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Other Execution Hints

This article is an abstract of the book:
The Complete Guide to Daytrading

Always execute against ECNs first because they provide the fastest fills. Check the share size first.

Use Island ECN, it's the fastest, cheapest and provides good liquidity.

If no ECN is available, we recommend that you SuperSoes

If no ECN and SuperSoes will work for you, preference a market maker outside the inside market to increase your chances of getting filled. Do this if you are under pressure.

For example, when buying: a stock is moving up, no ECNs are available. You really want this stock at any price but you are almost sure that you won't get the current Ask price anymore because you can already see a number of buys at this price on Time and Sales. So you preference a market maker at a higher price than the best Ask to get his immediate attention and to increase your chances of getting this stock.

When selling: You are stuck in a stock and it's selling fast. No ECNs are available and you can't use SuperSoes for numerous reasons (partials, the queue is already full, not many market makers available etc.). You preference the most active market maker well below the best Bid to get his immediate attention and to increase your chances of getting a fill.

Remember, Level II is always one step behind. Market participants react to movements, they don't make them.

Watch Time and Sales for blocks, pace and trades outside the inside market.

Avoid market orders. Use them only if there is no other way to enter or exit a trade. Otherwise the spread in some stocks will kill you.

Watch out for heavy volume in stocks because these can cause delayed quotes. You could get fills at a price far outside the inside market because your quotes are not up to date. Quotes are usually delayed at market open.

Always try to save the spread or split the spread. If you want to jump ahead of other traders, increase the Bid or decrease the Ask, for example, with 0.1 increments.

Read more about order execution, Time& Sales, Level II training etc. in the book The Complete Guide to Daytrading

 
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