Volume share question

Discussion in 'Order Execution' started by Bob111, Jul 30, 2013.

  1. Bob111


    Where can i find information about % share for each ECN on nasdaq stocks. i mean-how many shares for nasdaq stocks are traded at BATS,INET etc. i want to route my order to the exchange,where those stocks traded the most. i understand that you can route it's anywhere,but 'they' will find their ways to screw you anyway,but imo those stats can be useful.
    another question is sort of specific to IB-


    what is the difference between BATS (BYX) and BATS Global Markets?

    when i route my order to ISLAND-where did it go? INET? what is the INET? why i can't route to the NASDAQ?(there is no such option in TWS)

    Thank you!
  2. Not sure with IB but with Esignal there are codes for each one and you can get it directly on your chart. Like NYSE is N. so for NYSE IBM trades you type IBM=N etc.

  3. Bob111


    that's pretty neat. i was asking IB many times for such feature

    found some numbers here-


    but they didn't make any sense to me,cause i have no idea what all those 'abbreviation' letters mean(and there is no explanation of it on their site)
    NASDAQ BX(B) :confused:

    same for NASDAQ(INET?)


    also interesting info in monthly share volume. it's shows that nasdaq matched volume keeps going down every single month from 30% down to 15%(which somewhat confirms my observations) and partially explains why my fill ratio also keeps going down. shares are traded,but they are traded 'some place else' . most of the time now. making basically impossible to get fill AND accurate results in back testing(specially on not so liquid stocks)
  4. Occam


    Nasdaq / INET / Island cal all refer to the Nasdaq (as of 2013) due to acquisitions; these are present as "legacy" names within brokers.

    As far as market share is concerned, it's also interesting to note that the proportion of "handled" volume remains somewhat more constant. Since Nasdaq includes FINRA TRF volume in their "handled" volume while at the same time the Nasdaq exchange volume decreased, you can see that the TRF volume has gone up significantly over the past few years. This is predominantly broker/dealer internalization, selling order flow to wholesalers, and dark pools. If it gets too extreme, we'll have a market where basically the market is dark and the price you get is whatever price your broker decides to give you on the trade, with them as sole counter-party, an arrangement that doesn't work out so well for the client, on average.
  5. Bob111


    this is also confirms my observations of the current markets and it's probably going to get worse. up to the point you described.
    which is essentially bring us to exact same place where we are 20 -30 years ago. isn't great?(for all of you,who are all in,protecting all those HFT's,liquidity providers,internationalization,pay for order flow and all shit that would reduce the commissions? yeah..you got your commissions low,but you killed the liquidity... now what?

    for whole entire day i was trying to unload few hundred shares on 'not so liquid' stock with 100K shares average volume. it was a f** torture..doesn't matter at all,where i place my order. at any price level(even where i first in line and having bigger size)-there is always someone ahead of me,trading THOUSANDS of shares at my price and i got ZERO fill. not even 1 fucking share. second you move your bid lower-there is will be another 1-5K shares traded at this price or your initial price. it is fucking impossible to get filed in this market at bid and sell at ask. only if someone steps on your bid or ask and price is about to go against you from there(short term). PERIOD
  6. The exchange companies (like Nasdaq and Bats) now run multiple ECNs to offer different pricing and features. Nasdaq runs Nasdaq but also Bosten (BEX) and Philadelphia (PHL). Bats runs the main bats exchange (BATS) and also batsY (BXY).