Please someone who knows the LASER (genesis API)

Discussion in 'Automated Trading' started by BlueOcean, Aug 25, 2008.

  1. I come from IB. There is ONLY 1 way to route on IB and that is via SMART.

    The Genesis API does not have a SMRT router.
    So you basically have to program a SMRT router, unless you enjoy sweeping the book, paying extra routing fees, or preferring to pay higher liquity removing fees.

    My first ?.
    How do you find the bid / bid size, ask / ask size for EACH specific exchange? Can this be done w/ level1 data? or do you need level2 data?

    I don't have level2 data (yet) but I notice the call GetBidLevel(); I'm assuming this is what you use correct?

    -> so then you have all the exchanges with the prices & sizes and you can hit the exchanges in order of lowest fee to highest fee.

    Or is there something more efficient, Genesis has these routing strategies in .. RoutingStrategy.h.

    There is this one strategy called DOTM-

    Sweep the INET book and the Street. After routing to accessible market centers, the order will be posted to the INET book. If the order becomes marketable on another accessible market center while on the INET book, the order will route to the other market center. If the order routes to the NYSE or Amex it will remain on the NYSE or Amex until being executed or canceled. In order to send your order via NYSE Direct+, please follow the instructions in the Implementation Table below.

    Is this a type of routing strategy I want? "after routing to accessible market centers"

    any help on this confusing topic would be greatly appreciated

  2. Level1 Data is best bid/ask last trade, volume, open price, close price.

    Level2 is "depth", ie, top 10 bids/asks.

    The Laser subscription call does not indicate a "method" or exchange, so you are getting the best bid of whatever Laser connects to...this is probably considered a feature.

    To be sure, ask Genesis...they will not divulge information to anyone, except their clients. Ask the questions you asked here, and you can send them via email to: (Alex Shapiro).

    You can route orders to a specific exchange via the "method" tag, see the Laser PDF on their site for the available methods.

    If you want exchange-specific level1 (or level2) market data, I expect that you will have to use another data provider, integrate that data with genesis API, and use genesis to send the orders.

    I can recommend a couple of ways to go on this, and you private message me if you are interested, and I can give you my email address.