New BATS ecn ( rebate of 3 mils to remove liquidity)

Discussion in 'Order Execution' started by WhiteOut56, Oct 14, 2010.

  1. Occam

    Occam

    WhiteOut56,

    I too was favoring BATS, until I ran some numbers and realized that my fill rate on NSDQ is about 10% better -- which far outweighs any fee/rebate advantage for me. These types of numbers are hard to estimate, and are linked to the types of trading one does, but in my case it seems clear that NSDQ is working much better at this point.

    I have never used EDGE; I refuse to use EDGE as long as they have flash orders. As well as being the inventors of this order type, Edge is also the only exchange operator that has yet to voluntarily withdraw it. Even though the market impact of flash is minuscule compared to that of B/D internalization, at least I can do something about flash by not routing to EDGE.
     
    #11     Oct 19, 2010
  2. Very interesting thread. How do you optimize the trade-off between rebates and fill rate? Seems pretty hard to do.
     
    #12     Sep 7, 2011
  3. all being done by co located bots, try this at home and prepare for Uranus to be owned.
     
    #13     Sep 9, 2011