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At which exchanges are US stocks (e.g. S&P500) being traded?
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At which exchanges are US stocks (e.g. S&P500) being traded?

  #1 (permalink)
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At which exchanges are US stocks (e.g. S&P500) being traded?

Hi guys, I would like to understand on which exchanges US stocks will be traded, lets say the one`s included in the S&P500. I know about the NASDAQ and the NYSE, but what about AMEX and NSADAQ OTC or so? I would like to see L2 data, thats why I ask, but I would also like to understand if the number of stocks being traded at NYSE and NASDAQ is relatively high or low compared to the supposed totals of ordered stocks for an instrument. We dont need to talk about iceberg orders or so which one can`t see etc..
IB offers L2 for NASDAQ and NYSE, do you think this might get quite a good insight in what happens there for the most liquid stocks?
Many thanks and greetings to all of you from Germany

PowerM

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  #3 (permalink)
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Market share March 2014, turnover USD, source: Reuters

- Finra ADF , 31.3%
- New York Stock Exchange (NYSE), 10.8%
- NYSE Archipelago (ARCA, Chicago), 13.2%
- Nasdaq 19.6%
- Bats Stock Exchange BZX, 8.8%
- Bats Stock Exchange BYX, 2.2%
- Direct Edge EDGX, 6.9%
- Direct Edge EDGA, 2.5%
- Boston, 3.1%
- Smaller stock exchanges (Philadelphia, Chicago, CBOE, National Stock Exchange), 2%)


Alternative Trading Systems (ATS) / Dark Pools :

Nota: Market share see FINRA/ADF above. ECNs are fully electronic ATS.
There are currently about 45 dark pools for US stocks.
http://www.sec.gov/foia/ats/atslist1113.pdf


Here is another list that I found (certainly outdated, as I cannot find IEX), but it gives you an idea of the diversity of the various trading venues for US stocks, bonds or currencies.

Independent dark pools

Instinet
Liquidnet
NYFIX Millennium
Posit/MatchNow from Investment Technology Group (ITG)
Pulse Trading BlockCross
RiverCross Securities
SmartPool
TORA Crosspoint
ETF One

Broker-dealer-owned dark pools

Barclays Capital - LX Liquidity Cross
BNP Paribas - BNP Paribas Internal eXchange (BIX)
BNY ConvergEx Group (an affiliate of Bank of New York Mellon)
Cantor Fitzgerald - Aqua Securities
Citi - Citi Match, Citi Cross
Credit Agricole Cheuvreux - BLINK
Credit Suisse - CrossFinder
Deutsche Bank Global Markets - DBA (Europe), SuperX ATS (U.S.)
Fidelity Capital Markets
GETCO - GETMatched
Goldman Sachs SIGMA X
Knight Capital Group - Knight Link, Knight Match
Merrill Lynch - Instinct-X
Morgan Stanley - NightVision
Nomura - Nomura NX
UBS Investment Bank - UBS ATS, UBS MTF, UBS PIN
Societe Generale - ALPHA Y
Daiwa - DRECT
Wells Fargo Securities LLC - WELX

Consortium-owned dark pools

BIDS Trading - BIDS ATS
LeveL ATS

Exchange-owned dark pools

International Securities Exchange
NYSE Euronext
BATS Trading

Other dark pools

Chi-X
Turquoise

Dark pool aggregators

Fidessa - Spotlight
Bloomberg Tradebook
SuperX+ – Deutsche Bank
ASOR – Quod Financial
Progress Apama
ONEPIPE – Weeden & Co. & Pragma Financial
Xasax Corporation
Crossfire – Credit Agricole Cheuvreux

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  #4 (permalink)
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Dark Pool of Your Broker (the following would apply to most or all retail brokers, I do not want to bash IB)

If you trade through Interactive Brokers, please be aware that they operate their own dark pool.

"In addition, IB operates an alternative trading system (ATS) in accordance with the requirements under Regulation ATS, on which it executes trades internally on its own platform (not on an exchange or other market). For bonds, customers and at least one liquidity provider may post quotes to the system. For stocks, IB has relationships with liquidity providers that provide quotes that are pegged to the national best bid or offer ("NBBO"). See "Liquidity Provider Relationships" below. Statistical information reports regarding the quality of executions for orders effected through IB’s ATS (e.g., average execution speed, percentage of orders receiving price improvement, etc.) are available on the IB website at www.interactivebrokers.com or may be downloaded at:
http://www.interactivebrokers.com/en/general/about/IBKR_ATS_605_Reports.php"



Dumb Money

In case that your order cannot be filled in their own dark pool, your stock order may be sent to another dark pool. The order flow from Interactive Brokers is particularly precious, because the orders are consider as dumb money, which is worth trading against. Most of the retail brokers therefore sell their order flow to dark pools.


