I am not familiar with the technicalities of order routing so my main sources of information as of now is the sec gov trade execution info and an explanation of how SOR works.

Question 1:

Let's say I buy shares of a stock through my broker account with a limit order. The broker will then automatically fill my order upon the stock price hitting my limit. For this fill, the broker uses exchange A.

Two hours later I decide to sell my shares. Again, I use a limit order.

Now what is the chance that my order will be filled at exchange A again?

Or in other words: is there any correlation between where a certain broker fills its shares. Are there any geographical biases or noticeable partnerships involved in order routing?

Relating to this are the MPID fields that can be found on Level II depth-of-book views:

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Here the various limit orders have a corresponding Market Participant ID. These represent the names of market makers.

Question 2:

If I place an order at my broker A, will this order show up under a fixed MPID on Level II?

Or in other words: can quoted limit orders on the book be tracked to their respective brokers?


It depends on the smart order router that you've chosen.

Generally no. However in your example it appears that you are referring to passive execution on both ends, and there are smart order routers that preference the highest rebate, in which case you might find high correlation - note this doesn't mean that the venue where the entry leg is executed causes the exit leg to be more likely to execute at the same venue, but rather that there is such co-occurring explanatory variable.

For the second part of your question, it depends on the SOR again.

It is generally optional for a firm to attribute an order to its MPID (say, on NASDAQ). Moreover, your order may routed to and executed "over-the-counter" within a FINRA TRF reporting participant, e.g. an ATS (commonly referred to as a 'dark pool'), in which case the ATS MPID would be submitted, which still somewhat anonymizes your order.

However, Direct Edge does offer an incentive for attributed orders. For whatever reason, your SOR may preference this incentive. I would ask your broker for complete due diligence.

  • $\begingroup$ Very helpful. Thank you. Could you also take a look at the second part of my (now extended) question? $\endgroup$ – Jean-Paul Apr 18 '15 at 10:47
  • $\begingroup$ @Jean-Paul No problem. I edited my response to accommodate your extended question. $\endgroup$ – madilyn Apr 19 '15 at 9:44
  • $\begingroup$ You're welcome. $\endgroup$ – madilyn Apr 19 '15 at 10:52

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