edgx problem. The cheapest way to hit nyse quote.

Discussion in 'Order Execution' started by jay_trader, Feb 12, 2009.

  1. Hello,

    I'm looking for the cheapest way to removing liquidity in nyse stocks. I'm trading with Genesis.

    For example the quote is 15.36 - 15.37 and I want to buy stock by hitting 15.37 offer.

    Currently I'm using EDGX route with route oute EDGX option to hit the quote so if there nyse quote there it takes only 0.0008 per share and if all nyse orders on best quote where taken it route outs to ecns and I pay about 0.0026 per share.

    The main problem with EDGX is that very often when I'm hitting with EDGX it's hitting the quote in front of me.
    It's happens very often - everybody in my group experienced it. There can be no prints in a stock for some seconds but espicially in a moment when I hit quotes are taking buy somebody in front of me and I get worse fills. It happens more often if stock tend to move down and you sell it or tend to move up and you buy it. It really pissed me off! so now i'm avoid of hitting quote with EDGX I'm using it only to send limit orders to NYSE quote (it's takes 0.0000 for adding liquidity) or hitting nyse only if stock is very thick and a lot of size on the quote.

    Before we had INET (DOTD) and it's was working perfect but now it don't hit nyse quote first and you have to pay fee for taking liqidity on ecn.

    Also we have ARCA PO + which charge 0.0008 for taking liquidity from nyse and was working fine before. But now it's not routing out to ecns if the best quote is not nyse. It's just canceling (I have route out ARCA option check).

    So what I need is fast cheap (0.0008-0.001)route wich will hit nyse quote first and if there is no size on nyse it will hit ecn. And I will get my fill anyway.

    If you Genesis user which way you trade nyse stock removing liquidity?
    If you trade with other firm are those routes work for oyu now?
  2. elguapo


    nobody here is gonna give you a straight answer on this, because a. if someone on this board is successful, they trade longer term, b. if they are a "scalper" they don't pay attention to ecn fees, even if they do volume, over half a mil a day, they don't even care.

    the only solution i've found is to automate part of the way things are filled. after all, the lvl 2 display is retarded slow in comparison to what happens if you automate. The problem with just having edgx with only take nyse selected is that you obviously can't hit other ecns if you miss the nyse/its not even there. But the best way around this is to program a key that will have that go out first, and if it misses, theres an offset to take using a different ecn, like bats, whatever. you could program the offset to try again with edgx rout out on, but screw that, its not like its gonna be thaaat slow, its way faster than a person, but who cares its just another step. either way this is your best option. no i'm sorry i can't tell you the programmer that will do this, but i can imagine that he isn't the only person on earth who can do this, just start looking.
  3. ymiyake


    Anybody got more info on ARCA po? which hits NYSE specialist without the route out fee?
  4. tomu


    I don't know what you mean by this? Do you mean if there is a quote a penny better than what you were trying to get, you get filled at the better quote? Are you complaining about getting better fills? You would pay an extra .002 in fees in order to save .01 in execution price.

    Edge firsts sends the order to EdgeA, if it get's filled there it is free and no fee. It will then send the order to Dark Pools which I believe cost .001, then it goes to NYSE .0008, but if there is a quote better than the NYSE's quote, Reg NMS requires the NYSE to reroute or route out the order to the exchange with the better quote .0029.

    For ARCA PO, the order goes directly to the NYSE and never tries to hit ARCA. However if you send the order as a Market order the NYSE will route it out to other exchange in compliance of Reg NMS. But if you send limit order, say to buy 2 cents above the inside offer, ARCA PO is programmed not to route out for limit orders, only market orders, so in this case the order will cancel if there isn't NYSE quote at the inside, NBBO.

    Also the fees for executions against the NYSE book and ARCA will change March 1st. NYSE raised it's fee for taking liquidity from .0008 to now .0018. They will now offer a rebate of .001 for adding liquidity to the NYSE book. ARCA has now increased their rebate to .0029. Here is the link http://www.nyse.com/press/1233573357875.html
  5. Dustin


    ranks up there with the most incorrect statements ever posted on ET
  6. No. Let me give an example. It happens very often in thick stock too, but exapmle in thin stock would be more demonstrative. In thin nyse stock (20-200 thousands shares per day) there is a quote 15.72 200 (nyse) - 16.21 100 and there were no prints for some minutes (!) already. I want to hit bid and send EDGX limit sell 200 @ 15.72 and at that moment I see print 15.72 200 in time and sales but my order wasn't filled it became new nyse offer 15.72 200. I have 'route out edgx' checked, so it sends orders to nyse, not edgx ecn. That's happens very very often so we stopped using EDGX to hitting quote.
  7. EricP


    I would suggest you route via BATS for all thin stocks for best order execution performance on marketable orders. If it's a thick stock, then EDGX will be better, from my experience. I strongly suspect, but can't confirm, that some of the EDGX darkbooks will choose not to fill your order (which is their right), but then immediately take out your price in the market, which then removes the price that you wanted to fill against.

    For thicker stocks, I don't see this (since there are many more shares available, front running your order isn't profitable). As a result, for thicker stocks, the lower fees and occasional price improvement advantages of EDGX outweigh the front running issue.

    FWIW, I monitor execution performance on thousands of marketable orders per day, and have stats for average performance on each route. The suggestion above is based upon more than just a gut feel from watching fills.
  8. elguapo


    just saying a lot of so called "scalpers" on this board, people that might do half a mill a day, even some of these folks don't care about ecn fees, they just take take take.

    i'm not saying they're bad or good, just saying. (i know a bunch who don't care...i think its kinda dumb not to care, but then again i think its kinda dumb to pay any more than the lowest rate...which is obviously biased because of the way i trade...it should be clear to anyone that theres a whole lot of people good and bad on this board running around paying a lot more than the lowest rate).

    i mean if you think every scalper out there, even half, cares about ecn fees, well that'd be like assuming every good trader out there cares about having the lowest rate...You'd think so, i mean it would seem like an obviously good thing to do, but surprise surprise surprise its not the case a lot more than i would of thought.
  9. elguapo


    heres a good example. i know a group with an all in rate under .0025. would seem like financial suicide for the people offering this....but hey, there you go....these people literally don't give a rats ass about the fee. obviously they aren't taking all day, and the folks offering the deal aren't losing money on this. it just comes with a price....and they are willing to pay for it. kinda like folks that pay higher than 20 cents a K. maybe they have a zillion bp overnight, maybe they aren't total penny fuckers.

    either way, good example of a folks that just don't care, with a high turnover/scalp.
  10. elguapo


    and to the person who started this thread, i completely misunderstood what exactly your problem was. i just assumed you were trying to control costs on a thicker stock. but the example you gave on a thin one...yeah i have absolutely no idea how you're gonna get around that.
    #10     Feb 13, 2009