Why direct market access still matters — and how to stop losing edge on order execution

Ever notice how sub‑millisecond slippage eats your edge? Wow! It sneaks up fast. Traders talk about latency like it’s a nuisance, though actually it’s a profit killer when you’re scalping or running size. My instinct said: fix routing before blaming the market.

Here’s the thing. DMA gives you more control over where your order lands. Seriously? Yes. You can choose venues, slice orders, post-to-book, or hit the tape. Initially I thought smart order routers would handle everything, but then I watched a bad router route my order into a lit venue with no hidden liquidity and I lost several ticks.

Hmm… somethin’ felt off that day. The fills were inconsistent. On one hand the broker promised “fast” execution; on the other hand their pathing ignored fees and maker/taker dynamics. Actually, wait—let me rephrase that: speed without intelligent venue selection is noise. You need both speed and logic.

Order types matter more than most traders give credit for. Market orders are blunt instruments. Limit orders protect you but can miss when momentum shifts. Iceberg and reserve orders let large players hide size, and using those smartly reduces market impact, though they require tighter monitoring and sometimes an algo to manage them.

Co‑location isn’t a magic wand. It shaves microseconds, sure. But if your order logic sends against the wrong side of the book, co‑lo only amplifies your mistakes. On the flip side, co‑location plus good TCA gives you clarity: you’ll know which exchanges are consistently giving stale prints. I’m biased toward having a test rig in a co‑lo site, but it’s expensive—so be realistic about ROI.

Practical tips for tightening execution (real-world, no fluff)

Keep an execution checklist. One line orders only when you mean it. Use discretionary orders with care. Measure slippage by time-of-day and by venue. If you don’t store that data, you won’t be able to tell pattern from noise.

If you use a platform like Sterling Trader Pro you’ll want to confirm FIX session behavior and order acknowledgements. Check this out—download the client and run the test environment here. Wow, that link is handy. Seriously, sandbox against all your major broker routes before committing live funds.

Watch for hidden fees. Some venues advertise rebates but tack on routing fees that show up downstream. My trading plan once ignored those, very very costly. On one occasion, routing to an internalizer with a rebate seemed cheap until cumulative fees wiped gains. I’m not 100% sure that all brokers disclose routing priorities clearly, so ask, probe, and get it in writing.

Latency is more than milliseconds. It’s about deterministic behavior. A server that’s jittery will bite you at inopportune moments. Build alerts for queue depth collapse and for synthetic spread widening. You don’t need to watch every tick, but you need indicators that trigger automated safeguards.

Order execution and risk controls should live close together. If your algo fires and your risk layer lags by a heartbeat, somethin’ bad happens. Put kill switches in multiple places. Test failover scenarios monthly. Honestly, the part that bugs me most is traders skipping these drills because “it won’t happen to me.”

Advanced routing strategies — an insider’s short list

Smart order routing isn’t a set‑and‑forget feature. Use venue scoring that weights latency, fill probability, and fee structure. Blend posted liquidity strategies with taker strategies depending on market microstructure. On one hand you can try a posting first strategy to collect rebates, though actually in fast squeezes that can leave you unfilled; on the other hand, aggressive taker legs capture immediate flow but cost you fees.

Consider adaptive slicing. Use volume‑weighted algorithms when you trade across the open or close. Use liquidity seeking algos when you need hidden fills. Tie execution algorithms to real‑time order book imbalance signals; they are predictive more often than not, but not always—so always have a fallback plan.

Don’t forget exchange order types. Pegged orders, midpoint peg, immediate-or-cancel variations—these exist for a reason. Use them in tandem with TCA to see which performs best for particular tickers. I’m not saying there’s a universal winner; there rarely is.