From IBs website:

"Payment for Order Flow - Stocks: IB receives payments for several types of order executions in US stocks.
Dark Pools: IB receives order flow payments from some "dark pool" ATSs for routing orders to those dark pools. While IB benefits from these payments, IB customers also benefit from IB’s access to dark pools. Dark pools provide a source of substantial additional liquidity. Dark pools charge lower execution fees than exchanges. Dark pools also provide fast executions and the possibility of executions at prices more favorable
than the prevailing NBBO.

ECN Rebates: IB receives liquidity rebates from ECNs for certain orders routed to those ECNs. ECN liquidity rebates are credited against the fees charged by the ECNs to execute other orders. ECN rebate amounts change
frequently. Rebate rates for most ECNs are posted on the IB website (in the section on cost-plus commission costs). They also typically are posted on ECN websites.

Liquidity Provider Relationships: IB has entered arrangements with certain institutions under which such
institutions may send orders to IB at or near the NBBO. These orders are held within the IB system and are not displayed in the national market. If another IB customer order could be immediately executed against such an order held in the IB system (at the NBBO), the orders may be crossed and the execution reported to the National Market System. This arrangement provides extra liquidity for IB customer orders and leads to faster executions at the NBBO (since the orders do not have to be sent to an exchange or ECN to be executed but can be executed within the IB system). IB may receive payment in the form of commissions or commission equivalents from the liquidity providers for these executions."


Who is the prey?

Your order is precious, it can be sold to various predators. In case that you did not understand it: You are the prey. You are the dumb money.


Further reading required before you trade any US stocks:

(1) "Dark Pools" by Scott Patterson, published in June 2013

Amazon.com: Dark Pools: The Rise of the Machine Traders and the Rigging of the U.S. Stock Market (9780307887184): Scott Patterson: Books

(2) "Flash Boys" by Michael Lewis, published in March 2014

http://www.amazon.com/Flash-Boys-Wall-Street-Revolt/dp/0393244660/ref=pd_sim_b_1?ie=UTF8&refRID=1914PS6D01NVSFQE4SAS

Enjoy....

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  #5 (permalink)
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Finally got around to reading Flash Boys. Thought it was an excellent read and explains very well our moden day equity mkt.

I could write a book with my view of Hft's in Chicago....saw it up close from the very beginning and I personally know some of the characters. I also know that the Exchanges are scumbags and the book does a nice job illustrating this.

I always wondered why Rick santelli on the floor of the CME never gets involved in this discussion. Also, no one in the financial news media could ever explains how our equity market actually function. Fortunately, Michael Lewis gets the job done.

Read his book and you will learn a few things.

The Market is Smarter than You Are
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  #6 (permalink)
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Hi, thanks a lot FT, you are and ever will be the best
so this is telling me that it isn`t worth watching L2 data for the stocks. Many thanks !



Fat Tails View Post
Dark Pool of Your Broker (the following would apply to most or all retail brokers, I do not want to bash IB)

If you trade through Interactive Brokers, please be aware that they operate their own dark pool.

"In addition, IB operates an alternative trading system (ATS) in accordance with the requirements under Regulation ATS, on which it executes trades internally on its own platform (not on an exchange or other market). For bonds, customers and at least one liquidity provider may post quotes to the system. For stocks, IB has relationships with liquidity providers that provide quotes that are pegged to the national best bid or offer ("NBBO"). See "Liquidity Provider Relationships" below. Statistical information reports regarding the quality of executions for orders effected through IB’s ATS (e.g., average execution speed, percentage of orders receiving price improvement, etc.) are available on the IB website at www.interactivebrokers.com or may be downloaded at:
http://www.interactivebrokers.com/en/general/about/IBKR_ATS_605_Reports.php"



Dumb Money

In case that your order cannot be filled in their own dark pool, your stock order may be sent to another dark pool. The order flow from Interactive Brokers is particularly precious, because the orders are consider as dumb money, which is worth trading against. Most of the retail brokers therefore sell their order flow to dark pools.


