You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
Can anyone at IB tell us when native NYSE hidden orders will be supported?
- Thread starter trader422
- Start date
Calling IBsoft ... come in, IBsoft ...
Thanks again for getting the hidden orders going ... I was able to try several thousand of these last week and my rating so far is a 3 = "interesting" on a scale of 1-5, where 1 = "useless" and 5 = "exciting" ... I think I will be able to use these things when I figure out precisely where and when to do so.
Note to those who have not yet experimented: as expected, my hidden orders got traded through frequently ... not surprising as this is the way they "should" work, provided you don't get traded through on the exchange where the order is working ... I still need to check and make sure I'm never getting traded through on the exchange where the order is working, but I expect that to be the case.
Questions for IBsoft:
1.
The rerouting-hidden-orders-when marketable thing: You told the earlier poster that this was getting done ... my question is: Will the original hidden order be rerouted as a hidden or non-hidden order? It seems to me that rerouted marketable hidden orders should be non-hidden by default, or at least optionally, if only because that seems to be the only way to get them to execute against an ARCA BBO (I had this problem several times last week). Any definitive word on this?
2.
Submitting hidden orders right after the open: NYSE states clearly that "all dark reserve orders will be rejected prior to the open", apparently for a pretty good reason ... my question is, can you tell us at precisely what time after the open our SMART hidden orders will start getting routed correctly to NYSE, instead of to the dreaded dead-letter ISLAND destination? Even better would be a setting that would always route non-marketable hidden orders to the symbol's primary exchange, but retain SMART-routed functionality for rerouting if marketable...
3.
Avoiding the dead-letter ISLAND destination: My experiments last week were consistent with my earlier hypothesis that ISLAND-routed hidden orders are very close to worthless, at least for me ... can you guys give us a (global or order-wise) option to NEVER route hidden orders to ISLAND?
4.
Getting the routing destination via API: To manage these orders properly we need to be able to get the current "routing destination" data for each order (always available via TWS) through the API ... is this being worked on yet?
5.
The NYSE RLP order type project: Will this be immediately available through the API as the hidden orders were? If not and a new API version is needed, will the beta be available soon?
Thanks again for getting the hidden orders going ... I was able to try several thousand of these last week and my rating so far is a 3 = "interesting" on a scale of 1-5, where 1 = "useless" and 5 = "exciting" ... I think I will be able to use these things when I figure out precisely where and when to do so.
Note to those who have not yet experimented: as expected, my hidden orders got traded through frequently ... not surprising as this is the way they "should" work, provided you don't get traded through on the exchange where the order is working ... I still need to check and make sure I'm never getting traded through on the exchange where the order is working, but I expect that to be the case.
Questions for IBsoft:
1.
The rerouting-hidden-orders-when marketable thing: You told the earlier poster that this was getting done ... my question is: Will the original hidden order be rerouted as a hidden or non-hidden order? It seems to me that rerouted marketable hidden orders should be non-hidden by default, or at least optionally, if only because that seems to be the only way to get them to execute against an ARCA BBO (I had this problem several times last week). Any definitive word on this?
2.
Submitting hidden orders right after the open: NYSE states clearly that "all dark reserve orders will be rejected prior to the open", apparently for a pretty good reason ... my question is, can you tell us at precisely what time after the open our SMART hidden orders will start getting routed correctly to NYSE, instead of to the dreaded dead-letter ISLAND destination? Even better would be a setting that would always route non-marketable hidden orders to the symbol's primary exchange, but retain SMART-routed functionality for rerouting if marketable...
3.
Avoiding the dead-letter ISLAND destination: My experiments last week were consistent with my earlier hypothesis that ISLAND-routed hidden orders are very close to worthless, at least for me ... can you guys give us a (global or order-wise) option to NEVER route hidden orders to ISLAND?
4.
Getting the routing destination via API: To manage these orders properly we need to be able to get the current "routing destination" data for each order (always available via TWS) through the API ... is this being worked on yet?
5.
The NYSE RLP order type project: Will this be immediately available through the API as the hidden orders were? If not and a new API version is needed, will the beta be available soon?
