What Firms Scrape a Market Maker's Book??

Discussion in 'Trading' started by Bullet, Dec 6, 2006.

  1. Bullet


    Not sure if anyone can help me with this one, but here goes.....Does anyone out there know what firms (and please describe any experience you have with this topic) scrape a market Maker's Book (for NYSE)

    I am trying to find out how many firms have lines through a MER, LEHM, or BSC (or any other firm) but scrape their inventory before the order ever hits the floor.

    Also, how has the experience been for active traders that utilize lines that start out scraping a market maker's book.

    Any feedback with much appreciated.
  2. What exactly do you mean by "scrape?"
  3. Bullet


    By scraping the book, I am referring to when your market orders scrape the market makers book (i.e. the firms inventory) before hitting the floor.
    Basically I have found one gets very fast fills but terrible fills. When I have scraped the book My fills are always on the offer (i.e. never any improvement from the offer price) and sometimes above the NBO.... I have had to call LEHM several dozen times to get price improvement b/c I scraped their book and was "magically" filled outside the current market.
  4. You're talking about a broker dealer auto-filling you at the national best bid/offer from their own inventory, right? This is common with discount brokers, in conjunction with payment for order flow.

    If you're not getting filled at the inside quote on a market order you are getting ripped off.

    I don't think it is realistic to get any price improvement when routing like this. They are trading against you. But you can whack them in fast markets if you truly are guaranteed an instant fill.

  5. Traveler....are there any firms that do guarantee an instant fill? If so, what are some names and wouldn't they have a clause stating that this, i.e. the "instant fill", would not apply in a fast market condition?