I have a question about non-routable NASDAQ orders. I am hoping the answer to this question does not involve dark pools. On a symbol such as "C", it is very easy to take liquidity and get a sub-penny execution, e.g. 4.155. I am unable to provide liquidity at a sub-penny price. How does one do this?
I'm think Nasdaq has something that is similiar to an add liquidity only feature like, BATS, and EDGX has. It is called the Post only order. You should take a look @ that
Those reprice at even cents. I am skeptical they will execute on the half cent. I am trying it out and waiting for a price move. No, they don't execute on half cents. Thanks for trying though.
see http://nasdaqtrader.com/content/technicalsupport/specifications/TradingProducts/fix_orders_sb.pdf and search for Midpoint If connected directly to Nasdaq you may enter Midpoint Peg orders that price at one half cent when the visible spread is 1 cent. You can't get arbitrary subpenny, just half (and only at the NBBO midpoint) Similar exists on ARCA,BATS,EDGE and others Not sure which brokers offer access to this (though any of them could if they wanted to)
I believe that most of these sub penny fills are just your broker internalizing the order. I see this on IB almost every time I use a market or stop/market order. The broker can take the fill and profit from the spread, rather than pass it to the exchange. Your broker has the right to take the other side of the trade if they offer "price improvement" over the current inside bid/ask. It makes backtesting difficult since many trades never hit a exchange and there is no way a limit order can get filled on these orders. It is called "order flow".
Does this mean that our limit order orders may be stuck for minutes... While the mountain of traded can go trough inside market... Either via broker price improvement stuff or by the guys who access direct market? I really want to get into direct exchange access stuff...