To the experts: Follow-up questions for NYSE trading

Discussion in 'Order Execution' started by kunde53, Jul 20, 2005.

  1. kunde53


    Thanks for your answers on my NYSE Open Book thread.

    Please allow me a few more questions:

    1) Which data vendor carries the opening indication data? I know Reuters does, but my broker, who used the Reuters data, recently switched to Esignal for their market data. I was a client of Esignal before that already, they do not offer any NYSE opening indications. Reuters on the other hand is too expensive. By the way: I do not mean the opening indications of stocks that are way off the closing price and are also broadcasted by DJ News etc. Every stock on the NYSE has an opening indication; this is the data I am looking for.

    2) You guys say that the NYSE Open Book is delayed. By how much, is that possible to tell?

    3) Why does it sometimes happen that e.g. NYSE shows an offer of 10k shares, I put in an order to buy 5k, seconds later the print is 10k and I have not bought one share? This is especially the case when the market goes the way I would expect it to go.

    Thanks for your promt answers. This is a real good forum.
  2. mnx


    as for #1 i have no idea...

    as for the nyob it is delayed by up to 10 seconds... my experience is that it is not usually delayed by that much. ususally 3 or 4 seconds is my guess...

    as for #3, that would mean that someone sent in their order before you. (and nyse has slow quotes which is always the case)

    have fun!!


  3. #3:

    if you have a limit. it is first come first serve. there could be other limits ahead of you or market orders.

    if you have a market order, the specialist can take his sweet time to fill your order. i have had market orders that took over 3 minutes to fill before.

    but the simple answer is that someone was in front of you whether it was a limit or market order or some crowd buyer/seller.
  4. Many reasons. First of all, a market order gets priority over a limit order. So it is possible that there were market orders sent into that 10k. The print could have also been negotiated earlier on the floor so you could have actually been seeing a delayed quote.

    Now realistically, if the offer is meant to be taken out cause the stock is going up, no matter what you do with your order (except for NX), you are in line with everyone behind the good ole boys club. The specialist & floor traders will try to force you to pay up as much as possible and create situations where you will not be able to get stock even though it looks like you should.
    At times you will see this and probably have, when you hit the offer with your size, nothing gets executed for a few seconds even though you locked the offer. Then the offer gets printed and your bid is sitting there and ends up creating cushion for momentum as the stock rips. You might pay up and get scalped by the specialist, you may not but either way, you did not get the offer because NYSE & gang sees a chance to screw out and they will do it even for a dollar.

    If the offer is in the Open Book, just cross it, preferably before it is shown in the quote. Better yet you can pick up the daytrader/program shares that keep pennying it & shorting.
  5. I was wonder if most NYSE traders use direct+ to execute. I assume that most people are not trading more than a 1000 shares at a time. Is it a garuantee that you will be executed at BBO? If so why aren't more people using it?
  6. #3 is cause specialist bought (or a 2c broker buddy of his) bought in front of you and will flip it to you at no risk to scalp you (or someone else's market order ) for a quick 10c

    5000 shares at 10c ...10x a day is a nice 1.25million a year extra in his pocket

  7. mnx


    yeah I usually have my default set to 1000 shares so I can hit the bid/offer and get filled and I'll trade whatever amount i feel like when I'm adding liquidity (posting bids and offers...)

  8. Nordic


    Try putting your buy limit a penny above the offer. Sometimes you will participate in actual offers print. Other times you may print as the new bid ( unless the stock is running)
  9. I have found that when i trade 1500 share lots and i try to cross to the book i always get screwed out of fills like others have mentioned, and i am way better off just keeping to 1k lots and hitting the key twice in a row to use the NX feature before a crossed book order for more than 10 lots is filled.
  10. danjos


    Has anybody who use OB also make use of LQ (liquidity Quotes)?
    LQ seems more accurate sine it reflects orders from the floor and specialist interest and is avialble to be executed for the size and qty availbale. But my understanding is that only big insitution can use this. From NYSE sire, I read that they will take this out next week because the term for the pilot project is over. Some vendors carry OB along with LQ but mostly only OB. I also do not know how often this thing get updated.
    #10     Jul 23, 2005