Hi All, I have two routing options with my broker for limit-on-close orders, either pay 0.0015 per share routing to Citadel, or pay 0.0030 per share and route it directly to the exchange. So as long as Citadel isn't somehow frontrunning me, or isn't profiting more than 0.0015 per share by frontrunning me, the Citadel route is better. Does anyone know what they do with the limit on close orders? My "conspiracy theory" is that enough limit on close orders flow through them that they are able to take an educated guess at the imbalance and trade against it profitably leading into the close? But then as long as my order represents a small % of the closing auction volume it doesn't really matter as I'm not creating a material imbalance. Am I on to something or do I need to remove my tinfoil hat? Any advice would be greatly appreciated.
If it's a limit on close then I assume the executor matches all those limits and collects some $. There's no front running. If the executor is good they can do some basic system of linear equation calc
That would be in the realm of "Closing Auction". That means they have an order matching engine, algorithm, which is managed in house. So it is probably the case it is built to not only match-execute orders, but, also do some front running when it makes sense. Seriously what you would you direct the staff to design? As for your particular order, although it is small, it is just batched into buckets that are large enough.
At what point does the supposed front running stop? Citadel front runs a customer. XYZ hft front runs Citadel. ABC front runs XYZ. Does the order ever execute?
The MOC auction is more of a batch deal, than a continuous process. The MOC are a known deal before the Close (10 min), so "stick a fork in it, it's done". Between the Dark and Lit pools, MOO and MOC auctions, giving there are enough opportunities. Take some and move on. Tomorrow is another day.
Good Morning PhilipJoseph, I submitted my resume to Citadel and Goldman Scachs. I hope they hire me as an ES Futures Trader. I had my first interview already.
No my concern is the quality of the execution. Since the order is only going to be executed at market close if the price condition is met and given that it's a limit order the window of execution is very limited and whether and how fast the order can be executed and at what price will be very much dependent on the routing of the order. And this is where the difference in commission I believe would make a difference. The lower commission that you pay to get your order routed exclusively to Citadel basically would restrict you in terms of price discovery and potentially slower execution whereas if you pay higher commission to have your order routed directly to the exchange would expose your orders to more counterparties and thus better price discovery and faster execution speed. This is what I believe because otherwise there is no incentive for Citadel to pay for your orders if it can execute your orders at exactly the same price as on the exchange. Citadel would make a loss! Till this day, Citadel still hasn't provided a business model. So if I were you in this instance, I would pay more to route my orders directly to the exchange. You never know what you are missing trading with just one dealer. Trading in the market price is like going to a party, the more the merrier. The more people there trading in a market place, in an exchange, the better the price discovery and the speed of the execution.
Some blasts from the past. Idk what happened to Nanex, I thought they were a sponsor. Their site seems to be off-line... SEC and Midas: Compare the Timestamps Already! Flashcrash Archive Old TheGuardian Article on HFT & Quote Stuffing