I've had TS6/Tradestation Securities doing a little automated strategy trading on a QQQ sytem, been doing ok, and added the SMH to the mix this morning. Just trading 100 shares of each on an experimental basis to see if this really works. Today at the close of the first 30 minutes the system generates a sell in the SMH. It sends a market "intelligent" sell order. I look at the IB screen and it shows AMEX 20.57@20.65 and ARCA 20.62 bid, good size on the bid, I forget what the offer is. Didn't look at the other ECNs. The order seems to take a little too long to execute, although the .62 bid is holding steady on ARCA. Anyone care to guess where I got filled? Yes, 20.57. I called TS and asked them what the deal was and they said all "intelligent" market orders go to the exchange. My order went straight to the Amex specialist without looking at the ecn's. Oh yeah, as soon as I got filled, the amex bid went to 20.65. Now, I have 10 cents per share per side slippage and commission built into the system for SMH, so I am ok on this trade, but giving up a nickel a side on a regular basis would certainly suck. I am going to look at the software that's out there that will interface TS6 with IB, and probably move this program from Tradestation Securities back to IB. Just wanted all to be aware that TS market orders for listed stocks are not routed to ECNs even if they are showing much better pricing than the exchange.
Don't ever use the IQ routing on TS6 with the QQQ's. Always use Island and with the auto limit feature. I've always gotten much faster and better fills using it rather than the IQ.
Recently, I did have a terrible fill on the E-mini's. Submitted a sell contract which wasn't filled for FOUR minutes so I submitted a cancel. There was no confirmation so I was about to call the trading desk when my original sell was filled . . . 23 minutes later! So much for electronic trading via Tradestation . . . . . I sent them an email two days ago . . . . no response as usual. What a bunch of LOSERS!!!!
Funny, I had a similar experience w/TS. I was attempting to calculate the NYSE Tick and NYSE Trin for some historical data since these symbols don't have a large amount of historical data on TS6. I plotted the advancing issues, the declining issues and the Tick all on one chart. Now I've read numerous places (I've checked over 4 different references) and the TICK is defined as the Advancing Issues - Declining Issues. Well, there were more places the Tick didn't agree with the Adv - Decl. After calling TS6 tech support, I had a lady inform me she'd check into it. (TS gets their data from S&P Comstock) 4 Days later, she calls me and says she has some feedback. She asks for my email (which she read back to me to confirm) so she could forward them to me. No email ... when I called back at the number she gave me to inquire where the emails were, no one had heard of her there. LOL ...
Don't know what you were looking at (do tell), but TICK represents the number of NYSE stocks whose last trade was an uptick vs. number on a downtick. What you're describing is sometimes referred to as "breadth," and moves much more slowly than TICK.