Daytrading SPY and BBH

Discussion in 'Trading' started by LelandC, Jan 29, 2002.

  1. LelandC


    I was wondering if anyone here is daytrading the SPY and/or the BBH? I find the QQQ to be too fast for me:) The nice thing about these instruments is that you can short on a downtick. Just wondering if anyone out there is daytrading either one of these?

  2. Dustin


    Hey Leland, long time...

    What are you up to these days? I have traded both of those and I think they are both just too slow on execution to be good for daytrading...if you get a good fill in these it probably means you are wrong anyways.
  3. LelandC


    Hey Dustin....

    Not much new here. Just trying to make a buck here and there. I was thinking that execution should be OK via an ECN? Who knows though...

  4. Leland

    Been trading the SPY for the very same reason. They are tamer than the Q's
    You can usually get good fills at either ISLD or REDI
    If you get a fill by the AMEX specialist, you will probably lose money
    If you get a NX fill by the NYSE especialist, it is usually as good as a ECN fill

    I tried the BHH and the SMH, but the spreads are just too huge for me.

  5. Just a question? If execution is a problem why not trade emini futures?? I have almost zero slippage trading the globex electronic contract
    .Just a thought
  6. are they not faster moving than SPY/ QQQ?
  7. Just a note on ETF's. The liquidity of exchange traded funds may
    vary. The most liquid are the QQQ, SPY, DIA. The Biotech Holders
    (BBH) , while a volatile ETF , do not have as much interest as SPY or QQQ and can be quite illiquid at times , especially in the pre & after markets. The wide Bid-Ask spread is great for market
    makers doing basket arbitrage, not good for pure daytraders trying to liquidate positions. At 8:30 am today, for example , the
    pre-market BBH spread was Bid 114.00 Ask 120.55! You could drive a truck through that spread. At the same time the pre-market on QQQ was Bid 33.25 33.28 , 2000 up and SPY was
    Bid 110.74 Ask 110.77 , 1500 up. Advice I've learned the hard way, daytrade liquid ETF's. If you daytrade BBH, trade smaller sizes. The liquidity of QQQ and SPY , will be as liquid as the mini's
    since the ETF's are arbed against the futures contracts. The "arb"
    increases liquidity. There is no Biotech futures contract at this time(BBH).

    Gene Weissman
    Lieber & Weissman Sec., L.L.C.
  8. vikana

    vikana Moderator

    I trade SPY intraday. You have to route to either ISLD or NYSE to get good fills (I use IB). Works great. I have found ISLD to be as good as the NYSE and fills are super fast.
  9. Just a note. Trading ETF's on ISLD is fast, however you will give up price improvement-for speed. There is no price improvement on ECN's. Many times you will get price improvement on QQQ,s & SPY's on AMEX & NYSE. I know many do not like the "slower" speed & many think the specialist is "cuffing" orders, but you will get noticeable price improvement many times. I think it's best to
    trade all routes on ETF's AMEX,ISLD,NYSE & NYSE NX and use the
    route depending on the situation. If the market in SPY is Bid 109.74 Ask109.76 and you want to buy with equal size and it is not a fast market, If you want to Buy at 109.75 and prints
    are going off on the AMEX at 109.74, it might make sense to send
    your order to the AMEX to Buy 500 SPY@109.75 and get potential
    price improvement at 109.74. This would be especially true if
    the best offer on ISLD or NYSE is 109.76. Could you miss the stock
    at 109.75? The answer is "yes", but for the pontential price
    improvement, I would send the order to the AMEX . Most traders
    who use direct access software and trade ETF's on ECN's are giving up price improvement mant times to gain speed of execution. I welcome any comments from traders.

    Gene Weissman
    Lieber & Weissman Sec., L.L.C.
  10. vikana

    vikana Moderator

    Gene, very thoughtful post on SPY execution. My experience is as follows:

    1. routing to AMEX never (and I mean never) gives/gave me price improvement. I did a test about a year ago with market orders (both buy, sells and shorts of 100-500 shares): I consistently got filled at the worst possible price over the next one to two minutes. Every time. They held my market orders typically for at least one minute. I consider the AMEX specialists crooks. I never route to them any more.

    2. NYSE fills are very good and typically very fast ( < 5 secs) for all types of orders. Randomly get price improvement

    3. ISLD is simply fast. You pay the spread every time. But for fast action fills, ISLD is the best. An example would be a trade around todays fed announcement; I'd only consider using ISLD for SPY/QQQ.

    I use both NYSE and ISLD for SPY, but prefer ISLD for QQQ.
    #10     Jan 30, 2002