Virtual Trader's Auto Execution

M

mjt

Does anyone have experience using the auto execution feature on Virtual Trader? (Or Front End, or whatever they're calling it this week) From reading up on it, they make it sound like the executions are pretty much instantaneous.
 
From what I heard (don't hold me to this), if you are within SOES limit it will try and hit MMs first then it will scan ECNs and try to get you filled at your price or better. I believe it does this for 9 cycles.
 
Tim (software creator) has the ability to change the smart order routing function for each broker who uses VTS so different brokers use different methods. You need to check with a specific broker to see how it is programmed.
 
But does anyone who uses it know how well it works? Does it perform this logic in 'nanoseconds' as I saw one broker advertise?
 
Sure it does....but the execution itself is totally dependant on market conditions. If the order goes to SOES when there is no ISLD/ECN liquidity, obviously the SOES queue may be backlogged and you sit there with a live order waiting...and waiting...and waiting.....meanwhile you could have cancelled and got ECN volume that popped up in between (if you are fast enough)
 
Do you know this to be the case from experience? Have you had auto orders sit in the SOES queue waiting for execution and missed getting executed by an ECN because of that?
 
A long time ago it happened to me all the time. When the masses are buying and I am buying also...the SOES queue will be backlogged guaranteed. So I look for fleeting ECN volume where the fastest one wins. Now I rarely use smart routes (ARCA is the exception) since I feel I can do it better myself. But it took many live trades to develop this skill. I recommend the same if you are serious about being an active trader.
 
I hate to keep pressing this, but I want to be absolutely sure about what you are saying. Are you saying that you specifically used Virtual Trader's auto execution, (as opposed to another system's smart order system) and that your orders got stuck in the SOES queue when there was adequate ECN representation to fill your order?
 
As a matter of fact I have used the VTS smart route and seen this happen yes....but that really is not relevant to my point. Regardless of whether or not an order goes to SOES via a direct SOES order or via a smart route like with VTS, the issue is the same. If there is momentum in the stock on the same side as you are, ie buyers when you are buying, then SOES will be a slower execution almost every time and the smart route will neither help nor hurt. Hope this helps.
 
Actually, whether you have had auto execution orders stuck in SOES queue is quite relevant. If an auto ex order sees that the inside market is a market maker and attempts to place a SOES order, and the order gets in line behind other SOES orders, the 'smart' thing to do would be to keep scanning for ECNs to trade against, and cancel the SOES order if that happens. The fact that you have seen it get stuck in the SOES queue and not attempt to trade against ECNs confirms that it doesn't work the way I had expected that it would.

BTW, since you said that there's a guy who changes the order routing function for each broker...is it possible that some brokers offer the ability for auto ex to continue to search ECNs while it's in line to get a SOES order?
 
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