1. Should not matter, because the order we will be re-routing will be sent to the destination where it is marketable. We will use non-hidden IOC.
2. After the stock opens for trading. I will have to verify that this works correctly.
3. While NYSE is the best place to route the orders for listed stocks, ISLAND should be the best destination for NASDAQ stocks.
The same customer non-marketable smart preferences are observed as for the exposed orders. If your preference is set to primary exchange, the orders for listed stocks will go to the NYSE. I do not recall what the default setting is; I will check next week when I am back in the office.
4. The back-end servers send the location of the resting order to the TWS. I do not think we propagate it to the API. Smart routing aims to route the way that you should not have to manage the order (and re-route it) yourself. Can you please provide a couple of scenarios where your own order management would be preferable/superior?
5. The API version of RLP will be available soon after the TWS release of the new order type.
2. After the stock opens for trading. I will have to verify that this works correctly.
3. While NYSE is the best place to route the orders for listed stocks, ISLAND should be the best destination for NASDAQ stocks.
The same customer non-marketable smart preferences are observed as for the exposed orders. If your preference is set to primary exchange, the orders for listed stocks will go to the NYSE. I do not recall what the default setting is; I will check next week when I am back in the office.
4. The back-end servers send the location of the resting order to the TWS. I do not think we propagate it to the API. Smart routing aims to route the way that you should not have to manage the order (and re-route it) yourself. Can you please provide a couple of scenarios where your own order management would be preferable/superior?
5. The API version of RLP will be available soon after the TWS release of the new order type.
Quote from trader422:
Calling IBsoft ... come in, IBsoft ...
Thanks again for getting the hidden orders going ... I was able to try several thousand of these last week and my rating so far is a 3 = "interesting" on a scale of 1-5, where 1 = "useless" and 5 = "exciting" ... I think I will be able to use these things when I figure out precisely where and when to do so.
Note to those who have not yet experimented: as expected, my hidden orders got traded through frequently ... not surprising as this is the way they "should" work, provided you don't get traded through on the exchange where the order is working ... I still need to check and make sure I'm never getting traded through on the exchange where the order is working, but I expect that to be the case.
Questions for IBsoft:
1.
The rerouting-hidden-orders-when marketable thing: You told the earlier poster that this was getting done ... my question is: Will the original hidden order be rerouted as a hidden or non-hidden order? It seems to me that rerouted marketable hidden orders should be non-hidden by default, or at least optionally, if only because that seems to be the only way to get them to execute against an ARCA BBO (I had this problem several times last week). Any definitive word on this?
2.
Submitting hidden orders right after the open: NYSE states clearly that "all dark reserve orders will be rejected prior to the open", apparently for a pretty good reason ... my question is, can you tell us at precisely what time after the open our SMART hidden orders will start getting routed correctly to NYSE, instead of to the dreaded dead-letter ISLAND destination? Even better would be a setting that would always route non-marketable hidden orders to the symbol's primary exchange, but retain SMART-routed functionality for rerouting if marketable...
3.
Avoiding the dead-letter ISLAND destination: My experiments last week were consistent with my earlier hypothesis that ISLAND-routed hidden orders are very close to worthless, at least for me ... can you guys give us a (global or order-wise) option to NEVER route hidden orders to ISLAND?
4.
Getting the routing destination via API: To manage these orders properly we need to be able to get the current "routing destination" data for each order (always available via TWS) through the API ... is this being worked on yet?
5.
The NYSE RLP order type project: Will this be immediately available through the API as the hidden orders were? If not and a new API version is needed, will the beta be available soon?
Thanks for the response IBsoft, sorry to bother you when you're on vacation ... will not expect further responses until you're back.
2. "After the stock opens for trading" ... that's sad because it's indeterminate ... any way we can get the same message IB servers get for when a particular symbol is officially open?
3. Totally agreed, it "should be" ... but I tried out the hidden ISLAND thing, for my NASDAQ stocks, for several days last month and then several more days last week, and I could never tell any difference except I think (not completely sure) that ISLAND hiddens are even more worthless than non-hidden ISLAND limit orders ... I suspect that somehow the HFTs are getting more information about ISLAND hiddens than NYSE hiddens ... obviously not IB's fault; the main problem is that for the past two or three years the HFTs control NASDAQ liquidity to a much greater degree than they control NYSE liquidity.
