Where Are The Fastest Fills>>>>>>>>>>

Discussion in 'Order Execution' started by newycity, Apr 8, 2006.

  1. newycity


    I am having trouble with my automated trading strategy. It only works if i can get filled within 10 seconds. At any given time i may need to buy only 100-300 shares of maybe 50 stocks. My problem is timely execution. I have nx nyse orders, inet orders and arca. I may be missing fills by seconds and then wasting time with the auto re route, and ulimately limit orders changing over to mkt orders and fills coming in over 1 minute at times. Does anyone know of the fastest way to go aout this?? its frustrating as hell.......
  2. nitro


    You need true direct access. What is likely happening is that by the time your order gets to your broker, then gets sent to the exchange, most of the stocks you are trying to execute against have already moved.

    And you are probably missing executions by fractions of a second, not seconds.

  3. nx and sdot suck many times. and many times when your orders enter a nyse srtock might have a wide spread and only 1 on the bid or ask which means it takes awhile for a fill
  4. tomhaden


    newycity, what broker are you using?

    10 seconds for a market fill on 100 to 300 shares? Thats some really bad fills.
  5. newycity


    i am using sterling technologies as my software. clearing pax. what types of orders will give me fills?? market or limit or ask+.05 and on what ecn. these are mainly ny stocks but we all know how specialists handle orders.. so i'd rather not even bother with them especially if i am willing to give up a few cents on most stocks..
  6. You either aren't hitting the bid/offer fast enough or your software isn't good enough.

    Check out Assent - Hammer/Anvil are both awesome or Prestige Capital - Blackwood is a copy of Anvil.
  7. Dustin


    Have your bot try this order:

    1)Sweep any ECN's at or below NY offer
    2)Have bot check for >100 shares on NY L1 and NX those
    3)Then send a limit DOT order at +.05 over offer, or whatever you are willing to pay up.

    Best way I can think of...
  8. What broker/platform are you currently using?