Gary and Greg, here's my understanding of Datek order routing. Non-marketable limit orders are immediately placed into the ISLD limit book, and represented on Level 2 if it improves the inside bid/ask (between the spread).
Marketable orders originated by a Datek customer are first checked for an ISLD match. If its there, the execution is virtually immediate. IF not there, the order is still automated, and is Selectnet'ed out to a Nasdaq MM for a fill. Here's where delays can occur. Selectnet rules state that a MM can basically sit on the order for 30 seconds while decided to fill or backoff the inside quote. If the MM backs off, the order is automatically sent back to Datek, where the "system" looks at ISLD again, and if no match, is Selectnet'ed out again (possibly another 30+ second round trip). In this way, its very possible to get multi-minute fills in very fast moving stocks. Its happened to me many, many times. While this is going on, it can be almost impossible to cancel an order.
For this reason, to trade effectively with Datek, I feel one needs a Level 2 quote. This provides instant knowledge of ISLD, and of the overall MM view, and likelihood that an order will get a quick fill. Generally, even if ISLD is not on the inside quote, if there is a MM with size, or multiple MM on the inside, you can expect a sub 20 second fill via Selectnet. If ISLD is on the inside, the fill (and confirm) is sub 2 second.
gary |
