EDGA Rebate for Taking Liquidity

Discussion in 'Order Execution' started by msia1122, Jan 15, 2011.

  1. msia1122


    I've been getting charged for taking liquidity on EDGA when I should be getting a rebate. Is this because I'm doing something wrong with my routing or is there something else I'm missing.
  2. By taking I assume you mean REMOVING liquidity. If you remove then you get a rebate. Adding liquidity you pay a fee.

    If you are trying to remove liquidity and are not getting the rebate then you are probably hitting the EDGA order but when your buy order arrives the shares are not on the level (either already bought or orders canceled). What happens to your buy order is that it rests on the book at that level and anyone who then places a sell order at that price will be considered to have removed liquidity and thus your considered to have added liquidity.

    This happens a lot at the moment with the BOSX route as the rebates for removing liquidity are good. The computer programs put a small amount of shares on the level and as soon as you go to buy/sell they pull their order or you only get filled for a little bit and then as your order rests of the level for that split second they then sell to you and thus they receive the rebates. grrrrrrrr....
  3. Occam


    "Taking" and "removing" are exact synonyms when referring to liquidity in this industry.

    If this is really true, then consider looking at the size of the bid or ask before sending your order -- only send orders for the size that's displayed. Minimum quotable size is usually 100 shares, anyway.

    My guess is that the OP's issue is entirely unrelated to this, and that the software provider has input the wrong values; I have seen this before in practice. msia1122, what is the broker/software?
  4. Are you serious? No offence but that is such as naive thing to say. What you see is NOT what you get! I would have thought you would know that. Computers can pull orders in one 1000th of a second... faster then you can ever react to.... and faster then your computer as well unless you have good co-location.

    As for size. Of course I know that. My point was not about them putting 100 shares on the ECN... its about putting 10-15,000 and pulling it quicker then you can hit it.

    If you watch the level 2 on anything like the XLF or Citi Group you will see examples of this all the time.

    You might be correct though about the OP's system / broker not having the right codes. That's really not good if the OP's broker / system can't get that right.
  5. Occam


    Naive? :D And this coming from someone who as of the start of this thread didn't know what "taking liquidity" means? :D

    Please correct me if I'm wrong, but an order on all of today's non-dark, non-NYSE ECN equity books is still a real order, one that will get hit if you cross it. Yes, there are some "fluttering" orders -- ones that are placed and cancelled before you can say "boo" -- but you can pick these pretty easily by just watching the book for a few seconds. If you miss it at that point, it's just bad luck :(.
  6. Wow OK chill, ... its not that I didn't understand... I was merely confirming what he meant. If I didn't understand wouldn't I have said what do you mean by taking liquidity? Correct? I use add and remove and also aggressive and passive as terms on a daily basis. I don't use taker and provider but of course I understand.

    And yes your assertion was naive. Of course these orders are there. But it doesn't mean they can't be removed right before your order hits the market. Hence no execution.

    My point is that with flash orders (co-location) computer algos can see your order mili seconds before its executed on the market. The algo has a tiny amount of time to either take the opposite side of this order OR use it as information and pull an order or buy ahead of your order.

    If you trade daily you would know this and recognize this when it comes to executions. That was my point.
  7. msia1122


    Platform is Lightspeed. Account managed by Firm58. It does seem to be the wrong values being input but just wanted to be sure. Have you or someone you know have this issue before?

  8. What is your liquidity code... I'm betting that you are routing to EDGA there is no EDGA there and it routes to another market center charging you .30 / 100. I think this is liq code 'D' for NYSE stocks
  9. msia1122


    It should be EDGA. Our prop firm accounts are managed online through Firm58 and there is a section where it shows each ECN, volume added/taken, and the corresponding routing fee for each ECN. Under EDGA I am being charged for taking liquidity.
  10. Occam


    I strongly doubt that anyone with more than the most rudimentary knowledge of ECNs and their terminology would ever need to ask that question. And who exactly needs to chill here? :D

    Why (and how and by what venue, for that matter) are you sending flashable orders when you don't want them flashed? Or are you using some retail broker's "smart" :)D) orders? You might want to spend a little time researching your own orders before putting the blame on "those big, bad HFT's".
    #10     Jan 17, 2011