Major News - Redi & Arca

Discussion in 'Trading' started by Don Bright, Nov 29, 2001.

  1. This is the NASDAQ rules at work, it has nothing to do with the ECN or the trading platform (as I am sure you are aware....:)

    It is interesting, now that you bring it up, that many of the traders I have corresponded with lately (even here on the board), don't seem to understand how the ECN's really work, and how the actual trading rules impact the executions. I know that many "trading firms" and "brokerage firms" like to say that there "system" is some how better due to "add ons" etc. What is your opinion on this...

    Just looking for input (from anyone for that matter)...
    #21     Nov 30, 2001
  2. Turok


    >This is the NASDAQ rules at work, it has nothing
    >to do with the ECN or the trading platform (as I
    >am sure you are aware....:)

    Don, apparently you aren't reading what I'm writing nor looking up the Naz rules for your self.

    The Nasdaq rules (as I posted earlier) say that there can only be a delay of .8 seconds or less on a SuperSoes execution at the inside. My months now of daily experience since implentation of SuperSoes and many, many hundreds if not thousands of executions (with IB and Realtick) confirms these rules as in fact the way SS works.

    If your order inside SS order to the MM isn't filled practically instantly, it should only happen if you are way back in the price que and the MM is still being forced into executing those in front of you every sub second. I find that this situation rarely delays my orders for more than another couple seconds, and even that is almost never. I truly average around one second fills on SS

    If REDI is taking 10-20 seconds to execute SS, it isn't the Naz rules that are to blame.

    #22     Nov 30, 2001
  3. Don,

    please take this comment in good nature but you just described yourself! As Turok so accurately pointed out, your insinuation that MM's can "think" about an order presented to them via ARCA or REDI simply screams of your ignorance in NASDAQ order routing functionality and how REDI and ARCA designed their systems in light of SUPERSOES implementation.

    SOES executions are automatic and facilitated by NASDAQ computers and the MM's don't even know they were hit/taken until after the order is done! Bottom line is SS works like an ECN....if you see the MM there and hit buy/sell, the fill is virtually instant. If he pulls or his bid/offer is filled a split second before you get the order off, then you missed him.....just like an ECN.

    Your stated you "hit" three different MM's as a "test". Did you do this via the REDI ECN? If so, how did you "hit" a specific MM since REDI/ARCA delivers an order to SuperSOES (assuming it can't match with available ecn liquidity) and SS executions are not directed to any specific MM?

    To clarify, if you route the order via REDI and the order gets to SuperSOES then the above would apply so a delayed fill by a MM is simply not possible! The only scenario where I could see that happening is where the Level 2 quote in REDI was seriously lagging and you thought (thru your ignorance of NAZ order routing rules) that you here "hitting a MM who was not really there.

    Anyway, I think you have confused yourself which perhaps explains your candid aversion to trading NASDAQ don't know how to get filled!! Again just candid comments made in good faith and for the sake of clarification.
    #23     Nov 30, 2001
  4. Turok


    >I think you have confused yourself which perhaps
    >explains your candid aversion to trading NASDAQ
    > don't know how to get filled!!

    That was funny (in good nature of course)


    #24     Nov 30, 2001
  5. Actually, this SS discussion comes at a great time. Our compliance people are reviewing the SS reg's with the NASD as they apply to Broker Dealers vs. Customers. As a rule, we tend to shy away from SOES altogether and haven't really concerned ourselves with it since most of our people trade only listed directly. Since we are adding a whole "legion" of remotes and NASDAQ people in 2002, we want to be absolutely sure of all the "fine points" involved.
    #25     Nov 30, 2001
  6. I thought of one more scenario where your order could have been delayed, however it would also contradict earlier posts where you have stated that you never use market orders.

    However if you did in this test, it could explain it since SOES orders are only executed while a MM(s) is at the best bid or offer. If not, then all SOES orders are held in queue until the ECNs move or a MM joins the inside at which time SOES orders begin executing again. The same scenario would apply with a limit order priced below the bid or above the offer. This is why there is no need to use a SOES limit order at the inside price level since you will get filled at that price anyway if a MM is there when your order is next in the queue! Hope that helps Don.
    #26     Nov 30, 2001
    #27     Nov 30, 2001
  8. Turok


    >If not, then all SOES orders are held in queue
    >until the ECNs move or a MM joins the inside at
    >which time SOES orders begin executing again.

    Absolutely correct. I only hit SS when the MMs are on the inside and the ECN's aren't. I believe (would have to check those rules again) that if the SS execution is held up for more than 30 seconds because an ECN is on the inside, the order is canceled. I don't have experience with that rule, cause if an ECN moves to the inside, I whack'm and cancel the SS order. I wouldn't wait 30 seconds for my own Mom to fill my order.

    #28     Nov 30, 2001
  9. I think it is safe to say that the delayed fill experienced by Don was attributable to his misinformed explanation of the circumstances, and not due to poor REDI or REDI Plus functionality. and performance.

    I know that with the stocks I trade, I would estimate the time of occupation at the inside market to be about:

    65% ECN'S only
    25% ECN'S and MM's
    10% MM's only

    Thus, there is a significant period of time while the stock trades that SOES orders are in queue waiting for a MM to come to the inside price. THis is no doubt what happened to Don, he was simply unaware of the mechanics of SS due to his focus on trading listed stocks.
    #29     Nov 30, 2001
  10. Turok


    I'm not sure your explaination for Don's problems are correct (based on my reread of his post), but I will agree with you that his problems likely have nothing to do with REDI.

    He said he "hit three different MMs". Now, as we know we can't target specific MMs with SuperSoes, so perhaps in his lack of familiarity with Nas trading he used the Selectnet system which you *can* still hit MMs (and SN is now discretionary exectution wise).

    Don? Give us the details and we'll try to help you out. :)

    #30     Nov 30, 2001