submitting orders to dark pool

Discussion in 'Order Execution' started by londonkid, Jul 10, 2012.

  1. londonkid



    Does anyone know how is it possible to submit sub penny orders to Dark Pools. At present I only have the ability to enter penny orders and orders at the midpoint via routes such as SMARTMID.

    Take BAC, say it is trading at 7.61, When I see a ton of volume go off at 7.6058 on a Dark Pool I want some of that action. Someone clearly has the ability submit these subpenny orders unless they are an average of other participants.

    If I had an institutional account with access to dark pools would I then be able to submit sub penny orders.

    Also is there like a Dark Pool order book for institutions at clearing level?

    Anybody help me out on this, its all about the fills.

    good trading to you.

  2. Using SMARTMID you can get those fills. If the spread is 7.61 by 7.62 you load your smartmid order to buy at 7.61. You will get filled between 7.61 and 7.615. The odd sub penny trades that post to the tape are generally orders that have been internalized at brokers. Like 7.608 or 7.6179. There isnt a way to get these quotes if they are internalized. There are something like 30 dark pools with the top being from Xfinder, SigmaX, Lava, Nite and Nitepass , DB9 will seamless route your order across 10 dark pools looking for liquidity. Trial and error is the only way to find which route works best.
    Also Xfinder is a mid point strategy as well.

    There is no dark pool order book where institutions can see the orders. All that is published is that there is an order on a stock. But many of these dark pool firms have separate trading groups that seem to be very good at knowing these orders. Several firms have been fined lately because of this. Pipeline was the biggest yet.

    No one is supposed to be able to submit sub penny orders whether institutional accounts or others but I am sure traders at banks/firms probably do this.
  3. londonkid


    Thanks Master trader I was beginning to think nobody was going to respond. It's a dirty business when retail brokers are internalizing the order floor and making money out their customers in that way. Hell I dont know if my own broker is internalizing my trades.

    Thanks for the info on pipeline dark pool, i dug out an article here:

    this is a merky world indeed. i am sure people out there are submitting these sub penny orders whether it is within the rules or not. ho hum.
  4. emg


    Dark pool are outdated. Why? more and more small traders begin using them. In other word. Retail brokerages are using dark pool for



    The newer model will not be release until it becomes near outdated and sold to small traders

    More than 90% of small traders lose. they just lose!
  5. U won't get that volume. Firms actually pay money to receive that volume.
  6. Hi londonkid,

    This is an article I wrote earlier this year. It discusses internalization and retail order flow. I thought you might be interested.
  7. So how do we fight these guys? There seems to be no way to win. Market orders get gamed and pay the spread anyway. Resting displayed limit orders signal your intentions and give others a free option. Sweep the book IOC for whatever quantity you really want? You'd need a way to do it simultaneously across all destinations and an exemption from Reg NMS routing rules.
  8. emg


    how do u win? 1 word. "EDGE."

    Coming up. My new thread will be the definition of "EDGE"
  9. I'm asking the question from a microstructure perspective. I don't think the argument of "You're holding the stock for a $1 profit, so why do you care about a penny" make the gaming of orders ok.

    It could be done with regulation, say by either delaying the direct feeds to match the SIP, or by specifying a minimum time for orders to be live. And also by binding broker dealers to a minimum tick size of .01
    #10     Jul 24, 2012