Third market volume - where is it coming from?

Discussion in 'Order Execution' started by ArfdogPerson, Mar 26, 2009.

  1. I have traded C recently, and find that a very large % of prints are coded third market, instead of nms, nyse, or pse. I assume NITE prints there, and know edgx/a/ise does, but I can watch literally millions of shares print third market (far more than the displayed total of shares at that price) at my limit and still not be lifted. At present I have access to nite/citi/arca/nsdq/edgx-a, but it seems clear I am missing a major liquidity venue.

    What are the major volume sources for thrd? Is there anyplace that gives this data for listed stocks? I am trying to see what liquidity sources I could try to use in addition to what I have.

    Any thoughts?
  2. Surdo


  3. Thanks, this is very interesting. Does anyone have experience with any of the darkpools taking b/d correspondents with low order flow (say <500k/day)?

    Obviously NITE and ISE/edgx do, not sure if the ubs pool is linked to UBSS mm, and not sure if the CITI route I have seen at one firm I use can access the citi darkpool.
  4. Euler


    Could these be internalization ("internal crosses")? This is a way for brokers to trade against their clients without the "annoyance" of other market participants outbidding them, resulting in increased bid/ask spreads, of course (not sure why the SEC allows it still).

    Internalization now accounts for about 30% of orders, I think.
  5. Only the insiders can keep track of the games being played these days.