From IBs website:

"Payment for Order Flow - Stocks: IB receives payments for several types of order executions in US stocks.
Dark Pools: IB receives order flow payments from some "dark pool" ATSs for routing orders to those dark pools. While IB benefits from these payments, IB customers also benefit from IB’s access to dark pools. Dark pools provide a source of substantial additional liquidity. Dark pools charge lower execution fees than exchanges. Dark pools also provide fast executions and the possibility of executions at prices more favorable
than the prevailing NBBO.

ECN Rebates: IB receives liquidity rebates from ECNs for certain orders routed to those ECNs. ECN liquidity rebates are credited against the fees charged by the ECNs to execute other orders. ECN rebate amounts change
frequently. Rebate rates for most ECNs are posted on the IB website (in the section on cost-plus commission costs). They also typically are posted on ECN websites.

Liquidity Provider Relationships: IB has entered arrangements with certain institutions under which such
institutions may send orders to IB at or near the NBBO. These orders are held within the IB system and are not displayed in the national market. If another IB customer order could be immediately executed against such an order held in the IB system (at the NBBO), the orders may be crossed and the execution reported to the National Market System. This arrangement provides extra liquidity for IB customer orders and leads to faster executions at the NBBO (since the orders do not have to be sent to an exchange or ECN to be executed but can be executed within the IB system). IB may receive payment in the form of commissions or commission equivalents from the liquidity providers for these executions."


Who is the prey?

Your order is precious, it can be sold to various predators. In case that you did not understand it: You are the prey. You are the dumb money.


Further reading required before you trade any US stocks:

(1) "Dark Pools" by Scott Patterson, published in June 2013

Amazon.com: Dark Pools: The Rise of the Machine Traders and the Rigging of the U.S. Stock Market (9780307887184): Scott Patterson: Books

(2) "Flash Boys" by Michael Lewis, published in March 2014

Flash Boys: A Wall Street Revolt: Michael Lewis: 9780393244663: Amazon.com: Books

Enjoy....


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  #7 (permalink)
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Hi tf, thank you for your post. I think I will buy the Audio CD, as working through nearly 300 pages of a book written in English language will overstress me
Finally I think that it is not easy for a retail trader to act more or less successfully in the stock market, but I suppose that this is the same as it was all the years before.



tflanner View Post
Finally got around to reading Flash Boys. Thought it was an excellent read and explains very well our moden day equity mkt.

I could write a book with my view of Hft's in Chicago....saw it up close from the very beginning and I personally know some of the characters. I also know that the Exchanges are scumbags and the book does a nice job illustrating this.

I always wondered why Rick santelli on the floor of the CME never gets involved in this discussion. Also, no one in the financial news media could ever explains how our equity market actually function. Fortunately, Michael Lewis gets the job done.

Read his book and you will learn a few things.


Reply With Quote
 
  #8 (permalink)
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PowerM View Post
Hi tf, thank you for your post. I think I will buy the Audio CD, as working through nearly 300 pages of a book written in English language will overstress me
Finally I think that it is not easy for a retail trader to act more or less successfully in the stock market, but I suppose that this is the same as it was all the years before.

It is certainly possible for a retail trader to trade US stocks.

But think twice before you engage in high frequency trading or scalping. You would mostly come out second winner. In particular, if you are a 100,000 microseconds away from the exchange.

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  #9 (permalink)
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@PowerM

Speculating in the markets has never been easy and never will be. Hft's have made the task even more difficult. I have seen many changes in the mkt over the years and some people just cannot adapt. However, since Hft's I have never seen a time where so many cannot adjust.

The exchanges are the problem. There job is to protect the integrity of the market. Since the exchanges became public companies, they have failed miserably in this regard.

I have tried to avoid the Hft debate on futures.io (formerly BMT), but after I read this book I felt compelled to endorse it.

The Market is Smarter than You Are
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  #10 (permalink)
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I did not make enough trades on US stocks to have a profund feeling for what is happening there, but I think that Al Brooks is right when he says that the charts look the same in any timeframe, but especially over the period of time. So for my simple view it may not be important what is inside the candles, but if an instrument is trending or ranging or channelling or whatever, and my reaction on that.
The missing link on this my trade idea is that I cannot confirm it up till now by a lot of winning trades so one may think that I do not know what I talk about. At least, there are not more losers than winners. I decided on trading the US stock market in the evening and in case that the YM is low. I have a few month now to try this out, I am picky and try to take only trades where risk < than reward. Let`s see what comes out


Fat Tails View Post
It is certainly possible for a retail trader to trade US stocks.

But think twice before you engage in high frequency trading or scalping. You would mostly come out second winner. In particular, if you are a 100,000 microseconds away from the exchange.


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