Hi Dustin; Re ISLD and subscriber only orders...
I've noticed that on some stocks, like RMBS, orders on ISLD that are entered from Cybertrader with the hidden bit set are not shown in the ISLD book, either on isld.com or on the direct ISLD book. But on other stocks, particularly on very illiquid small caps, similar orders are shown.
The ISLD website has an explanation for hidden and subscriber only orders. My understanding is that the difference is that hidden orders are invisible to everybody, while subscriber orders show up on the book, but are not advertised to the Nasdaq.
A note on the dynamics of hidden ISLD orders, as per Cybertrader:
(1) Visible orders take precedence. If there are two orders to sell RMBS at 155, with one visible and the other hidden, the visible order will be filled first by a market buy. (I.e. a buy order with a price higher than 155.)
(2) Hidden orders that are filled do not result in prints. If the stock is one that supports hidden limit orders, like RMBS, then the ISLD book (available at www.isld.com) will not show prints that are filled by that order. The orders will show on the Nasdaq, provided they make up the 100 share minimum, though.
(3) Hidden orders may be placed as close as 1/256th below or above visible orders, and will then gain precedence. This is kind of useful, when you are trying to avoid guys covering your orders by a 1/256th, particularly on DELL, for instance. If they can't see your order, they won't know to cover it.
It is possible to detect the presence of a hidden ISLD limit order. If you bought shares at a price that was a little better than you expected, take a look at the ISLD prints. If no ISLD print shows your fill, then either you have a system problem, the market is running too fast for you, or you transacted with a hidden limit order.
Every now and then, hidden orders can have real size. As bigger and bigger players use ISLD, you can expect hidden orders to increase in importance.
When you see no ISLD prints in a situation that you would suspect ISLD prints to occur. (Stock going up, thin ISLD offers at or below the offer, and Naz prints going off at the offer, for instance.) You can check for the hidden (sell in the above example) order by buying some test shares. If they don't show a print on the ISLD book, (and ISLD shows prints as small as 1 share, generally), then you can assume a hidden order.
This is sort of similar to the situation when INCA keeps refreshing. One of the secrets to excellent direct access trading is to thoroughly understand the ECNs, by the way, IMHO.
-- Carl
P.S. Notes from the ISLD web site:
Can be "Y" for normal, "S" for subscriber only, or "N" forinvisible. Normal orders are displayed on the Island book and are calculated into the ISLD quote on NASDAQ. Subscriber only orders are visible on the Island book, but are not included in the ISLD quote displayed on NASDAQ. Invisible orders are not seen on the Island book nor are they reflected in the ISLD quote. Invisible orders have lower execution priority than subscriber only and normal orders.
Invisible orders are not displayed on the Island book, they are not disseminated on the Island data feeds, and they are not included in the Island quote. They are bad for price discovery.
An order that has either a Minimum or is Invisible has less priority that an order that does not, that is if an order with a restriction is entered before an unrestricted order at the same price, the unrestricted order will execute first.
Subscriber Only orders are identical to normal orders, except that they are not included for display in the ISLD quote on NASDAQ. They are visible to anyone with access to the Island book and have the same execution priority as unrestricted orders.
isld.com |
