What do you guys think about routing orders near the open. For example, a stock is trading at 9:31 with a very wide spread, just a few trades going off, and I place a buy limit just inside the bid, or maybe a little below it, looking for a "lucky" fill. Right now I just route to BATS. Over the long run, it seems to work better than Nasdaq. Do you think it would be worth the effort to collect Level II data and do a smart route? So if the inside bid was on ARCA, post to ARCA .... or does regulation NMS make this kind of a moot point? Maybe I can just route NYSE stocks to ARCA, Nasdaq to BATS?
How about for the general case. If the inside bid and offer is on ARCA, and I have a limit order inside the spread, and post it on BATS, is that putting me at a disadvantage to get the fill? So far BATS seems to be working best for rapid fire trades. Better than Nasdaq .... but maybe I should be doing a "smart" route.