genesis / laser and sweeping all bids/offers?

Discussion in 'Trading Software' started by gaj, Feb 13, 2010.

  1. gaj

    gaj

    i've had a problem with some routing on genesis laser, and
    i'm hoping someone here might be able to offer a solution.

    basically, the SMART option on laser isn't the same as the
    SMART option in most other sites. i'm looking to sweep
    all bids (or offers), including hiddens, up to my price.

    what i'm trying to do is, if the offers are (for different
    ECNs/MMs):

    5 @5.3
    10 @5.3
    100 @5.3
    (i can't see, but 14 hidden @5.3)

    12 @5.31
    28 @5.31

    10 @5.32

    25 @5.33


    is place an order for buying 200 @5.33, and immediately (as
    long as no one else's order gets in front of me / offers
    aren't lifted) see that i bought a total of 129 @5.3,
    40 @ 5.31, 10 @5.32, and 21 @ 5.33.

    i had a stock and was trying to exit my short position.
    i placed limit orders to buy 1-3c above the current offer;
    it would lift the inside offer, then stop and wait.
    this wasn't waiting a second or two, but longer.

    the immediate problems are: SPRAY doesn't cover hidden
    orders, and i've had times where i'll place the
    order, and it will be cancelled because laser thinks i'm
    crossing the markets.

    also, if i did a smart or mkt, i'd notice is that it would
    try to route to the last place where it was filled.
    for example, if it filled part on EDGX @.3, instead of
    lifting all ECNs / etc. up to my limit exit, it would
    get 'stuck' on EDGX @.3.

    i've made sure the settings are to route out to "all",
    but that didn't do the trick.
    i've contacted genesis, didn't get an answer i could
    work well with, and am hoping someone here might have another
    solution.

    i contacted another trader, and he was kind enough to offer a
    solution which works for a bunch of situations: price it using
    BATS only, and that takes care of some of my problems.

    but i'm wondering if anyone has had similar problems.
    thanks for any suggestions or help.