Maximizing chances of getting filled on ECNs

Discussion in 'Order Execution' started by giggollo, Apr 6, 2006.

  1. If i want to buy 1200 shares of a given NASDAQ stock at the bid, is it better to place

    400 on INET
    400 on ARCA
    400 on BRUT

    or is it better to place 1200 shares on any one of those ECN's to maximize my chances of getting filled?
  2. joe_blo


    Post 1200 on each ECN, and then cancel real quick if you get filled on one.
    REAL quick.
  3. Dustin


    Use hidden size, like 200 on isld.
  4. Heh, I think before you decide to do that, you need to analyze the payoff vs. risk. Is your better fill worth it when taking into account the double-execution risk? That is the question you need to answer.

  5. MR.NBBO


    Agreed, with all the Bot trading goin' on, you'll likely get all 3 filled at once if it happens.
  6. Thanks for all replies. Assume posting more than 1200 shares is not an option since you can get hit on all of them as was kindly pointed out. Assume hidden orders are not an option either. Assume share size is between 1000 and 5000 shares

    I guess the question is: is it better to spread out your limit order evenly over multiple ECNs or just put it on one ECN and hope someone will hit you for the full size because you're displaying a bigger order. I guess if you're an avid scalper you might have some "feel" for this...

    Well, since you brought it up, do you think its better to display a "big" order (over 1000 shares) or to hide/iceberg it?
  7. joe_blo


    Eh, big deal. Just toss your extra 2400 shares up on the offer (on each of 3 ecns, of course), and cancel REAL quick if you start to get over-filled.

    Repeat until you achieve your desired position, or you run out of buying power.
  8. "Start to get filled?" Eh, i'm not following you. There is a very specific and real chance that all of the orders get filled instantly, and your defintion of "real quick" can never be fast enoguh.

  9. I would look at which ECN tends to execute the largest percentage of the volume in my particular security, and then I would place the entire order on that one ECN.
  10. If you are considering 1000 to be large, I'll assume the stock is thin. This was the case when I'd trade AHC.

    Best bet is either to hide it or put up 800 or 900 at a time. Amazing how daytraders in thin stocks will react to 1000 but not 900.
    #10     Apr 6, 2006