What does regular trading hours mean

Discussion in 'Order Execution' started by ProgrammerGuy, Sep 28, 2007.

  1. So,

    if you have a buy limit order at, 100.00 and it is routed in ISLAND. and is marked as "exhange hours only"!!!!

    Say at 9:30: and 20 seconds the price is 101, then it drops to 99. This is all going on at ISLAND

    Then the specialist at the NYSE opens up and the first print is 99. Are you filled?

  2. If you play listed stock openings, why don't you send your orders directly down to NYSE?
  3. Probably not, since the primary exchange hadn't opened yet from your example.

    And, yes, route your orders to NYSE initially, but wait for a "Do Not Ship" order type (DNS) if you're going to use a "Day" order vs. an "Opening Only Order" (OPG) or you may get re-routed to an ECN based on time frame and or price.

  4. I trade on IB. if you send the orders directly to the NYSE it costs .013 / shares. However if you route it to SMART it only costs .005.

    This of course occurs if you use the IB API, if you manually enter in the orders this doesn't happen.
  5. Don,

    Thank you for your help time and time again. I've called Interactive Brokers several times and (3) have said that it will get filled.

    What is the advantage of routing the orders directly to the NYSE vs an ECN? It is not an OPG

  6. I also use IB & C++ API, and my TS trades NYSE listed stocks only, but I chose to send orders directly to NYSE because it's way faster. For my TS execution speed is vital. BTW, IB API sucks, I'm planning to write a FIX adapter so my TS would be abstract from any broker...
  7. If you send it via a smart route, they may send it to an ECN that charges you a heck of a lot more I'll bet. (Not sure with IB).

  8. Spec,
    what is your TS?
  9. It exclusively does NYSE tape reading, and I'm trying to put the knowledge about different patterns I see in stock behavior. It's pure tape reading - no indicators scrap. TS itself is written in C++ from scratch - it's fully abstracted from any broker API or data feed provider, and has it's own order, position, and risk management systems. When I finish writing FIX adapter (thanks to quickfix), I'll concentrate 100% on tape patterns.
  10. wow that's interesting. So when you mean tape reading all you're talking about is the ticks right? like if the ticks are bouncing around like crazy that might mean something where as if they are slow and steady that might mean something else.

    Do you collect data on these tick reads, and do some type of backtest or perhaps having been a discretionary trader you just program your ideas?

    #10     Sep 28, 2007