The Bruce Overnight Edge: Execution Dollars Add Up

Market Structure Matters (Don’t Trade Through!)

In past BOE Issues, we have stressed the importance of understanding how overnight market structure differs from the regular trading session. A key difference is that the overnight session does not have a protected quote and executing brokers can trade through a better price on a different venue. It is for this reason that we have talked a lot about consolidated market data feeds and access to multiple overnight venues. Without these tools, the ability to achieve best execution is impaired.

We have been studying overnight data to see how often trades occur at prices that are not the best available. The short answer is that it happens often. We will report numbers from this research study in an upcoming BOE Issue.

For now, we think it is worthwhile to walk through a simple and illustrative theoretical example. The chart below shows the limit order book for Bruce ATS and another overnight venue, ATS #2. The inside market at Bruce ATS is $2.95 x 100 @ $2.98 x 100. ATS #2’s inside market is $2.95 x 100 @ $2.99 x 100.

A client looking to buy this stock will interact with the three Ask price levels ranging from $2.98 to $3.00. The routing decision to buy 100 shares of the stock above is easy: send the order to Bruce and get the best price available ($2.98). But, in markets, things get more complicated quickly. Consider the following order and three different routing decisions into the same market:

Order: Buy 400 for $3.00

Note that all 3 routing options fully execute the order at an average price that is better than the order limit price of $3.00. Routing the order to Bruce ATS saves the customer $3.00 on the trade ($1,199 - $1,196) when compared to routing it to ATS #2. However, a more sophisticated multi-venue execution strategy achieves the best price overall and saves the customer an additional $1.00. If you are not looking carefully, these dollars can add up quickly in the overnight session.

Don’t Leave Money on the Table

A firm that wants to secure the best price for their execution in the overnight market needs to consider two topics: market data and order entry. Having a full picture of the market involves either consuming market data from each venue or utilizing a consolidated market data feed. As we discussed in Issue 16 of the Bruce Overnight Edge, there are multiple options for a consolidated feed with more likely to become available in the future. After multi-venue visibility is in place, order entry to each venue should be established as well. A firm can build the connectivity and logic in-house or they can utilize a 3rd party Smart Order Router (SOR) which can reduce operational complexity. If you would like to know more about any of these options, please reach out to us and we are happy to assist.

By The Numbers

Weekly Top Ten Symbols¹

Bruce Notes

1. Unfortunately the Tabb Forum event ATSs and Off-Exchange Trading – Opportunities and Challenges was postponed due to inclement weather. We look forward to participating when it is rescheduled.

The Bruce Markets Team

¹Top Ten data is from internal Bruce ATS sources through trade date 02/27/2026.