Turok Iâve grasped your question. What I did not realise is that SuperSoes limit order maybe limit or better. If Iâm wrong please let me know? This could be an advantage when I want to quickly close or open a position The scenario that you mentioned I never seem to end up in and I trade shares in quantity from around 500 up to ISLD limit. <I>Example question: CSCO Bid GSCO | 17.75 | 100 MSCO | 17.75 | 200 PRUS | 17.73 | 700</I> If it is limit or better and I want out quick of 1000 shares from your above example I will send SS limit of 17.73 getting fills of 17.75 x 300 & 17.73x700 providing an ECN doesnât jump in-between. Have you tried this and is this how it has worked for you? May I also thank the person that posted on âPegging & Bangâ. I have often seen MMs & ECNs being swept at the inside price and wondered what was going on. Now I know the answer. These snippets all help to give an edge when trading. Thanks Ken
This is how it works (the old SOES used to work the same way). SuperSOES only executes at the inside market and works its way up/down one price level at a time provided no ECN intercepts it. Putting a more liberal limit on orders instead of limiting to the inside and readjusting if necessary can be advantageous because that way the order will retain its top spot in the SS queue as levels are taken out. Dave
dlincke Thanks for your reply. I've never been a soes fan. The tier limit and times you can trade put me off. I mainly use ISLD or INCA if I have to.Sometimes REDI. SuperSoes is a whole new ball game. I will see if I can try some plays on monday using outside prices when a share is tanking/rising on news. When it happens ECNs get eaten too quick. SuperSoes might be part of a solution. Ken
Thanks Kensmith, delincke and Lancer. If we keep digging we'll figure this thing out. I will continue working it and let you guys know if I learn anything new. Reciprocation is appreciated. Thanks to Lancer for passing my question on. JB
JB, Direct from NASD, here's the answers to your questions; (NASD answers in caps): Example market scenario #1: Stock XXXX offers to sell are as follows at 10:00 AM ET: GSCO 17.76 100 MSCO 17.76 200 PRUS 17.77 700 ISLD 17.77 500 REDI 17.77 1000 ARCA 17.80 400 NITE 17.80 1000 1. Will a SuperSOES buy limit order for 17.80 x 500s execute 300s @ 17.76 (with price improvement), and then having taken out GSCO and MSCO execute the remaining 200s against PRUS (now at the NBO) at my limit? YES 1A. Is it correct that a market order operates the same as a limit order in this situation? YES 2. If the above #1 order is entered behind someone else's order in queue for 17.77 @ 800, and the senior order fills first (taking out GSCO and MSCO, and leaving PRUS with 200), will the junior order hit PRUS for the remaining 200 and stay live for up to 90 seconds, waiting for a market maker to appear at the NBO within limit price, or will the limit order cancel immediately after taking out PRUS, with no market maker left at NBO? THE LIMIT ORDER WILL HIT PRUS AND THEN REMAIN LIVE FOR 90 SECONDS. 2B. How does a market order operate in this situation compared to a limit order? THE MARKET ORDER WILL ALSO BE HELD FOR 90 SECONDS OR UNTIL A MARKET MAKER EITHER JOINS THE ECN OR THE ECNS MOVE AWAY FROM THE INSIDE. OBVIUSLY, IF AN ECN MOVES AWAY AND 17.80 BECOMES THE NEW INSIDE, THE MARKET ORDER WILL BE ELIGIBLE FOR EXECUTION. 3. Will a SuperSOES buy limit order for 17.80 x 1,500s execute (with price improvement) 300s @ 17.76 (GSCO/MSCO), 700s @ 17.77 (PRUS), and then finding no market maker at the NBO, stay live for up to 90 seconds until ECNs clear (ISLD/REDI) ahead of NITE and NITE @ 17.80 becomes the NBO, then execute the remaining 500s against NITE at my limit? YES 3A. Or, will the above #3 limit order with 500s unfilled immediately cancel when there are only ECNs at the NBO, even though there is a MM within the limit price? IT WILL NOT IMMEDIATELY CANCEL. 3B. How does the behavior of a market order differ from a limit order in this situation? THE MARKET ORDER IS ELIGIBLE FOR EXECUTION IF A NEW INSIDE IS CREATED. 4. If the #3 above 1,500s limit order is entered at 17.77 instead of 17.80, and GSCO/MSCO/PRUS fills 1,000 leaving only ECNs at the NBO, 500s unfilled, and no MMs within limit price, will the limit order stay live for up to 90 seconds waiting for a market maker to appear at the NBO within the limit price? YES 5. Do SuperSOES buy limit orders have to be entered at the fast-changing NBO, or can buy limit orders be entered higher than the NBO without canceling (crossing the market), thereby relieving the trader from having to match price exactly with the NBO at any given instant? BUY LIMIT ORDERS CAN BE ENTERED AT PRICES HIGHER THAN THE OFFER. 