I was experimenting lately with wts "cheap" smart routes, but I´ve really shitty results with it in expensive stocks (goog, aapl). Does they work anywhere? or are just dead routes that offer no liquidity at present?? Thanks
Don't use on illiquid or high dollar stocks. Plus you need to specify how many levels you want to sweep. Smartmid is great for midpoint trading. I have great success with that. Smarttake is also good and cheap. The idea is that these routes sweep dark pools. So look at the tape and see what percent of trades that hit the tape are fron dark pools. If its not much then don't use the route.
But aapl is mainly traded in DP. Ok, let´s see if im doing it right: the price is 558.02 200 X 558.17 100 Let´s say I wanna buy, so I send a SMART (mid,take,cheap,vps,edge not shure what the last ones do ) buy order at the range I wanna get the fill, let´s say 558.09?. Right?
Below are definitions and uses for the various routes. For your scenario you need to make sure you are using the right type of smart route. It seems like you want to get a fill in between the spread. SmartMid is only good for fills when there is a one cent spread. Thats my understanding. The other routes are not passive routes. They are very aggressive routes to get as much liquidity as possible for very cheap. If you PM me your address I will send you a pdf file that explains all the routes available. There are some midpoint and passive order types from arca, bats, edgx that will be able to do what you want. SMART route now available via Sterling Trader offers traders the opportunity to find the greatest amount of available liquidity at the lowest possible cost. Orders will source liquidity from the most efficient dark pools as well as EDGA and finally NYSE prior to being routed to BATS. Executions occur at various price points and are identified in fill reports as flag 0.00 through 8.00. Overall benefits of SMART include: Overall lower trading costs Access to the most efficient dark liquidity venues in a single route Increased fill rates Ultra-low latency smart routing Final routing to BATS and pass thru of any fees or rebates. SMARTEDGE Smart Edge is a route that offers you the possibility to remove liquidity for a fix cost of $2.35 per thousand. Very fast, low latency, and will route to anything available. Best use for swiping levels. very advantageous to use it instead of ROUX when cheaper venues like EDGA are not available on the level. Routes to anything available on the level and saves you a lot of money instead of having to pay 2.8 or even 3 dollars. To be used to remove liquidity only, there is no reason to send passive orders as you would not get any good fill or rate for that As you can see, SMARTEDGE will help REMOVE liquidity at a cheaper rate, without ROUTING with very quick execution time. SMARTMID is a route that allows you to access the liquidity available at midpoint of the NBBO. If you are not in a hurry to get into a stock and the stock is not moving violently, it might be smart to send an order on SMARTMID before you send on SMARTEDGE as you might be able to save half the spread. SMARTMID works similar to XFINDER and ARCAMPL. The steps to follow if you want to buy at midpoint you need to bid at the offer price, if you want to sell at midpoint you need to send an offer at the bid price. SMART CHEAP offers traders the opportunity to find available liquidity at a low cost (always less than 2.1 dollar per thousand). Orders will source liquidity from the most efficient dark pools as well as cheap ECN and ATS venues. Executions occur at various price points and are identified in fill reports as flag 0 through 6. Please notice that a regular SMART ORDER is going from 0 to 8. SMART CHEAP will stop routing and cancel back the order if it has to go to destinations with 7 or 8 for flags. Overall benefits of SMART CHEAP include: Overall lower trading costs when removing liquidity Access to the most efficient dark liquidity venues in a single route Avoid paying more than 2.1 per thousand by only pinging cheaper destination. Ultra-low latency smart routing SMART TAKE: New Smart route to remove liquidity at a fix cost of $2.25 per thousand shares. It offers you the possibility to remove liquidity at a low fix cost. Similar to SMARTEDGE but cheaper (the cost is 2.25 per thousand shares). SMARTTAKE is very fast and will route to any destinations available. It is best suitable to Swipe large quantity of liquid stocks. No information about your orders go to DARK pools (DARK PINGING) like SMART or SMART CHEAP. SMART TAKE if acting as we expect should replace your ROUX orders or SMARTEDGE orders You should not try to post passively with SMART TAKE because you would not get a good fill rate and you would also pay a high fee considering you add liquidity
If I understand you just want a fill in between the spread so you dont have to pay up so much and hit the offer. There really isnt alot of dark pool liquidity just sitting out there in the middle of the spread in apple or other high dollar stocks. Your best bet is to use a Nasdaq STGY hidden order priced at 558.09 in your scenario. It will scan dark pools and all venues. Another trade must hit you which happens quite a bit. Dark Pools now are very efficient and theres not alot of free money sitting in them. Liquidity in them will adjust based on the bid offer. Like I said before the smart routes are aggressive and its when the stock is moving you want to make sure you get all the liquidity you want. You would price them at the offer to buy and bid to sell. Then Smart Mid works differently. Say Im trading BAC and the spread is 8.00-8.01. I would send out a smartmid buy order priced at 8.00. I would most of the time get filled at 8.00 or 8.005. This is great if the bid has a ton of size and the offer is about to be swept. I would immediately be in the money once the bid raises. For higher dollar stocks hidden orders are you bet. But try this out. Send out a smartmid order priced at the bid in your scenario and see where you get filled. In theory it might work. SmartMid orders have higher priority than other orders resting.
Thanks for the info , gonna try it today. I´ve been using smartmid in scalp stocks already, works just as u describe it. My concern was in the expensive stocks and the wide spreads, cause i was using xfinder there and the fills are really random with it. Already sent you a pm.
Very interesting subject. I am currently working on a problem which involves the order book and trying to estimate fill in probabilities. Currently the institution I'm working for simply submits its orders and waits till they get filled. On the way many of the orders simply do not get filled. So my current task is to try to come up with a model which will give fill in probabilities and then use the probabiities to optimise the number of filled orders and maximise revenue at the same time. I have not started working on the problem yet, but I'm thinking I'll start with a simple regression model and will have few parameters such as the the spread, the distance away from the actual bid/ask price, the liquidity etc etc. to be honest I'm not so familiar with this area, I'm used to work with stochastic volatility models and have not done any regression analysis in a long time. Hence any help and advice would be very much appreciated. Is there anything specific I need to look at with regards to fill in probabilities estimation?
Hi mastertrader456. I was storming through the internet to get some decent information on ecn order routing and finally came across this post. I am as green as one could be and have just started trading equities for prop firm. Most of the people here trade in low volume stocks. Could you please provide me with the pdf you had mentioned earlier in this thread? I trade low volume stocks with a range of not more than 2-3 dollars. There at times that I see some really good executions on the level 2 tape on FINR. Could you please throw light on that as to on which ecn/ecn order routing do you get those FINR executions? I might not be making sense at all but if you could please help me out here it would be of tremendous help. Also as a complete beginner could you recommend me some books as sometimes i fail to understand the technical terms people use.