tricks for moving up in the order book queue?

Discussion in 'Order Execution' started by nocloud, Jul 25, 2012.

  1. nocloud


    Does anybody know any tricks to move up further in queue on the order books? I'm facing the issue where a lot of my limits aren't getting filled. Do smart order routing strategies actually give improvement in this area?
  2. Trade automated +
    Reduce the time it takes market data to reach your signal/strategy processing hardware +
    Speed up your signal and strategy processing +
    Reduce the time it takes your orders to hit the market
    = become an HFT player

    Or, avoid strategies that involve placing limit orders at the top of the order book (where the queues are longest and the competition fiercest)
  3. Bid higher, if you're trying to buy.

    Ask lower, if you're trying to sell.
  4. How badly do you want the fill?

    Put your limit order out on NASDAQ OMX BX (Boston Exchange).. or one of the other free/paid to take ECNs.

    or Christ man.. read the tape, hit up what's actually printing.
  5. And even then, the 1 lot ahead of you could be an iceberg..
  6. Depends on the ECN, but quite a few ECN's don't let icebergs refresh til other orders have been filled first.

    Each ECN has different ways of handling order fill priority, you'll have to do some research and figure out which ECN works best in a given situation for your given strategy.
  7. nocloud


    I'm not familiar with the terminology, but what is an iceberg order?
  8. "An order that replenishes the displayed order size as executions are received. A minimum of 1 Board Lot must be displayed and only the disclosed volume will have priority at the given price level."

    Details may vary between exchanges, but that's the gist of it.
  9. nocloud


    that seems like a very unfair order type. is everybody allowed to submit iceberg orders or is this only for market makers?
  10. IB supports it. Hidden/Display size.
    #10     Jul 26, 2012