Those pesky Dark routes on the limit

Discussion in 'Order Execution' started by londonkid, Jun 8, 2012.

  1. londonkid


    so I sit there all day watching stacks of volume getting filled on dark routes where I want to get filled.

    I have tried using the DB9 route, it does get a few fills but costs $3 per 1000 to ADD. that is expensive.

    anybody got any ideas where I can get decent volume fills in the darks, the quicker/bigger the fills the more I am willing to pay.

    come on you lurkers, spill the beans... drop me a pm.
  2. 1245


    What does DB9 stand for?
  3. londonkid



    sorry I have absolutely know idea, its a route on my Sterling. I believe it chops up your order and routes across 10 dark pools.

    tried googling it, nothing. maybe its connected to the Aston Martin DB9, presumably because who coded it is now driving one!

    mysterious dark pools huh.
  4. 1245


    Now this is a DB9:
  5. DB9
    provides seamless access to about 10 dark liquidity sources, seeking out liquidity with minimal market impact and information leakage. Breaks up trader’s order and rests in various dark venues. As fills occur, Stealth intelligently allocates the order across the pools to help fill orders with high quality executions. By trading within the NBBO, and often at mid-point or better, Stealth offers price improvement opportunities. It can also take advantage of hidden order types on exchanges if the client would like. It is an excellent working dark order type (as opposed to NIX which is more of a market sweep).

    SMART CHEAP offers traders the opportunity to find available liquidity at a low cost (always less than 2.1 dollar per thousand). Orders will source liquidity from the most efficient dark pools as well as cheap ECN and ATS venues. Executions occur at various price points and are identified in fill reports as flag 0 through 6. Please notice that a regular SMART ORDER is going from 0 to 8. SMART CHEAP will stop routing and cancel back the order if it has to go to destinations with 7 or 8 for flags.
    Overall benefits of SMART CHEAP include: Overall lower trading costs when removing liquidity Access to the most efficient dark liquidity venues in a single route Avoid paying more than 2.1 per thousand by only pinging cheaper destination. Ultra-low latency smart routing

    is a route that allows you to access the liquidity available at midpoint of the NBBO.
    If you are not in a hurry to get into a stock and the stock is not moving violently, it might be smart to send an order on SMARTMID before you send on SMARTEDGE as you might be able to save half the spread.
    SMARTMID works similar to XFINDER and ARCAMPL.
    The steps to follow if you want to buy at midpoint you need to bid at the offer price, if you want to sell at midpoint you need to send an offer at the bid price.

    SMART TAKE: New Smart route to remove liquidity at a fix cost of $2.25 per thousand shares. It offers you the possibility to remove liquidity at a low fix cost. Similar to SMARTEDGE but cheaper (the cost is 2.25 per thousand shares). SMARtTAKE is very fast and will route to any destinations available. It is best suitable to Swipe large quantity of liquid stocks. No information about your orders go to DARK pools (DARK PINGING) like SMART or SMART CHEAP. SMART TAKE if acting as we expect should replace your ROUX orders or SMARTEDGE orders
    You should not try to post passively with SMART TAKE because you would not get a good fill rate and you would also pay a high fee considering you add liquidity.

    Overall your best bet is to use SMARTMID when the spread is a penny. The largest order gets priority rather than price/time priority. You place the order at the bid price to get long or ask to short. You either get filled at your limit price or the midpoint of the spread.