What routes do you guys (and gals) use?

The D-Limit order would apply IEX’s Crumbling Quote Indicator (CQI) to lit orders. The CQI uses a sophisticated empirical model that predicts when prices are about to change, effectively replicating the approach used by high frequency market makers and some broker algorithms to avoid being “picked off”. Specifically, as with their hidden D-peg order, the D-limit order would be re-priced to a less aggressive price whenever the CQI signals a deteriorating quote.[1] . Adjusting limit prices in the face of imminent adverse price changes helps to reduce adverse selection and enhance limit order performance. Indeed, IEX provides some compelling statistics to support the effectiveness of CQI, evidence which strongly supports the claim the CQI can be a useful tool in managing adverse selection.
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“For example, using the Discretionary Peg (“D-Peg”) order type has allowed us to rest on the IEX order book while also seeking to access liquidity at a more aggressive price except when the IEX Signal is “on,” thereby protecting our orders from trading in potentially unstable and adverse conditions,” Miller said.
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@comagnum Quoted from the article you referred to. I am trying to understand what it says here, could you please translate this into more layman terms?
 
On larger order the HFTs take advantage of their latency advantage to front run orders which gives you adverse fills. Most people think using a limit can't be gamed - it sure can since the quotes we see are yesterdays news in relation to the speed advantage the HFTs have.

Using the IEX your not likely to get mugged by the predatory penny jumpers trading against your order. Saving a few cents on smaller orders is not such a big deal, on larger orders it is.
 
Thank you. Do I understand it correctly, that if you enter a pegged D-Limit buy order, with e.g. limit $10.10, and the NBBO is $10.05x$10.15, it will peg to $10.05, and when the NBB starts "crumbling" due to a large incoming sell market order, the D-Limit buy order will lower itself to a level where the sell market order will be consumed, keeping the "extra profit" to the D-Limit bidder, instead of the HFT which would presumably, because of information from the "crumbling" due to the market sell order, would sell short at other market centers at $10.05 and cover at a lower price to the incoming sell market order?
 
yea - I think you have it right, when IEX detects a crumbling quote (CQ) it auto reprices your resting displayed limit order to give you a price improvement. The CQ is caused by an HFT cancelled orders to penny jump using their speed advantage.
 
comagnum said:
True - you don't get a rebate on IEX . Lets say you are buying 20,000 shares with a spread of 7 cents. For every .01 cent of price improvement you save $200. The rebate on ARCA for adding liquidity would be about $42.

IEX keeps the HFTs from trading against you using stale quotes - on larger orders they will cannibalize you. On IEX I am more likely to get filled at a better price, on the example with the .07 cent spread, I can save a lot more from a better fill than from a rebate - hundreds more.

I am also much more likely to get a positive markup, meaning the trade is profitable out of the gate, this is what happens when the HFT's are not trading against you.

Based on experience using different brokers trying to get orders filled at a limit or mid-point, on larger orders IEX has done much better. They do not allow HFTs to co-lo on their exchange & use a multitude of tactics to keep the front runners out of their exchange.
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That's good info. I'm getting more out this thread than I anticipated. Thank you.
 
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