Methods and apparatus for executing small size orders
A method and system for executing a small size trade, the method including, in some embodiments, receiving a limit order associated with a security trade order to be forwarded to at least one order execution destination, the security trade order comprising a security to be traded and an order size, determining a specified period of time within which to attempt to execute the trade order, and converting the limit order to a market order in response to an expiration of the time and at least a portion of the o
1 . A method comprising:
receiving a limit order associated with a security trade order to be forwarded to at least one order execution destination, the security trade order comprising a security to be traded and an order size;
determining a specified period of time within which to attempt to execute the trade order; and
converting the limit order to a market order in response to an expiration of the time and at least a portion of the order size not being executed.
2 . The method of claim 1 , wherein the specified period of time is a maximum wait time indicative of a maximum period of time to expire before converting the limit order to a market order.
3 . The method of claim 1 , wherein the specified period of time is a minimum wait time indicative of a minimum period of time to expire before attempting to execute the trade order.
4 . The method of claim 1 , further comprising selectively executing, after the conversion to the market limit, the trade order.
5 . The method of claim 1 , wherein the specified time is determined to facilitate capturing a spread based on movement from a limit price of the limit order.
6 . The method of claim 5 , wherein the captured spread comprises an effective spread that is a difference between an execution price for the trade and a midquote price for the security at that time the trade order was received.
7 . The method of claim 1 , wherein the size of the order for the security to be traded is less than or equal to 0.1 percent of the traded average daily volume (ADV) for the security to be traded.
8 . The method of claim 1 , further comprising dividing the size of the trade order into two round lots.
9 . The method of claim 1 , further comprising setting a limit price for one of the round lots.
10 . A system comprising:
a processor; and
a storage device in communication with the processor and storing instructions adapted to be executed by the processor to:
receive a limit order associated with a security trade order to be forwarded to at least one order execution destination, the security trade order comprising a security to be traded and an order size;
determine a specified period of time within which to attempt to execute the trade order; and
convert the limit order to a market order in response to an expiration of the time and at least a portion of the order size not being executed.
11 . The system of claim 10 , wherein the specified period of time is a maximum wait time indicative of a maximum period of time to expire before converting the limit order to a market order.
12 . The system of claim 10 , wherein the specified period of time is a minimum wait time indicative of a minimum period of time to expire before attempting to execute the trade order.
13 . The system of claim 10 , further comprising selectively executing, after the conversion to the market limit, the trade order.
14 . The system of claim 10 , wherein the specified time is determined to facilitate capturing a spread based on movement from a limit price of the limit order.
15 . The system of claim 14 , wherein the captured spread comprises an effective spread that is a difference between an execution price for the trade and a midquote price for the security at that time the trade order was received.
16 . The system of claim 10 , wherein the size of the order for the security to be traded is less than or equal to about 0.1 percent of the traded average daily volume (ADV) for the security to be traded.
17 . The system of claim 10 , further comprising dividing the size of the trade order into two round lots.
18 . The system of claim 10 , further comprising setting a limit price for one of the round lots.
19 . An article, comprising:
a storage medium having stored thereon instructions that when executed by a machine result in the following:
receiving a limit order associated with a security trade order to be forwarded to at least one order execution destination, the security trade order comprising a security to be traded and an order size;
determining a specified period of time within which to attempt to execute the trade order; and
converting the limit order to a market order in response to an expiration of the time and at least a portion of the order size not being executed.
20 . The article of claim 19 , wherein the specified period of time is a maximum wait time indicative of a maximum period of time to expire before converting the limit order to a market order.
21 . The article of claim 19 , wherein the specified period of time is a minimum wait time indicative of a minimum period of time to expire before attempting to execute the trade order.
22 . The article of claim 19 , further comprising instructions stored thereon that when executed by a machine result in selectively executing, after the conversion to the market limit, the trade order.
23 . The article of claim 19 , wherein the specified time is determined to facilitate capturing a spread based on movement from a limit price of the limit order.
24 . The article of claim 23 , wherein the captured spread comprises an effective spread that is a difference between an execution price for the trade and a midquote price for the security at that time the trade order was received.
25 . The article of claim 19 , wherein the size of the order for the security to be traded is less than or equal to about 0.1 percent of the traded average daily volume (ADV) for the security to be traded.
26 . The article of claim 19 , further comprising instructions stored thereon that when executed by a machine result in dividing the size of the trade order into two round lots.