I receive all rebates/charges from the ECN through my broker, and I have a general strategy that needs to aggressively enter stocks (mostly NYSE listed). Considering liquidity (up to say $20k per trade), spread, and rebates, what exchange route do you recommend? Edit: Broker neutral routing/exchange suggestions, please.
On Lightspeed Trader, we have some routes that go to equity market makers that have no ECN fee, but they are not for everyone. We can't put certain types of traders on it that they consider toxic order flow.
I like Lightspeed. Former happy customer with you guys. But, I need broker neutral suggestions at this time.
I will experiment with NITE and compare the results to removing liquidity from ARCA. In each case I will be sending limit orders across the NBBO.
IEX router can aggressively take all the displayed and non-displayed liquidity. It's pricey but you get your fill. I have a thread about routing here from yesterday: https://www.elitetrader.com/et/threads/lets-talk-routing.305390/
I will check out your thread, but for the most part, I am wondering if IEX has an advantage for small trades that are removing liquidity. It is not as though these kinds of trades can be front run by HFT. That said, for orders that are a little bit larger, IEX might just do the trick.