After bbox came out with earnings, I placed a short order for 500 shares. The market at the time was about 50.60, and there were plenty of bids above 50.00. I hit the wrong price, and got filled at 47.86. I believe the bids were mostly BRUT, and I used an ARCA order, because I thought ARCA was supposed to be smart. I called TradeStation, and they called the exchange. This whole process took over 1/2 and hour, and in the meantime, bbox dropped to the 46/47 range. Then TradeStation called back, and they said the trade would stand. I'm not going to pursue this, because I actually made money. But how can this be a legitimate trade? It was about $3 outside the 'prevailing market'. And isn't ARCA supposed to use a smart order algorithm? (I am officially finished with TradeStation, because that might be the problem.) BTW, did anyone here get the other side of my short sale? You're welcome! At least we both made some money.
You can direct ARCA to route to other market centers or to not route out. I don't know at Tradestation, but at IB, routing to ARCA can only be done as "ARCA only". I imagine this is because IB has a SMART routing and they are saving you routing costs by not allowing ARCA to route for you. I would surmise Tradestation is doing a similar thing.
My ARCA orders usually go to other ecns. If there's an INET order, ARCA will almost always execute against it. But I seem to have a problem with BRUT.
This sounds very familiar... Several years ago I used to prepare buy and sell orders with limits far away from the market, so that I only would have to change the price when I wanted to act. However, on that day I put a sell order in and instead of 100 I entered 1 - the stock was trading around 20 back then. 20k shares of that highly liquid stock (>2 mln avg vol per day) went to MBTX (which send the order to Arca) and cleared the complete Arca book down to 1. I called my broker and wanted this trade to be busted. Arca sent this trade to their ruling and it eventually came out that all trades below 17 were busted. Still, 17 was way expensive and I still wonder how in the world something like this can happen...