ISLD book

Discussion in 'Order Execution' started by Vinny1, May 23, 2002.

  1. I'm looking at the ISLD book and i see trades going off in between the best bid and best offer.Does that occur because of hidden orders?
  2. As was posted on the hidden order thread relating to the three decimal issue, many ISLD traders can enter orders at .001 (or more) above the bid and below the offer. Due to the NAZ display rule they will still show on the L2 rounded to the nearest cent (assuming the rounded price is the NBBO). Also they will obviously print on the TS at the rounded price.

    Thus, when I enter a normal ISLD bid (ie not a hidden order) at the best bid plus .001, I am putting myself ahead of any shares already entered at the even best bid price, and if an offer is crossed to my bid, it will actually transact at the best bid plus .001 (the offer got price improvement). Again this is regardless of whether or not my order was a hidden order.
  3. I was referring to the ISLD book,not level 2,that is shown at the ISLD website that only shows ISLD orders.My guess is that these are hidden ISLD orders that are trading in between the best ISLD bid and best ISLD offer.
  4. So are you saying that if i bid 20.011,level 2 will display 20.01? And when i get a fill at 20.011,it prints on TS at 20.01?
  5. Tony01


    This is true though many direct access brokers have integrated ECN books into L2 which allow 3 decimals.

    If you're looking at ISLD book, then it is probably a hidden order. It could also be a buy and sell entered at the same time within the spread but that would be pretty rare.

  6. Vinny, yes a bid entered at 20.011 would be shown on the L2 Nasdaq quote at 20.01 lumped together with any other shares at that price again assuming that 20.01 is the inside bid.

    Regarding TOny's point, for example if you use Realtick and under the quote source option you have both Nasdaq and Island selected, then yes the separate ISLD bid at 20.011 would actually show at that price and displayed as'island' rather than the as 'ISLD'. Actually it is displayed twice, once via the Island quote as 'island' and once via the Nasdaq quote as 'ISLD'.

    But these orders are not hidden orders. If I enter a bid right now at 20.011 while 20.01 is the best bid, it will show in the L2 screen as 20.01. However if I have the ISLD book up simultaneously, I see my bid displayed on the left side at the actual 20.011 price ABOVE any previouis bids entered at 20.01. THus my bid splitting the spread will still show on the isld book at its actual price of 20.011 and this is clearly not a hidden order.

    Now that I think of it maybe we are talking about two different issues. Regarding your original post, what do you mean by saying that you "see trades going off in between the best bid and best offer." I think of the ISLD book as basically a Level 2 type display of bids and offers, representing the ISLD book only. SInce bids and offers can and do get cancelled all the time, the changing quote book obviously does not necessarily represent trades that have filled. For that I think of looking at the tape. Can you clarify what you mean by seeing trades go off via the ISLD book?
  7. if you go here... type in say BRCD...i just saw the ISLD best bid at 20.12 and best offer at 20.15. Where it says price,it shows each ISLD trade price,and i just saw it print at 20.123.So my guess is that 20.123 was a hidden ISLD order.
  8. You meant in your original post that you saw trades going off between the best bid and offer on the ISLD book itself. I thought you meant you saw ISLD trades going off between the National best bid/offer from the L2.

    Yes I would agree that those are hidden orders, though its hard to actually see it as you are trying to look from the bid/offer to the last match, back and forth, trying to catch the best price displayed right before a new match is posted, which is difficult.

    I guess I shouldn't be so surprised, but I played around with entering some bids and offers while I had the ISLD java viewer up and I could not believe how fast it works. Its been awhile since I looked at the ISLD book over the net. As soon as I hit enter, the ISLD book was updated with my bid or offer. I mean as soon as I put weight on the key on my keyboard, bam there was the order in the ISLD. From my house to PD's servers in Orlando, to ISLD servers in wherever NYC I suppose and then posted to the web/java book. All before I even fully push down on my keyboard. Technology rocks.
  9. It doesn't necessarily have to be hidden to print at 20.123. You just have to have island book integrated into your L2 to see it there, that's all. If you were to watch WCOM for example, you would notice that the spread is in fact only .1-.2 cents most of the time and your L2 should show island shaves at just about every tenth of a cent at the inside price.