5A. If they can be entered higher than the NBO without canceling, is there a percentage or price increment limiting how much higher? ORDERS CAN NOT BE MORE THAN 25% AWAY FROM THE INSIDE (20% FOR STOCKS TRADING AT LESS THAN $5) 6. Can SuperSOES limit orders lock the market without canceling? YES 7. How are limit orders handled in these different situations: A) No market maker is at the NBO when the buy limit order is entered at a price several tiers above the NBO. THE ORDER IS HELD FOR 90 SECONDS OR UNTIL AN ECN MOVES AWAY FROM THE INSIDE, OR A MARKET MAKER JOINS. B) A market maker is at the NBO when the buy limit order is entered at a price several tiers above the NBO, but other SuperSOES orders fill ahead, leaving only ECNs at the NBO. THE ORDER IS HELD FOR 90 SECONDS OR UNTIL AN ECN MOVES AWAY FROM THE INSIDE, OR A MARKET MAKER JOINS. C) Only ECNs are at the NBO when the buy limit order is entered at the NBO. HELD FOR 90 SECONDS. D) A market maker is at the NBO when the buy limit order is entered at the NBO, but other SuperSOES orders fill ahead, leaving only ECNs at the NBO. HELD FOR 90 SECONDS. 8. In the above situations 7A - 7D, how would handling change if the order was a market buy order instead of a limit buy order? A- HELD FOR 90 SECONDS OR UNTIL A MM JOINS OR A NEW INSIDE IS CREATED. B- HELD FOR 90 SECONDS OR UNTIL A MM JOINS OR A NEW INSIDE IS CREATED. C- HELD FOR 90 SECONDS OR UNTIL A MM JOINS OR A NEW INSIDE IS CREATED. D- HELD FOR 90 SECONDS OR UNTIL A MM JOINS OR A NEW INSIDE IS CREATED. 9. Is it only market orders that have a 90 second queue order life (waiting for ECNs to clear, or waiting for a market maker to join the ECNs at the inside), or do limit orders have the same order life in queue? BOTH HAVE THE 90 SECOND LIFE. NOTE - FROM 9:30 TO 9:33 - THE 90 SECOND RULE IS EXTENDED TO 180 SECONDS. Example market scenario #2: Stock XXXX bids are as follows at 10:00 AM ET: GSCO 17.75 100 MSCO 17.75 200 PRUS 17.74 700 ISLD 17.74 500 REDI 17.74 1000 ARCA 17.70 400 NITE 17.70 1000 10. Using the buy limit order questions in market scenario #1 above applied to a sell limit order (covering a long position) in market scenario #2, do order handling and fill procedures change? NO 10A. Any changes regarding market sell orders? NO 11. Using the buy limit order questions in market scenario #1 above applied to a sell limit order (selling short) in market scenario #2, how do order handling and fill procedures change? A. If the NBB is on an uptick? NO CHANGE B. If the NBB is on a downtick? REJECT SHORT SALES ON ANY DOWNTICK 12. Using the buy market order questions in market scenario #1 above applied to a sell market order (selling short) in market scenario #2, how do order handling and fill procedures change? A. If the NBB is on an uptick? NO CHANGE B. If the NBB is on a downtick? REJECT SHORT SALES ON ANY DOWNTICK I think this covers everything. If there was anything else, let me know.
The main problem with SSOES is that in too many situations an order or a part of it are held for 90 seconds or more and can not be canceled vs. the ability to cancel immediately on an ECN. Correction: A SSOES order can be cancelled immediately. Moreover, SSOES orders are cancelled automatically after 90 seconds (3min for those placed 9:30am-9:33am). Fohat
>The main problem with SSOES is that in too >many situations an order or a part of it >are held for 90 seconds or more and can not >be canceled vs. the ability to cancel >immediately on an ECN. Foghat, could you give me a few of those situations? Thanks JB
Turok, For examples of such situations scroll back. Here are a few of those situations: Lancer wrote: "...8. In the above situations 7A - 7D, how would handling change if the order was a market buy order instead of a limit buy order? A- HELD FOR 90 SECONDS OR UNTIL A MM JOINS OR A NEW INSIDE IS CREATED. B- HELD FOR 90 SECONDS OR UNTIL A MM JOINS OR A NEW INSIDE IS CREATED. C- HELD FOR 90 SECONDS OR UNTIL A MM JOINS OR A NEW INSIDE IS CREATED. D- HELD FOR 90 SECONDS OR UNTIL A MM JOINS OR A NEW INSIDE IS CREATED. 9. Is it only market orders that have a 90 second queue order life (waiting for ECNs to clear, or waiting for a market maker to join the ECNs at the inside), or do limit orders have the same order life in queue? BOTH HAVE THE 90 SECOND LIFE. NOTE - FROM 9:30 TO 9:33 - THE 90 SECOND RULE IS EXTENDED TO 180 SECONDS ..." Fohat
That's not true. SuperSOES orders can be cancelled immediately and in my experience it doesn't take any longer than with ECNs. There is a bug with IB's BEST routing algorithm in that respect, though, that can cause partially executed orders to be left hanging in the SOES queue under certain circumstances. When BEST works a marketable limit order that takes out all the liquidity within its price limit for a partial fill and all of that liquidity is provided by SuperSOES participants (MMs or UTPs) it fails to reroute the remainder of the order if an ECN shows up within the price limit simultaneously with the last MM moving their market. Instead of hitting the ECN the remainder of the order is left hanging in the SOES queue and manual retransmission of the order becomes necessary. This looks like a race condition in their routing code as it only happens if an ECN shows up before BEST gets a chance to put the remainder of the order on ISLD for display as a non-marketable limit order. Dave