Difficulty with buying certain low priced stocks at bid (e.g. CTIC)?

Discussion in 'Order Execution' started by Option Trader, Jun 2, 2009.

  1. "1. What do you mean by double-printed? Are these real trades?"

    you will see these on the tape like this (from aig today)

    06/02 15:59:58 THRD 1.56 1099
    06/02 15:59:58 THRD 1.5601 1099
    06/02 15:59:58 THRD 1.5601 2401
    06/02 15:59:58 THRD 1.56 2401

    as you can see, the trades doubleprint, one with the fractional bonus given to what may be darkpool fills (in my experience that has been the case, but there may be other causes). So, not only do you have darkpools being a big chunk of volume on some stocks, but they sometimes double-print their volume.
    "
    "2. I thought displayed orders get filled before reserve or hidden orders (After posting this I just realized giggolo posted the same thing in response to the moderator)."

    reserve orders have normal priority for their displayed size at any time until that size is filled, after which they go to back of line again.
     
    #21     Jun 2, 2009
  2. Hence it's amazing to me why the displayed size which stands before me never seems to decrease much as time passes. Perhaps it's price improvement orders for a fraction of a penny going through first?
     
    #22     Jun 2, 2009
  3. look at it this way - volume with an exchange code other than third market has always de-incremented a displayed order from the respective exchange when I Have looked, unless it is one of those obvious 100share display to buy much more situations. The volume which doesn't seem to de-increment anything prints third = presume darkpool.

    Understand, I have been in your situation. I have had orders on bats edge arca nsdq for C, had millions of shares print at my bid, and ND on all despite displayed size being only a fraction of what has printed. Heck, edge arca nsdq can go minutes between prints on that 1/4 billion share stock. My conclusion, at least on huge volume issues, is that darkpools are a LOT of volume. This would apply possibly to ctic recently, though my own experiences with it are that a fair amount of the volume visibly de-increments posted prices. It is not nearly as bad as some of the higher volume listed issues.

    On situations like ctic, I am resigned to being unlikely to fill with the spread unless most of the posted market is taken out.
     
    #23     Jun 2, 2009
  4. #24     Jun 2, 2009
  5. #25     Jun 2, 2009
  6. Good one...

    I will admit that I NEVER trade $1 stocks, but I am certainly aware of black box bots that get in front of your order when you try to market-make in the less liquid high-price stocks. I don't do this type of trading, but tried it in the past... and bots get in front of your best bids/asks. Not exactly that it has to do with getting CTIC at the bid, but considering that no one's answered the question, I may as well speculate myself.
     
    #26     Jun 3, 2009