What route for DIA

Discussion in 'Order Execution' started by telozo, Jul 17, 2003.

  1. telozo


    A beginner question:
    What is the best route when trading DIA intraday, for small 0.2 swings.
    I am using Tradestation 7.1 and I have the option of selecting
    <B>Intelligent</B> (I got a lot of bad fills. sometimes 0.05 above the ask or bellow the bid, when trying to get out with market orders, and no fills at all when trying to get in with limit orders, even though a lot of trades crossed the tape at that price)
    <B>ARCA</B> (I have been using it lately with resonable results)
    <B>Super DOT</B>

  2. Haven't used TS for execution, but if you can SEE the bid / offer you want on an ECN, that's the place to send the order.

    Keep in mind that there's some lag in what you see and whats really there, especially if the market is moving fast. If you really want a quick , sure fill, put your limit a penny or two better than what you see.
  3. - do not route to NYSE or AMEX unless you want to wait unlimited and unknown amount of time of execution, even in the quietest of markets.

    - ARCA is slow, sometimes (many times) your order will hang and you will need to call them (on the phone) to check the status. Again, this happens even in a quiet market, and it happens a lot.
    Same is true for cancellation of orders. So be very wary of ARCA. ARCA also charges pass thru fees. I am not using TS but if their intelligent routing goes through ARCA, you are in trouble.

    - INCA - that's the ECN of choice in my opinion. Very fast, doesn't get stuck, very reliable.
    However, in a fast market there is simply no bid (or no ask) on INCA. The MMs are simply removing their bids and you simply don't have a bid or ask to hit.

    Bottom line is, ETF execution is a pain, I really got slaughtered with execution problems when i was trading them. Sooner or later you will probably have to face a decision to avoid scalping ETFs.

    PS the DIA SSF has a much better execution. Fills are good and instant. However you will pay a large spread.