execution of DIA, SPY, QQQ & SMH

Discussion in 'Order Execution' started by zxcv1fu, Dec 15, 2003.

  1. zxcv1fu


    Their spread is usually 1/2 cents & very liquid. I used to use market orders for entry & exit with smart routing until I had my executions way out of lines. After closed look & have found many cases in the execution in time & sales like that. Why the bid & ask all of sudden jumped for only 1 trade? Is it the trick of mm to trap trader w/ lousy executions at reversals?

    Now I enter limit oder w/ 2 cents above offer to exit. What is the better way of order to prevent the split second moving traps & get executed in the same time?
  2. newtoet


    I don't trade SPY or DIA anymore, but know the spread is wider (and moves quicker) than QQQ (in my past experience).

    I use market orders routed through ARCA for QQQ, and 95% of the time get great fills. The other 5% are not bad enough to cause me concern.
  3. zxcv1fu


    For SPY1 or 2 cents away from the Ask are normal but more than 5 cents away from the Ask before & after for 1 or 2 trades only are suspicious. After I changed to SMH on Friday & found some other people had more than 10 cents away from the raw data time & sales. DIA seems fine today with this problem but one of my limit orders did not get executed. I had to cancel it.

    May be they should all change to Nasdaq then we'd have these kind of problem.
  4. When you say you put out a market order through ARCA does that mean you put a bid at market or offer at market or you just throw out a general market order and see where you get filled? Thanks.
  5. zxcv1fu


    I placed a general market order since they are very liquid in theory. IB told me I happened to get the vacuum in the split second.

    By overserving the Time & Sales for several days I have found they happened quite often. Some execution size is large, it must hurt. Wonder who are the maket makers, very tricky.