4 ms·
I'm not an expert but I believe you are incorrect. What you are suggesting is that the broker could perform a "trade-through", which was allowed under the old I
by tpeng 13y ago
I'm not an expert but I believe you are incorrect. What you are suggesting is that the broker could perform a "trade-through", which was allowed under the old ITS rules. Under the Order Protection rule, trade-throughs of even 100 shares are explicitly prohibited. Reg NMS is very strict and that's why it is so controversial. My understanding of Thor is that it does not trade through, but it executes at all relevant exchanges near-simultaneously by delaying order routing to lower-latency exchanges. This prevents HFTs from sniffing your order at one exchange and beating you to the next.
- tptacek 13y agoI too raise my "not an expert" flag and await corrections from 'yummyfajitas or 'kasey_junk.
- minimax 13y agoThere are a number of possibilities depending on whether you send in a routable order (it's a flag you can set -- route or don't route, and there can be fees associated with routing). What a sophisticated trader would do is send two orders simultaneously taking out the small 100 lot at 30.01 and the 10,000 at 30. The exchange with the larger but worse price order will accept your order if you set the ISO flag, indicating you have sent orders to clear out better priced orders at any market centers displaying a better protected quote.