ARCA vs BATS vs NSDQ volume for SPY.

Discussion in 'Trading' started by walterjennings, Nov 10, 2010.

  1. I'm trying to decide which ECN I should place my limit orders on. I am thinking the ECN with the highest internal volume which will give me the highest probability of getting filled in situations when the NBBO touches my limit price but does not travel through it.

    Iv been trying to figure out the internal volume at each. At this moment it says
    BATS: 25,061,071 Total Volume
    ARCA: 105,948,214 Volume
    NSDQ: 46,079,260 NLS Volume

    Unfortunately I cant tell if ARCA's volume is including all trades on SPY, or just internal matches. Does anyone know a singular resource which would tell me this information of internal volume?

    I also know another factor in deciding which ECN to target is the rebate structure, does anyone know a singular resource online which lists all current rebate information for various exchanges?

  2. nitro


    It depends if it is high frequency or not. Generally, ARCA is very expensive. If all you are doing are a few trades a day, ARCA, then NSDQ, then BATS, imo...If your fees are set no matter what (no passthroughs), then I leave that as an exercise.
  3. Relatively high frequency, sub minute, not sub second. Though 100% of the orders are add liquidity, currently I use BATSALIQ, I could switch over to ARCAALO, seeing as they might have more internal volume. Right now, the entire level needs to get taken out on arca before they would route to my BATS order, so functionally I am at the 'end of the queue' for any orders coming through ARCA. But at a fairly good position for any orders coming through BATS. (though 25mil vs 100mil is a bit of a difference).

    Edit: I have a feeling that 100mil is total volume, because that is what is showing on my level2. I wonder if there is a way to find out how much volume ARCA has internally today.
  4. Seems that NSDQ has the highest internal volume (if I'm not mistaken). I guess I should look into a add liquidity only destination at NSDQ, I have access to NSDQ, NSDQBX, NSDQDDOT, NSDQSCAN, NSDQSTG, NSDQTFT. None of quick I think is add liquidity only or reject.