution button. When I am surprised at the out come I dig until I am no longer surprised. It works for me, your results may vary.

Thanks again.

JB
 
Thanks dlincke. Appreciate your input.

As I noted in my thread intro, I have already searched this and other Nasdaq documentation and have been unable to find the answers to many, many questions. The Naz examples do a Passable job of explaining SS market orders, but as I only use limit orders this brings up a host of behavior questions.

Thanks again
JB
 
JB,

The lack of detail you are finding on official sites is the reason the HRE Order Routing Table was created. The objective is to become that definitive one-stop resource you're looking for. The table is an ongoing user-supported project for the benefit of all direct access traders, and content is according to trader contributions and official ECN, NASDAQ, and NYSE sources. Even offical sources have differing understandings, depending on the staff person you talk to. Right now, the table is undergoing a major update, and probably won't be complete for three weeks depending on the speed of feedback from various ECNs and NASDAQ. Pending completion of the update, I'd direct you to another resource, but there just isn't one that I've ever found. Anyone with contributions (corrections/revisions) for the table should send them to trader@hardrightedge.com (Alan Farley).

Regarding your SuperSOES questions, thanks for pointing out some needed clarifications/corrections. Some of the confusion has to do with differences between market and limit order handling, and the table is kind of combining the two in several places in the SuperSOES column. You've also planted a question in my mind that I need to check on.

Since I'm doing some checking, I'll pull your questions from your posts here and submit them to NASDAQ for an official answer. If you've got specific questions in addition to those posted here, email those to me, and I'll include them in my inquiry on Monday.
 
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