Phantom quotes on ARCA

Discussion in 'Order Execution' started by Retired, Nov 15, 2007.

  1. Retired


    Has anyone else seen phantom quotes on ARCA? Are they legal?

    Late yesterday afterhours, I saw a bid with a size of 1. Right after I entered the order to sell, the bid is gone. I looked at time & sales and there was no sale. The stock was trading very slowly at the time. This actually happened several times.

    This morning, I saw another bid I like with a bid size of 1. I hit the bid with 200 shares, all sold. Again, 800 shares, all sold. The bid still showed a bid size of 1. Somehow this guy is able to hide the true size of his bid.

    Weird or what? The quotes were displayed in IB and ARCA Java web book.


    Nothing to prevent a trader from canceling his order when you saw the order disappear. And today the guy could have had a buy order with his size hidden (reserve quantity) so that he stayed at the same price after being hit.
  3. Retired


    That's amazing, the cancellation happened 3 times right upon I entered my orders. This is late in afterhours, when nothing seems to be moving.

    How does one enter an order with size hidden with reserve quantity? Is that possible with IB?
  4. gaj


    it's not the same, but there are some times (market makers, program traders, etc.) where there will be size shown on ARCA, ISLD, etc. which is, let's say, 15c away from the inside bid/offer on a stock with a 3-5c spread. as the stock moves, the sizes move away as well.
  5. Retired


    Yeah, but the stock wasn't moving at all at the time. It was hardly traded.
  6. I don't see any magic here. Algos can cancel/replace orders a couple dozen times per second, and prettry much every ECn has an option (called floor) to control how much of the size to show on the book.
  7. rwk


    With IB it is called an "iceberg order". I believe the reserve size is held on IB's server, not at the ECN.

    Some ECNs have native hidden and subscriber-only orders. I think market makers also have additional capability for reserve orders.
  8. Retired


    Ok, how do you enter an "iceberg order" with IB?

    Can you do that with TWS?
  9. rwk


  10. Retired


    The Algos can read my mind? :)

    I still believe they are phantom quotes. It would be nice if we can post them using IB.
    #10     Nov 15, 2007