I wouldn't be too quick to lay the blame on CyberTrader for lack of fills in a fast market. I suspect the real problem is with the Nasdaq system/rules.
Unfortunately, Nasdaq rules heavily favor the market makers and hurt the individual investor. Electronic brokers have been adding 'smart order routing' to help the individual investor quickly route a SelectNet order to the right market maker at the inside market. CyberTrader has 'smart keys', MB Trading (and other RealTick brokers?) have ARCA, and NAIB (whom we both recently contacted) have their version of a smart order router.
The problem with these systems??? As you have noticed... ==> THEY (ususally) DON'T WORK!!! Why, you ask? Well the problem (IMO) lies in the rules that govern Nasdaq. Particularly troubling are the following rules:
1) Market makers can now quote their size as small as 100 shares,
2) Market makers can remain at their current quote for up to 17 seconds after an execution, then remove their quote without filling an additional order.
I don't doubt that auto routing systems do exactly what they are advertised to do: Route your order to the market maker at the inside bid/ask. The problem is that this market maker will NOT fill your order unless the stock is about to quickly reverse its course. The result: You will not get filled on 'profitable' orders, but will get filled when it is least desirable.
For example, if I were a market maker... I might be on the bid on a fast moving stock as it is dropping fast. I would fill my 100 share order, then wait for 17 seconds (all programmed into my computer, of course!). After 17 seconds, I would further evaluate the direction of the stock and the market as a whole. If it appears that the sell orders are still accelerating I would drop my quote to the next level down. Then I would fill 100 shares on one more order and wait for 17 seconds to reevaluate the direction of the stock and market. This would continue until it became apparent that the selling pressure was subsiding in the stock. Note: At this point, there is a very large queue of SOES market sell orders and SelectNet preferenced orders which are waiting for me to potentially fill. I execute against all of them (perhaps 20,000 shares). This fills the remaining selling pressure and the stock quickly rebounds one point and I make a tidy profit. Note: I am filling only a minimum 100 share execution every 17 seconds and backing away to the next level until the stock appears to be turning, then I can fill all of the large number of orders waiting in the system at the absolute bottom of the swing and maybe even go 'high bid' to shift the market direction for a swing up => then unload my shares for a nice profit.
I don't know how clear this has been, but I believe your problem is more related to the market than to CyberTrader. Be careful before trading one 'problem' broker for another.
Good luck,
-Eric |
