How to hit bids and offers on NYSE and NAZ

Discussion in 'Order Execution' started by newbie2006, Aug 24, 2006.

  1. This might sound a trivial and silly question to many of you, but I frankly tried to get as much information as possible about it but still find many question marks.

    ok, here we go:
    If I want to hit a bid or offer on ECNs I just route to this ECN, for example INET offers AAPL for $67.5 so I enter a limit order (as INET doesnt support market orders) to buy AAPL for $67.53 (few pennies above the offer to make sure I will get execution), for ARCA I can place a similar order but can make it market order.

    1- now what if I want to hit a market maker? where should I route to ?

    2- When I route to SOES, where does this order go to ?

    3- What is SIZE ?

    4- Where is this Nasdaq market place ? :)

    and now for the even more confusing questions regarding NYSE

    4- If I wanna hit the specialist which has MMID as NYSE , who should I route to ?

    5- What is DOT and NYFIX ?

    6- What is BLZ and OES ?

    7- If I route to ARCA with the option to route out, does it route to NYSE if he has a better price ?

    8- Does the specialist route out to any where ?

    I know I have lots of questions that you might see trivial but I am really confused.
  2. i won't answer all the questions but i'll answer a few. let me say you some trouble on the naz. if your company offers some type of market order that gives the best available fill use it instead of trying to route to differnt ecn's as that will drive you insane. many market orders on the naz go threw arca as it's a proactive exchange is you want which means it will check it's books first and if no fill reroute out to the best available print and charge a small fee. market orders using arca are usually instant on the naz in smaller tier sizes. i believe the difference between a nyfix and soes is nyfix is really like a ecn. in a split second it takes your order and tries to fill in house with an order match and if not it shoots out to the sdot system. i've used both and i found the sdot gives much more price improvement as obviously nyfix is trying to fill in house at your price. but the upside is that many fills at the price are fast on nyfix
  3. agreed on all points above...

    essentially if you see a limit order matching the price you want, go ahead and try to route to it, but in almost all other instances you are better off going through ARCA which seems to do the best job in routing out.
  4. Thanks for the replies thus far.

    Actually I need to know this information because I am building an automated system so I have to handle everything, while I was trading manually I just used the smart routing of my broker which worked fine.

    so anyone want to highlight more info on the topic ? I still didnt get answers for all the questions.
  5. what broker will your system be interfacing with? will it be doing so using FIX?
  6. INET does do market orders. The old ISLD did not do market orders, but INET does do market orders.
  7. Nordic


    What software are you using?
  8. are you asking me?

    i am using an standard online broker.

    i know FIX extensively though from previous jobs at various order routing providers.

    im wondering if the original poster is writing software for someone else or is actually trying to trade with what they are writing.

    to route to the NYSE specialist, use a DOT line, BLZ and OES have DOT lines...

    when sending limit orders to DOT, there are regular limit orders and Direct Plus orders....Direct Plus automatically hits the bid/ takes the offer (there are certain restrictions on availability of Direct Plus)
  10. 1- Regarding INET accepting market orders, thanks for clarifying that as this is news to me! and I can't find this information on nasdaqtrader website, I would be please to direct me to a link where I can read more about that

    2- I am building this system for my own trading, not for sale or anything.

    3- Currently I am using Laser (Genesis) as my platform/broker using their C API, although I designed my system to be broker independent, I just write a small plugin for each broker I am going to use, but currently I am only using Laser

    4- Regarding the FIMAT link, thanks for posting it, I am still digesting the information there.

    By the way, am I too stupid or this is really confusing ? :)
    #10     Aug 24, 2006