difficulty getting filled (adding liquidity)

Discussion in 'Order Execution' started by cqm, Feb 29, 2012.

  1. cqm



    When adding liquidity I am having difficulty getting filled

    lets say the quote is 5.15x5.16 and I place a buy order for 5.15499, just a little less than the midpoint

    I get placed on the 5.15 bid side of the book and only get filled after the quote moves down to 5.14x5x15 or worse

    this "makes sense" in hindsight, but this is not at all what I was expecting

    how can I get filled more favorably when adding liquidity? I am using round lots and there is TONS of liquidity, much larger players than me every second getting filled on the same route

    I am using DMA, and I suspect my inability to get filled has to do with broker internalizers.
  2. ryker


    What broker are you using? Are you going through a SMART router or are you directly connected to an exchange?

    What sort of latency do you have?

    Might be due to your priority in the queue, do you have any way of tracking it?
  3. Queue position? Your limit order is arriving later than those filling more quickly, and you only fill when the whole level is taken out?

    If the above is the cause, investigate ways to have your order arrive more quickly/be placed earlier?
  4. zdreg


  5. rmorse

    rmorse Sponsor

    You will do better routing your orders in penny increments to the exchange which either has the least size in front of you or where the volume is. You can do both. Sub penny orders are probably routed to a market maker holding your order, not to an exchange. Use DMA not smart routing to add liquidity. Use a smart route to take liquidity if it saves you money.
  6. cqm


    I am using a professional account with direct market access to ECNs.

    I route directly to my ECN of choice. Servers are co-located but I don't know how to do a ping test to get the exact latency.

    Lets say, for example, I route directly to EDGX, they have a size of 1200, I add my 1000 shares and now they have a size of 1210.

    I sit there for 20 minutes watching the size go up and down, the bid never changing on the whole book. Even if its FIFO I never seem to get filled in order. and only get filled after the quote moves and I am on the wrong side of the trade.

    I never use SMART
  7. cqm


    correct. But while I'm waiting I see my ECN of choice having size that is larger and larger, then smaller, and then larger again. So I get a feeling that I'm not in line.
  8. ryker


    As rmorse have suggested, have you tried to submit an order with a penny increment?
  9. cqm


    yes. on a symbol like BAC I guess it does have to do with getting in first

    how would I tell what my latency is? it should be less than 1 millisecond distance-wise

    but 15 milliseconds at most due to wifi
  10. rmorse

    rmorse Sponsor

    I don't think it matters for this type of trading. If it takes 1/2 a second, you won't notice the difference.
    #10     Feb 29, 2012