Recent content by 9849842

Thanks for your help on this. Just speculation, but maybe the liquidity adding orders on NYSE / NASDAQ get front-run (or whatever the appropriate term is, skipping the line, etc) by the HFTs but on PEARL they don't allow the HFTs to do that? In which case PEARL will have better but much slower...

Yes. Almost all of the Smart default was marketable. While almost all of the Pearl fills from M axRebate were non-marketable. DOesn't that make sense? Pearl rarely has competitive bid / ask, their spreads are always way wider than NYSE / Nasdaq, so all the marketable orders should go to NYSE /...

Roughly 1500 different tickers over the year. Micro, small and mid caps ranging from 1m - 50m daily liquidity. 89% of the pearl fills were non-marketable while virtually all (95%+) of dark, nyse, nasdaq, ibkrats, were marketable. This is interesting because in both order routing types I never...

If I calculate my slippage as execution price vs. last traded price at order entry time, what do you think the best routing options / order type would be that are offered at IBKR? And is there a broker that can do better with <100m AUM? Any advice would be greatly appreciated.

- each fill counts as a trade - this is about 50 trades a day over a year - the MaxRebate orders fill about 95% of the volume that the regular Smart orders filled. Not too bad - the other venues such as Edge, Bats, arca, etc were within 1 or 2 bps of NYSE / NASDAQ. - about 60% of the maxrebate...

For every trade for the past year I placed half the order as a % volume with Smart MaxRebate routing (so favors Pearl) and the other half as a % volume with regular Smart routing. The difference between the two was approximately 20 bps which is massive. I am trading micro, small and mid caps...

I've collected slippage data for about 15,000 trades and here is what I've found: - the bulk of orders get filled at either MIAX Pearl, Nasdaq, NYSE, IBKR's Dark Pools or IBKRATS - Out of those venues, MIAX Pearl has a significantly better execution price. The rest are equally bad. Is there a...

Does anyone have a rough idea of how the calculation works? I am trying to follow their page on PM and using delta, gamma and vega to estimate it but I can't even get close. https://www.interactivebrokers.co.uk/en/index.php?f=42076&hm=ot&ex=us&rgt=1&rsk=0&pm=1&rst=101004010808080801

I am looking for the best possible execution prices for micro and small caps, where I would be representing a significant chunk of daily volume. I am currently using Interactive Brokers and am wondering if I can improve my returns by seeking better execution. I typically use VWAP orders or...