I agree with the other poster that you had stale data in a possibly volatile stock. You can post your fill here and we can determine that for sure. I trade XX,000 contracts per month and never see anything fill outside.
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What's the best Options routing for preserving front-of-queue / first-to-fill at a given price?
- Thread starter d0rian
- Start date
I agree with the other poster that you had stale data in a possibly volatile stock. You can post your fill here and we can determine that for sure. I trade XX,000 contracts per month and never see anything fill outside.
Not really, if you watch the tape the Op can solve it. I took a photo of WS Bets pump, Bid x Ask $1.4x $1.5 lots of depth both sides. Using a crap route I got filled at $1.25(30 contracts). So far the trade was not busted. Selling I get filled above the offer when volume goes nuts and it has nothing to do with stale quotes. IBKR Rebate routes sitting caused me to research this bigly.
I'd be grateful to hear how I can solve it, since I don't think I'm any closer to doing so, despite having read all the replies ITT. Question remains the same: what routing options I should use to give myself the shot at first-in-queue priority at a given midpoint (again: if I'm fee-insensitive and I just want the fill, even at $1.50 - $2.00 / contract fee)
I'd be grateful to hear how I can solve it, since I don't think I'm any closer to doing so, despite having read all the replies ITT. Question remains the same: what routing options I should use to give myself the shot at first-in-queue priority at a given midpoint (again: if I'm fee-insensitive and I just want the fill, even at $1.50 - $2.00 / contract fee)
Go and read up more about HFT and market making. You can't compete in this area anymore
Go and read up more about HFT and market making. You can't compete in this area anymore
I have, and I'm reading more. You write as if I'm trying to beat algos at their own game. I'm not. Doesn't mean there isn't a way to optimize my own order submission to give myself the best shot at getting / retaining queue priority.
I have, and I'm reading more. You write as if I'm trying to beat algos at their own game. I'm not. Doesn't mean there isn't a way to optimize my own order submission to give myself the best shot at getting / retaining queue priority.
Q: My next question is about exchange officials who have said that their order types and work is fully disclosed. Would you agree with that statement? A: A good example would be queue jumping which is a feature that is often marketed directly to firms, to high frequency traders primarily, which is not in any way supported by exchange documentation. There are a number of other perks, many of which are not disclosed yet or documented in any capacity. I came to the conclusion that a smart person could figure things out if they had access to the documentation. A lot of features people think are documented…but if you actually go and look for the documentation, you’ll find they aren’t. So how do people learn about it? They learn about it from other people in the industry. It’s a little bit of a closed club that really has to be broken for the markets to move on.
https://www.iqpc.com/media/8807/24163.pdf
Nonsense.....
There is an inefficiency that exists due to the very reason you think "we" can't compete..
There is an inefficiency that exists due to the very reason you think "we" can't compete..
Go and read up more about HFT and market making. You can't compete in this area anymore
I have, and I'm reading more. You write as if I'm trying to beat algos at their own game. I'm not. Doesn't mean there isn't a way to optimize my own order submission to give myself the best shot at getting / retaining queue priority.
I don't know about retaining queue priority if hft are using tricks to jump you (does this exist in the options market?), but you just need to do your research on option fees and post to the one that benefits the other party to take. I have a doc from my broker that breaks these fees down, pm me with your email if you want it.
I thought I gave you a pretty good answer in my previous post (#3)I'd be grateful to hear how I can solve it, since I don't think I'm any closer to doing so, despite having read all the replies ITT. Question remains the same: what routing options I should use to give myself the shot at first-in-queue priority at a given midpoint (again: if I'm fee-insensitive and I just want the fill, even at $1.50 - $2.00 / contract fee)
You will have priority only on the exchange you send it to (and depending on the product not even necessarily then) If your offer is a good sale, it is likely a contra order will be filled on another exchange and you will be cut out. If a firm buys a brokers order flow, they aren't going to want to give a good trade to you, just because you are the best market. They will match it on another exchange.
I see options MMs walk away and that’s why I get filled at crazy prices because there must be a set risk the MMs take. No idea if it’s SUSQ or Citadel making the Market in certain stocks where the spread goes wild. My noob brain tells me they keep risk tight, let the book expand until things slow down.Nonsense.....
There is an inefficiency that exists due to the very reason you think "we" can't compete..
Are you talking equities or options?I see options MMs walk away and that’s why I get filled at crazy prices because there must be a set risk the MMs take.