Hi All,Why are there special rules for odd lot orders? What makes them so special from an algo trading perspective?Gracias,Dece

odd lots can queue jump so they are watched closely for abuse. exchanges watch to make sure you don't take a 1,000 share order and break it into a bunch of 99 share orders to jump the queue. However, if you are left with an oddlot you are allow to jump.

Excuse me if this question is too basic but what is the concept of getting ahead of the queue?If someone gets ahead of the queue with a better price then why not. What is so wrong about it?

nothing wrong with getting ahead with better price. the issue for oddlots is that they allow you to get ahead of others without improving on price. for example, if the market is 100,000 shares bid for at 10.01 and 50,000 shares offered at 10.02 you might worry that the price is about to go higher because of the size imbalance on the bid. if you have 1,000 shares to buy and you joined the bid you would be last in line to get filled. so even if some shares trade at 10.01 you would not get any until the 100,000 in front of you is exhausted. if, however, you break your 1,000 shares into a series of 99 share orders you can jump ahead of the 100,000 shares. the inherent unfairness of this is why oddlots are scrutinized. the only time you are supposed to be able to trade an oddlot is when that is all that is left of the original order.

Odd lots receive special treatment only ifsubmited for execution to the specialist on the floor of the NYSE.If you execute on INET, BATS, ARCA DirectEdge or other ECNs theyare treated like any other order via price time priority. (ARCA used tocharge extra for odd lots executions until a week ago but nowthe price is the same as round lots).Also AMEX charges an extra 0.001 c a share for odd lots currently.Things are different on NYSE because of an arcane rule that requiresthe specialist to fill a marketable odd lot at the next round lot transactionprice. So for example, if you send a marketable buy order for anodd lot and the next transaction just happens to be on the bid side,the specialist will fill you on the bid from his inventory thereby loosingthe spread. Some people caought on to this and were abusing thesystem.In response, the specialists did 2 things. First, they added 30 secondsdelay untill a submitted odd lot becomes marketable (think of it asthe guy trading odd lots is using a 30 sec old data feed). Second,and this happened one week ago, they added a charge of 0.0018 ca share for executing odd lots. It is likely these changeswiped out any edge the customer had when trading odd lots,which is gonna be the case if you wont hear any more complaintsabout odd lots from the specialists.