Seems so.
1) About NYSE/AMEX
I did many orders in heavily traded stocks like TBR,AOL, CD or LU. Despite the order "transmission" time, ie the time between entering it into the system and appearing as new bid is longer than on the nasdaq, executions are fast and along with other ones - and - reliable.
Moreover especially on the NYSE, more than at the AMEX, orders are executed at traded prices. On my ALA trades where I sold ALA short, I was filled better than the bid when the traded price was above the bid. I didnt believe but daily activity has shown it up. It really happened.
2) Nasdaq experience
This never applies to the Nasdaq, where I have quote as tight as possible, especially in "slow" spread trades.
NEVER EVER USE A MARKET ORDER IN A RUNNING NASDAQ STOCK. The lower your buy limit, the better. In a fast market with swings by the dollar one gets any limits easily filled - as long as ISLD orders are taken.
(I was cut 11/16 dollars - far above the ask - when I bought a running NSCP at market, simply because I was too lazy to think about a suitable limit.)
2a) The first half-hour on the naz is almost for the birds. Depending on the market direction it appears sometimes hard to sell / or hard to buy a stock, even with marketable orders. On Fri, this happened to DIGI when it shot up at the opening. Despite a slow execution, I did not get a price improvement, even when I saw the bid moving 1/4 above my selling limit. Cost another $250 for a small block.
2b) Depending on the stock, but I have seen it on certain ones with low turnover (and a hidden story?), inside market bids do not help. Sometimes other MMs jump to the bid and I see executions at my price but I do not get any executions. Trading at the bid/ask is sometimes healthy, but costly.
2c) Orders of 1000 or 2000 shares are treated somewhat better than smaller orders. But I do not know the reason for that.
2d) An urgent question: Under certain circumstances, Datek System issues "Order timed out". How come? I have seen this on friday at 15:50 ET. I entered a marketable short sell of 500 shares. A limit order with limit at the bid. I sold 100 shares which is a nuisance. The rest of the order was cancelled with the obscure "Order timed out: Sell 400 of XXXX" message 1 minute later (???).
Christian
PS: Does anybody have experience with complaints against Datek about incomplete fills/broken trades/off market prices? |
