I am looking for the best possible execution prices for micro and small caps, where I would be representing a significant chunk of daily volume. I am currently using Interactive Brokers and am wondering if I can improve my returns by seeking better execution. I typically use VWAP orders or limit orders into their Fox River dark pool order type. I have enough AUM to be a client of second tier PB's (not big enough for Goldman, etc). Any advice would be greatly appreciated.
Your best bet is to execute through mini PBs you’ll still be able to purchase shadow blocks like you’re in dark pools but you’ll be able to do it much cheaper through mini primes, especially in small caps I can connect you to a few, email me or send me your email to further discuss
Not sure about what size you are looking at but from a purely execution perspective I find the current prop firm I trade with (Canadian firm Alkaline Capital) extremely good with multiple ecn and darkpool options as I do trade a lot of small caps in large volumes (might not be as large as yours). So you can check them if it makes sense for what you are looking for
In no particular order, if you're avoiding PBs associated with bulge bracket banks, some options include Cowen (former Convergex), Jefferies, Clear Street, Rosenblatt Securities, WEX, Virtu (ITG). Most of which offer a combination of high-touch agency execution and low touch electronic execution. We're not affiliated with any of them.
Created an account just to join this thread but overall awesome forum. I'm in a very similar situation - heavy trading micro/small/mid market securities and am looking for a mini pb that has optimal liquidity. I'm currently using Das with one broker and EZE with another - For a short bit of time had access to some of the instinet algo suite and it rocked. I'm usually utilizing hotkeys that I've mapped out all of my dark pool and mid point routes on but often I'm still seeing probably 60-70% of the FINRA venues executing around me. Also, does anyone know where you can find a market data platform that has access to as many venues as possible? I'm using Eikon/Refinitiv and Factset for research. I'm very interested in building my own routes/algos - are there any tools/brokers that give you the flexibility to build your own order routing system + have access to a large majority of the liquid micro-mid market venues? Nice to meet you all, please feel free to DM if you have any suggestions for me or would just like to chat.
Still the same list of recommended non-bulge bracket PBs above. Besides that I forgot to name FC Stone, which also has very reasonable commissions. A shameless plug: If you can afford to wait a bit, we (Databento) are about to launch historical and live data APIs for all lit US equities venues and non-lit, TRF venues, around May. We source directly from the prop feeds instead of the SIPs, meaning we expose odd lots, auction imbalance, and all book levels i.e. non-protected quotes for all traded securities. I can only think of 3-4 other ISVs that make it easy to access the prop feeds, but they generally do so through software licensing and leave it to you to set up the multicast feeds, whereas we are licensed for external redistribution and handle normalization; other normalized options I've seen just distribute the SIPs.