It is my understanding that market orders at Datek are broadcast on Selectnet only, with supposedly no human intervention
Len, here's how order routing at Datek has been explained to me. Any marketable order (market or limit), is immediately checked against ISLD for a match, and if found is filled.
If no match is found, it is auto-preferenced to a MM (I guess at the top of the queue??) sitting at the inside bid/ask. That MM has some amount of time (30 seconds???) to fill or its looped back to Datek, where it attempts another ISLD match, and if not found, the process repeats.
This 30 second??? time lag is where a problem may lie. They insisted to me that if the market moves away and the order is not filled by the MM, then they don't even see the order again for this 30 second period.
This is why market orders sometimes get REALLY slow fills.
This was explained to me by a "supervisor". Admittedly, it could have have been the old "hey, I got a complainer here, who wants to to be supervisor next" thing...
Also, I should add, that lately, Datek has been nothing short of awesome for all my orders. Of 5 marketable limit orders today, all filled in 0 or 1 second.
OT-- missed you at the tailgate. Cooked up awesome Filets. Hope to see you at the Denver game.
Gary |
