"In many situations, I like to send flash orders, and find that they add to my profitability. For example, assume that I want to place a market order to buy a small number of shares (200, for example), and the inside bid/offer is 36.14/36.15 with plenty of size on both sides. I would much rather place a flash order, as this could lead to small price improvement, but more importantly I will very likely get a fill with reduced ECN fees than a non-flashed order.
On the other hand, if I want 2500 shares of the same stock, and the inside offer is only for 400 shares, then it would be a poor choice for me to send a flash order (which would likely get essentially front run by the firms seeing the flash order, to push up the price a few pennies."
Hi Eric,
Would it be possible to expand on these examples, for instance, how could the flash order lead to a price improvement and how would you become aware that you were being 'front run'? |
