Hello guys, I want your opinion on this matter as I am still pretty new to day-trading. Today I was shorting VRTS, the stock has a lot of action after yesterdays announcement. When the stock started to pull-back at about 10 am I placed a Market order to buy a 100 shares an cover my position. I used ARCA as the route. My order executed 57 cents and about 40 seconds later!!!!!!!!!!! Has this happened to anyone before? Is this normal? How can one trade lots bigger than a 100 if it takes 40 seconds to fill a 100? Thanks in advance for all your help. IRAF
Arca market orders are dangerous.....for the next few weeks that is. Under current (pre-SuperSOES)functionality, ARCA will seek to fill your order at the inside price by first matching with any available ECN volume. If there is insufficient volume with ECN's, then ARCA preferences a Market Maker...which is where the order can get into trouble. As you may know, the Selectnet system can be frustratingly slow since the preferenced MM can essentially wait 30 seconds to respond, and if he has already filled a similar order and/or was in the process of updating his quote (moving it away) when your order was sent to him, he can simply decline it. Thus 30 seconds after the fact, as the market is moving away from you, the preferenced portion is (hypothetically) declined by the preferenced MM, and ARCA must start all over again by preferencing another market participant/maker-potentially starting the whole unsuccessful process again. Eventually you will get filled but this is not a very effecient way to work the order when a stock is showing momentum on the same side you are on. The good news is that with SuperSOES, the proactive ECNS (ARCA REDI) will now route any volume that cannot be matched to ECNs directly to SuperSOES, which may help speed things up a bit, though I think the jury is still out on the impact of SS until some more widely traded stocks are trading under the SS system. Hope that helps.
IRAF, Good info. on routes, route choice, etc.: http://www.hardrightedge.com/work/orderrouting.htm The information is specialized for TerraNova-MB /RealTick.
Thanks for the replies. How do you guys go about filling a large order? I mean if I had this trouble with 100 shares, how do people go about filling 1000 shares or more without losing many cents? IRAF
IRAF, > How do you guys go about filling a large order? You can act like a market-maker and buy when other people are selling or sell/short when other people are buying. It's tricky, but you'll get many of your fills and you won't be part of the herd. In either case, you might use limit orders (when opening a position) and let the price come to you. That way you're not chasing but, of course, you won't always get filled. Using market orders to open a position in a fast-moving stock is very dangerous. Maybe for Nasdaq SuperSOES will help, but somehow I doubt it. MM's are always good at finding ways around regulations. When closing a position, say a long, either sell with a limit order into the buyers (preferably when they're panicking) or sell with the rest of the sellers when everybody is exiting and use a market order. And keep your fingers crossed.
IRAF, Regarding 1,000 share orders: When scalping, if you're buying, don't bid, just hit a participant on the ask showing size. If you're selling, don't offer, just hit a participant on the bid showing size. With a .01 spread typical, the difference is $10 per 1,000. That's a small price to pay for a complete fill at the moment you want it. It's dirt cheap compared to chasing price or a partial/missed fill. If you're scalping in 1,000 size, you'll need a stock with good liquidity (participants regularly showing 1,000's). The most reliable fills on "V" reversals come just before the turn when there is still size sitting there. Another option, if you know your support and resistance well, is to place your order ahead of price and let price come to you. Try limit orders; unlike market orders, they can be used on all routes and that opens up more liquidity.