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I frequently trade the QQQ's and have just recently opened an account with
TradeStation. My motivation for trying TS6 was to work with the fully
automatic execution. I've done some significant programming here to drive
orders into RealTick from TS2000, so the prospect getting a complete tool
for that combines modeling and execution was enticing.
This is just a heads-up for others looking to trade QQQ through TS6. At
this point in time, Easy Language can use only TS6's "Intelligent" routing.
After a small number of automatic executions, it was clear that
"Intelligent" means "route to the NYSE". In every instance, there were
better prices available on Island, but TS6 would only route the order to the
exchange market maker. And we know that means executing orders at "retail"
instead of "wholesale".
The problem is made worse when you open a Level 2 window for QQQ.
TradeStation is showing only marketmakers, with no way to see ISLD or ARCA.
Again, everyone who trades QQQ knows what a disadvantage this omission is.
I've started opening up the Island Java book to see where the real market
is. It's my hunch that you won't see any ECN quotes on other NYSE issues,
either.
I emailed TradeStation Securities and asked them to explain what
"Intelligent" routing meant in the case of the QQQ. Unfortunately, they
responded that the Intelligent routing algorithm is proprietary, so they
couldn't tell me how it selects the NYSE as the best route for every order.
As it stands, trading QQQ through TS6 is no better than any web-based
discount house. I hope they will start to recognize what it takes to be a
direct access broker, it would be a shame to waste all that software
development work on retail-class execution capabilities.
Just a heads-up.
Andy Demartini
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