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Trading Journal - May
- Thread starter Seanote
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Seanote,
What order routing do you use? You mentioned you get fills at varying prices. Is that through some sort of best execution algorithm or do you normally post a limit bid/offer?
What order routing do you use? You mentioned you get fills at varying prices. Is that through some sort of best execution algorithm or do you normally post a limit bid/offer?
Originally posted by AAAintheBeltway
Seanote,
What order routing do you use? You mentioned you get fills at varying prices. Is that through some sort of best execution algorithm or do you normally post a limit bid/offer?
It depends on the stock, ECN participation and volume. I usually hit the ask when buying if the stock is about to move in my favor so I can be sure to get in. If your posting your buys to bid in a fairly liquid stock and get filled, that usually is not a good sign the trade will work for you short term. In a fast moving market I will use direct ARCA, REDI then ISLD and give myself a .01 -.05 cushion (ex. Bid is 30.50 and I want sell I'll send at 30.48) and the system will always look for price improvement. ARCA and REDI are good to use since they re-route if they don't have the shares and price. I've tested a strategy lately where I'll send an order direct to ISLD with a delta of a couple of cents where I'll fill on the inside ISLD price PLUS I'll hit the invisible orders that can only be seen on the ISLD book. I normally use direct ARCA, REDI then ISLD depending on L2 when I want in or out quickly with a delta sometimes. If the stock isn't trading too fast I'll use the general method that scans all ECNs first then SOESes MMs for the rest of the order. If I'm posting an order outside of the market I'll use ISLD, INCA or BRUT. Hope that answers your question.
Seanote,
Thanks, that's very helpful.
How much size do you think QLGC or KLAC would handle using your approach w/o major fill issues?
Thanks, that's very helpful.
How much size do you think QLGC or KLAC would handle using your approach w/o major fill issues?
Originally posted by AAAintheBeltway
Seanote,
Thanks, that's very helpful.
How much size do you think QLGC or KLAC would handle using your approach w/o major fill issues?
I think I'm pushing it now with 2K shares which has held me up at times. 1K is definitely safe. I'd like to trade 5K at a time but that would screw up my strategy and fills so I'm content keeping my size at 2K and making what I can off that.
Now if you're trading QQQ, INTC, CSCO ect; shares size won't matter as much. But with KLAC and QLGC and the way the MMs gap the stock, they can hand you your ass real quick if you whipsawed out while you frantically try to close 5K shares.
Originally posted by NUTSNEAL
If you don't mind saying, what execution platform do you use and who do you trade through? Do you trade options?
Thanks for all your info!!!!
I've received so many PMs about the broker I use and I've been reluctant to give the info up due to some bad experiences I've seen happen on these message boards in relation to employees of these firms that know the account(s) who also post. I don't want to get into the details of what can and has happened in the past so I'll keep my broker info to myself until or if I ever change firms.
DELL seems to be holding up nicely as the futures turn down. I'm curious to see if it holds the 27.20 level today.
Mike
Mike
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