What you're saying is that if amex is quoting the best, then you can't skip them and trade on the ECNs, or NY, at a worse price? What if the ECNs show the same quote than amex?
Right, it depends how you define liquidity. The larger $ volume traded, the more interesting the future vs. SPY. Although until a certain number of contracts (say, more than 5) I don't see the liquidity benefit given the prints that go on the tape for SPY. Just to make sure, the data you posted is for the e-mini future, right?
right. if ecn shows same quote you can hit ecn's. also i think it differs according to platform. my firm is reallly strict so if an ecn shows a worse price there's no way i can hit it. eventhough i want, because amex doesn't always give you the fill, especially when it's disadvantageous to amex.
I don't understand the reason for this restriction. For listed stocks, if I want to trade through arca rather than the specialist, I just get a fill on arca, or another ECN, or nasdaq. If I don't get the best market price set by NY that's my problem. I didn't ask to go out at market. Why is it different for ETFs? Or is this something specific to SPY?
I would use the future over the ETF because by shorting an ETF, there is always a chance that the ETF will no be borrowable. Thus, you would have your short bought in.
I haven't tried with ETFs but I can definitely bypass the specialist if I want to trade ECNs. We're talking about different exchanges though (amex vs. nyse) and different products (stocks vs. ETFs).
My original post was about hedging with SPY or QQQQs. I'm assuming you're referring to other ETFs. When the spyder would not be borrowable?