QQQ execution times

Discussion in 'Trading' started by GreenDog, Oct 21, 2002.

  1. dereksas


    If you are sitting on ISLD waiting 2 mins for a fill, then it is because the market has moved away from you, not because of a slow broker. How exactly would a discretionary routing algorithm preference an ECN on which it can see no quotes? One way I can think of is that it could send an IOC to ISLD then send the rest elsewhere. If that's what they do, and if you didn't immediately fill on ISLD, it is because the spread is not there for you.

    I trade QQQ almost exclusively (although not your 10K-20K per lot), and as far as I can tell, ISLD is still the best source of QQQ liquidity. I almost always get price improvement over what I see on ARCA. If I want in (or out) with an instant fill, the best way seems to be a sweep of ISLD by a few cents outside. But you're right, the spreads are not nearly as tight as they used to be (talking pennies here) and I'm considering moving over to NQ for that reason.

    Last time I checked, ISLD traded twice as many QQQ shares as INCA with ARCA a distant third (approx half of INCA). AMEX still sux bigtime, and if there is even a *chance* that my market order may get autorouted there, I would not send a 5-figure order to Intelligent. I say again, sending to Intelligent on TS (especially with your size) is baaaaaad news.

    My primary broker is TS, but I also have a second account at IB with similar experiences there...

    #11     Oct 21, 2002
  2. Pete, welcome back, glad to hear you are not in prison.

    When will the Hall of Fame come for you?

    Edit : Thank you Michael, I had not seen your extended response, and I am thus, corrected. I felt the extent of your membership dignified my not deleting my previous response.
    #12     Oct 21, 2002
  3. Since ISLD no longer displays qqq quotes, it is absurd to try to use ISLD for flipping the q's. If you've got 20K to dump fast and you can't see the book, things can turn ugly fast. As I posted before, I don't know how much ISLD's QQQ volume has dropped off (in % terms) -- but my guess is that it's significant.

    Been experimenting this AM with preferencing ARCA for QQQ trades (ARCA shows up of course as PACX on LII). Excellent fills of between 10-20K blocks.

    Most "auto-routing" features preference ISLD first and then go out to electronic purgatory. This method was fine (and actually preferable) prior to ISLD's withdrawal from ETF quote displaying -- but now ARCA appears to be "the" way to go on the q's.


    #13     Oct 22, 2002
  4. I used to trade the Q's before ISLD stopped quoting, now I only trade the NQ's. Liquidity is great, and transactions costs are about a third less than the Q's on IB. So how come everyone's making a big fuss over the Q's? Why don't you just move to the NQ?
    #14     Oct 22, 2002