{"id":8405,"date":"2009-10-28T17:31:32","date_gmt":"2009-10-28T21:31:32","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=8405"},"modified":"2009-10-28T17:31:32","modified_gmt":"2009-10-28T21:31:32","slug":"alpha-trading-and-preferred-shares","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=8405","title":{"rendered":"Alpha Trading, Pure and Preferred Shares"},"content":{"rendered":"

Assiduous Reader prefhound<\/i> writes in and says:<\/p>\n

I have a question about two weird pref share trades that ocurred in my [REDACTED BY JH] account today.<\/p>\n

I was buying something (after trying other prices) at an offer price of $22.40, so I put in a buy limit price of $22.40. I was filled at 22.39, but my trade volume and price does not show up in the daily quotes (high for this stock is given as 22.27; my volume and trade is not reported by the TSX and my fill made no difference to the offer price of 22.40 and number of lots).<\/p>\n

Several hours later, I was selling something (again after trying higher prices) at a bid price of $21.58. I placed a limit sell at $21.58 but was filled at 21.59 (again one penny difference), but my trade volume and price do not show up again.<\/p>\n

Is it possible that [REDACTED BY JH] is blindly internally matching bids and offers at a 1 cent difference to the market, then filling by a cross with me and not reporting the trade?<\/p>\n

Alternatively, is this a “dark pool” or “rapid trading” issue?<\/p>\n

I guess I am not supposed to be unhappy with internal crosses at 1 cent bonus to me, but I’m wondering if unreported trades don’t distort the market — my trade in the second stock is 5X the reported volume!<\/p><\/blockquote>\n

Your trade was almost certainly filled by an Alternative Trading System such as Alpha Trading Systems<\/a>, which currently claims overall market share of 20%<\/a> and challenges to become the primary market<\/a> in some securities.<\/p>\n

Now, it’s very nice to get filled a penny better than you expected – but there are issues for those among us who attempt to sell liquidity. If your limit order has been routed to the Toronto Stock Exchange, for example, and you look at only data feeds from the Exchange, you might be doing yourself out of a little money.<\/p>\n

Say you put in a bid at 20.00 at a time when the Exchange is quoting the issue at 19.90-10. Immediatley afterwards, the Exchange will report the quote as 20.00-10 … so far, so good. But there could be ten bazillion market orders to sell coming down the pipe, all of them getting filled on Alpha at the Alpha bid of 20.01. Not only will you not get filled, but you won’t even know about these orders.<\/p>\n

Alpha’s October Newsletter<\/a> contains a discussion of their market data pricing strategy, and their website shows a list of authorized vendors<\/a> of this data.<\/p>\n

To get an idea of volumes and delayed quotes, you may wish to go to the sites of Alternative Trading Systems – I have added a category of links (in the right hand navigation panel) titled “Quotes (Delayed)” with some addresses. For example, the following data can be compiled for GWO.PR.H:<\/p>\n

\n\n\n\n\n\n\n
Trading in GWO.PR.H
2009-10-28<\/td>\n<\/tr>\n
Exchange<\/td>\nRange<\/td>\nVolume<\/td>\nClosing Quote<\/td>\n<\/tr>\n
TMX<\/td>\n19.58-70<\/td>\n5,566<\/td>\n19.52-66, 2×1<\/td>\n<\/tr>\n
Pure<\/td>\n19.61-73
(Last 10 Trades)<\/td>\n		4,500<\/td>\nNone-19.84, 0x5<\/td>\n<\/tr>\n
Alpha<\/td>\nLast trade 2009-10-20<\/td>\n<\/tr>\n<\/table>\n<\/div>\n","protected":false},"excerpt":{"rendered":"

Assiduous Reader prefhound writes in and says: I have a question about two weird pref share trades that ocurred in my [REDACTED BY JH] account today. I was buying something (after trying other prices) at …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[23],"tags":[],"class_list":["post-8405","post","type-post","status-publish","format-standard","hentry","category-reader-initiated-comments"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/8405","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=8405"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/8405\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=8405"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=8405"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=8405"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}