sounds like you would be better off coding to a broker with smart order routing and spending all that coding time on your strategy... unless of course you are using level II data in your strategy... which i guess you are doing.
your guess is right, I am using level 2 besides even if I am not using level 2 I don't know how the smart routing really work and I need to know that as my strategies are high frequency trading and I don't want to waste any time letting the broker decide which destination to route to, I need to handle this myself. And anyhow just knowing the info wont hurt me
Just for my amusement: What is your normal size per trade....how many shares of a stock do you usually buy/sell? SteveD
Number of shares depends on many things but can range from 100 to 2000 per shot and I scale in and out now I amused you, why dont you add some useful info here
i know someone who developed a level II system who optimized to 300 shares... i was joking about the "magic number"
when did inet start accepting market orders? anyway if they do i don't think it's proactive so it matters little. better using arca
You are wrong. INET market does the same thing as ARCA market. If it can't fill you it will re-route to whoever can do it. It has been like this ever since ISLD merged with INCA to form INET, which was quite some time ago. This is a fact.