walking spread with IOC orders

mr19 · Nov 23, 2007

If buying a listed name w/ a spread wider than a few pennies, what are the chances you get filled inside the offer if you walk the spread with IOC orders directed to NYSE?

TIA
mr19

speculatus · Nov 23, 2007

Quote from mr19:

If buying a listed name w/ a spread wider than a few pennies, what are the chances you get filled inside the offer if you walk the spread with IOC orders directed to NYSE?

TIA
mr19

The chances to get the price improvement are very slim, the specialist participation rate is extremely low these days

HoundDogOne · Nov 23, 2007

Quote from mr19:

If buying a listed name w/ a spread wider than a few pennies, what are the chances you get filled inside the offer if you walk the spread with IOC orders directed to NYSE?

TIA
mr19

Pretty much nil.

But if you have the infrastructure to manage Limit Orders...
And let them sit there... and bump them up or down...
Then you will be trading close to where the market maker is trading.

mr19 · Nov 23, 2007

Quote from HoundDogOne:

Pretty much nil.

But if you have the infrastructure to manage Limit Orders...
And let them sit there... and bump them up or down...
Then you will be trading close to where the market maker is trading.

That is where I'm at. I sit on the bid on one of the ECNs looking to provide, occasionally a name will run a bit on me and I'll constantly be replacing my limit order on the new bid (eventually I get a little more aggressive and will step into the spread or across).

Just looking for a way to get a fill without moving the bid when a name starts running a bit (usually not a good fill when I replace my order 9x).

jimrockford · Nov 24, 2007

Look into pegged ECN orders.

Also consider using the RELative order type provided by IB.

mr19 · Nov 24, 2007

Quote from jimrockford:

Look into pegged ECN orders.

Also consider using the RELative order type provided by IB.

Thanks for the reply. I'm not using IB and my broker doesn't support these order types. As of now I do my own pegged ECN orders staying on the NBBO at one of the ECNs (ARCA, INET or BATS).

speculatus · Nov 27, 2007

Quote from mr19:

Thanks for the reply. I'm not using IB and my broker doesn't support these order types. As of now I do my own pegged ECN orders staying on the NBBO at one of the ECNs (ARCA, INET or BATS).

You may also look at NYSE Action Market/Limit orders. You can use FIX to send orders if your software doesn't support those order types.

mr19 · Nov 27, 2007

Quote from speculatus:

You may also look at NYSE Action Market/Limit orders. You can use FIX to send orders if your software doesn't support those order types.

Thanks I'll take a look. I'm already talking FIX to the broker and they seem to support the basics that are common to all the destinations. As of today I started using the IOC orders when the bid/ask starts running away from me. Surprisingly a few of the fills were at a price better than the last limit order I canceled.