Virtual Trader's Auto Execution

Discussion in 'Trading Software' started by mjt, Jun 14, 2001.

  1. Ahh but that is not what you asked!! Of course that would be the smart thing to do and we will all be happy when/if such a smart route occurs. To my knowledge there is no such smart route. Surely the programming is available, but the difficulty lies with the smart route having to cancel the SOES portion of the order when it sees new ECN volume, and the confirm on the cancellation will take a second or two by which time the ECN volume could be gone. Meanwhile the SOES order may have been next in the queue (no way to know)but now would be re-routed back to the end of the queue via a new SOES order. A dilemna for sure, and no VTS cannot program the route this way primarily due to the above.

    One can acheive the same effect with good execution skills when going long or covering a short, or shorting on an uptick, buy using multiple orders. For example, I often will put SOES orders to buy out once momentum presents itself, and I will simultaneously be going after any ECN volume. If both orders fill at the same time and I am heavier in the position than I wanted....I merely sell half at b/e or slight gain and manage the rest accordingly.
    #11     Jun 21, 2001