Help me understand ECN order routing

Discussion in 'Order Execution' started by disintegration, Oct 2, 2009.

  1. I just started with a direct access broker and learning about routing through ECN's. My original intent for NYSE stocks was to add liquidity on ARCA and remove liquidity by routing to NYSE.

    Everything is working as expected when adding, but when I remove, I find that my orders are often routed outbound. For example, when I route a marketable limit order to NYSE, it always says that it was executed on EDGA and 60-70% of the time, it is charged at the higher outbound rate.

    Ultimately, my goal was to either get free takes on EDGA or pay the $0.0018/sh to take on NYSE. But, I can't seem to get either of these to occur with any consistency. Instead, I'm finding that most takes are being executed at $0.0029/sh on the outbound. How do I control this better?

    I was trading very active stocks. Is that why they are being routed outbound? Are Smart orders the answer to prevent outbound routing?

    My apologies if this is an extremely simple or common issue. I'm happy to read up on this somewhere; I just don't know where to look.

    Thanks for the help.
  2. check your MM settings. It could be as simple as unchecking your proactive settings which is what I had to do. Crazy things can happen these days with so many rebate traders(human or auto). there were cases when I added liquidity thru arca but still pay the passthroughs...........
  3. edga/rdot will route from nyse if nothing on edga book or nyse book. edga rdox will not, and will IOC if nothing on nyse book. Some brokers don't offer front-end control of this though.
  4. I use egda -> nyse IOC orders. So I only pay .0018 to remove if it doesn't fill on edga for free. If I don't get fill then I will wait till liquidity returns onto EDGA or until I get filled on the bid/offer.

    If yours is set to route out to ELPs then that is when you will be charged the high remove fee.