Discussion in 'Order Execution' started by Daal, Apr 23, 2012.
Is it still BATS?
NSX is the highest
Depends... Are you taking or providing liquidity?
Does your strategy require you to be at the front of the line?
Adding. It doesn't.
hmm.. by a tad (0.0026 vs 0.0025). But look at volume. I am looking today and looks like 256k shares of SPY traded on NSX while 19million of them traded on BATS.
If you are adding liquidity do you want to get paid the most or filled first?
If you want to get paid the most that's usually a very competitive space. If you want to get fills think about where traders go when they need to take liquidity.
That's a pretty mysterious response. Care to elaborate?
I know you're not asking me, but I'm confident in saying that this is an incredibly comlplex problem. Exchanges are adding ever-more complex (and rapidly changing) pricing schemes and order types in an effort to differentiate themselves in a market where differentiation is getting ever harder, even as volume shrinks and B/D internalization rears its ugly head in defiance of a (haltingly) opposed SEC that wishes otherwise.
I think the investing public would be better off if all venues adopted identical pricing for adding vs. removing liquidity (rather than favoring adders or removers over the other), and B/D internalization and payment-for-order-flow were explicitly banned. But of course many B/D's wouldn't like this (as the present system gives them backdoor income at the expense of their retail clients) .
I'm using limit orders to exit a stock. So far I have found that NSX provides a bit of savings over BATS
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