Discussion in 'Automated Trading' started by BlueOcean, Aug 12, 2008.
what is the MOST effecient saw to take liquity w/ Genesis with their million routing options
No idea, what the best way to take liquidity is. But let me ask this, on the laser when i add liquidity on edgx i get a nice fat rebate, using the api i get none. Any answers would be GREATly appreciated.
My best guess is that when using Laser, the EDGX order is using a different routing option than is being used with the API. For example, an EDGX order with the routing option of "RDOT" will be posted to the NYSE book if not immediately marketable (and receive no rebate). Other routing options, such as "ROUT" will be handled differently, being posted on the EDGX book if not immediately marketable, and thus be eligible for a rebate if/when filled.
Please note, however, that EDGX may not be the most liquid destination to have a limit order posted, and thus you might get a small rebate 4 times, at the expense of entirely missing a fill that you might otherwise have had on the 5th order. So, don't necessarily be fooled into believing that rebates are the only factor to consider.
Doesn't ROUT attempt to hit all other ECN's? Still, with Reg NMS your order will get routed to another ECN, and the routing fee is only an extra $0.0003.
Since the question was regarding rebate fees (getting them via Laser, and not getting them via API), I would assume that for the orders in question, no fills were immediately available for the orders (on ECN's or otherwise), and the orders were posted passively to a limit book prior to execution by a subsequent incoming order from the market.
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