[ Datek Executions and Patterns in Random Noise ]
The human brain has evolved to be excellent at pattern recognition. That's how our little brains are able to make sense of a complex world. If there is no statistically significant pattern, your brain will see a false pattern. This is a source of great difficulty for many traders.
It is amusing to see the broad conclusions that some people can draw from the results of a few trades on Datek. Remember the guy who incorrectly set the limit price on an order, which then was executed? Based on this single trade, he cooked up a theory that Datek generates extra profits for themselves by intentionally changing limits on customer's orders.
In the message to which I am responding, Zvi Yammer writes that he placed a Datek order by calling on the phone and speaking to a human. He got a good execution price. Based on this result, he has fantasized a detailed theory of how trading at Datek and NASDAQ works:
When you call Datek, the person who takes your order does not route that order in the same way as one received over the internet. Instead, they will get on the phone and start calling all of the market makers. By personally "working" your order, they are able to get you a better price than the quoted bid/ask. He recommends that people call Datek instead of using the internet, so that they too can get better execution prices.
Zvi was responding to Quaddad, who explained that with his other broker he had bought at the bid and sold at the ask, three times. He submitted orders on Datek to buy at the bid and sell at the ask, but these were not filled. Based on his three trades he has concluded that his other broker will get anyone any price they want, but on Datek people are forced to trade at the quoted market.
Well, that's enough rambling for today. By the way, I see Datek has finally changed the tip of the day. The new one states: "For faster executions, cancel your order". It's nice to see them confirm something that we have suspected for months. |
