Hi, Just wondering where you are sending your SPY orders. I seem to be getting pretty bad fills as of late. A lot of times I get put in the NYSE book and never get hit at my limit or get a medium to bad fill. Other times I miss my price on Instinet when it seems I should have been filled. And ISLD continues to get worse. (I don't have any of these problems with all the Nasdaq high volume stocks and always seem to get great fills on them). What are the best ways to route SPY limit orders now? Thanks
you shouldn't be seeing more than a couple of pennies slippage via ISLD. I trade the Qubes in blocks of 5,000 to 10,000 shares and generally get filled w/ minimum slippage. I haven't been able to find updated ETF volume comparisons for the various ECN's. Obviously since ISLD went to the "blind book" their volume tailed off -- but I believe they're still leading ARCA in ETF share volume.
Sorry if this is a little off topic, but I have a question for Greendog. If the only thing you trade is the QQQ how come you do not just trade futures instead of the QQQ. Aren't fees cheaper and better tax treatment for futures? Do you find some advantage to trading the QQQ over the futures or are you just more familiar with the QQQ? I was just wondering. Maybe there was some advantage that I did not think about.
I guess my main reason for trading the Qubes (instead of Futures) is that I use Futures as my main leading indicator for the QQQ. QQQ is extremely liquid and I can bury big orders quickly and efficiently w/out ever making a dent in the market.
The futures should be the same or better for liquidity I would think. So the futures lead the QQQ by a little bit? I did not know traders looked at the futures as a leading indicator for the QQQ. I assumed they basically traded and reacted at the same time. Thanks for the reply.