Could someone please help me out with these questions? (I'm a new trader who started trading NYSE stocks with a retail broker in the middle of last year.)
1. TRF Volume!
Volume executed on alternative trading systems are required to be reported to the Trade Reporting Facility within 90 sec. Each day, about 30% of the total Tape A volume gets reported there. (http://www.nasdaqtrader.com/trader.aspx?id=FullVolumeSummary) Meanwhile, volume from dark pools are estimated, by Rosenblatt Securities for example, to make up about 10-15% of the total volume executed. So I'm wondering where the remaining 15-20% of TRF volume is coming from. Is it coming from internalized matches of broker/dealers? But wouldn't this be done in dark pools? Is there something that I don't understand about the TRF number?
2. Execution speed for limit order!
For high volume stocks, the speed for executing market order isn't a big concern. But when it comes to limit order, getting filled quickly on a retail platform can be difficult. I realize that prop traders can cut in front of the line with their access to NYSE floor brokers and unfair subpenny hidden orders/midpoint orders that retails traders have no access to. Nevertheless, are there someone out there, perhaps knowledgeable prop traders, with experience with different retail routings? Under the SEC 606 disclosure, for example, TD Ameritrade sends a big chunk of their non-directed limit orders to Citadel Execution Services. Schwab, on the other hand, send theirs to UBS Securities Market Making unit. There are also brokers who send to Automated Trading Desk (ATD). The question is with high volume stocks which of these market makers provide the fastest limit order execution?
3. Best broker or prop firm? "Best" for me would mean fast limit order execution with low commission structure. It's unfortunate that retail brokers don't connect their customers with EDGA routing which would probably be very fast in certain curcumstances. Any retails brokers out there that do? Most or all prop firms likely will have EDGA, but from checking out a number of prop places by phone, the average cost per share isn't that much cheaper from what I'm currently paying. Prop access to dark pools are beneficial, but those dark pool routes seem to cost a lot of money too. I execute over 10 millions NYSE shares per month and the average cost per 1000 shares comes out to be around $1.20-1.25. Any suggestions here?
Thank you for any inputs.
1. TRF Volume!
Volume executed on alternative trading systems are required to be reported to the Trade Reporting Facility within 90 sec. Each day, about 30% of the total Tape A volume gets reported there. (http://www.nasdaqtrader.com/trader.aspx?id=FullVolumeSummary) Meanwhile, volume from dark pools are estimated, by Rosenblatt Securities for example, to make up about 10-15% of the total volume executed. So I'm wondering where the remaining 15-20% of TRF volume is coming from. Is it coming from internalized matches of broker/dealers? But wouldn't this be done in dark pools? Is there something that I don't understand about the TRF number?
2. Execution speed for limit order!
For high volume stocks, the speed for executing market order isn't a big concern. But when it comes to limit order, getting filled quickly on a retail platform can be difficult. I realize that prop traders can cut in front of the line with their access to NYSE floor brokers and unfair subpenny hidden orders/midpoint orders that retails traders have no access to. Nevertheless, are there someone out there, perhaps knowledgeable prop traders, with experience with different retail routings? Under the SEC 606 disclosure, for example, TD Ameritrade sends a big chunk of their non-directed limit orders to Citadel Execution Services. Schwab, on the other hand, send theirs to UBS Securities Market Making unit. There are also brokers who send to Automated Trading Desk (ATD). The question is with high volume stocks which of these market makers provide the fastest limit order execution?
3. Best broker or prop firm? "Best" for me would mean fast limit order execution with low commission structure. It's unfortunate that retail brokers don't connect their customers with EDGA routing which would probably be very fast in certain curcumstances. Any retails brokers out there that do? Most or all prop firms likely will have EDGA, but from checking out a number of prop places by phone, the average cost per share isn't that much cheaper from what I'm currently paying. Prop access to dark pools are beneficial, but those dark pool routes seem to cost a lot of money too. I execute over 10 millions NYSE shares per month and the average cost per 1000 shares comes out to be around $1.20-1.25. Any suggestions here?
Thank you for any inputs.