Regarding "SMART preference set to primary exchange" ... the problem here is, SMART routing works pretty darn well these days and I think the primary exchange setting would degrade my profits ... I have a feeling I would miss out on a lot of good dark pool executions, for one thing ... my concern is really with the hidden order thing not being fully mature yet ... the old ISLAND default seems to be happening sometimes when it shouldn't, as well as when it "should" as in sending orders prior to 9:30 EST ... what I want to see is hidden orders for NYSE stocks never getting stuck in the mud on ISLAND unless SMART routing is momentarily confused, as for the time prior to the stock's NYSE open ... then the instant the order SHOULD be routed to NYSE, SMART does the job. The situation with hidden orders now seems to be similar to the old, old days of TWS, when frequently and for no apparent reason hundreds of orders for NYSE stocks would get stuck on ISLAND and the only way to get them rerouted properly was to cancel/replace everything (I still have that cancel/replace routine on my trading app's menu, but I've only had to use it once, I think, in the last 5 years).
4. Yes, the main examples already given above: (A) Keep an eye on routing destinations for NYSE stocks and if they get stuck on ISLAND for no reason then reroute them myself. (B) Putting in hidden orders right after the open: If some of these go to ISLAND because the NYSE stock is not officially open, and get stuck there, it's imperative to manually reroute ASAP. Also, a lot of hidden orders are going to BATS for some reason or reasons that I can't discern ... I'm willing to give SMART a chance here, but I want to be notified by my API code if they stick there for too long because SMART is not perfect and I probably would want to manually reroute some of these also.
By the way ... in spite of all the gripes above, the hidden order thing is already 95%+ there ... I'm impressed with the work you guys did.
5. Fantastic!
2. "After the stock opens for trading" ... that's sad because it's indeterminate ... any way we can get the same message IB servers get for when a particular symbol is officially open?
3. Totally agreed, it "should be" ... but I tried out the hidden ISLAND thing, for my NASDAQ stocks, for several days last month and then several more days last week, and I could never tell any difference except I think (not completely sure) that ISLAND hiddens are even more worthless than non-hidden ISLAND limit orders ... I suspect that somehow the HFTs are getting more information about ISLAND hiddens than NYSE hiddens ... obviously not IB's fault; the main problem is that for the past two or three years the HFTs control NASDAQ liquidity to a much greater degree than they control NYSE liquidity.
Regarding "SMART preference set to primary exchange" ... the problem here is, SMART routing works pretty darn well these days and I think the primary exchange setting would degrade my profits ... I have a feeling I would miss out on a lot of good dark pool executions, for one thing ... my concern is really with the hidden order thing not being fully mature yet ... the old ISLAND default seems to be happening sometimes when it shouldn't, as well as when it "should" as in sending orders prior to 9:30 EST ... what I want to see is hidden orders for NYSE stocks never getting stuck in the mud on ISLAND unless SMART routing is momentarily confused, as for the time prior to the stock's NYSE open ... then the instant the order SHOULD be routed to NYSE, SMART does the job. The situation with hidden orders now seems to be similar to the old, old days of TWS, when frequently and for no apparent reason hundreds of orders for NYSE stocks would get stuck on ISLAND and the only way to get them rerouted properly was to cancel/replace everything (I still have that cancel/replace routine on my trading app's menu, but I've only had to use it once, I think, in the last 5 years).
4. Yes, the main examples already given above: (A) Keep an eye on routing destinations for NYSE stocks and if they get stuck on ISLAND for no reason then reroute them myself. (B) Putting in hidden orders right after the open: If some of these go to ISLAND because the NYSE stock is not officially open, and get stuck there, it's imperative to manually reroute ASAP. Also, a lot of hidden orders are going to BATS for some reason or reasons that I can't discern ... I'm willing to give SMART a chance here, but I want to be notified by my API code if they stick there for too long because SMART is not perfect and I probably would want to manually reroute some of these also.
By the way ... in spite of all the gripes above, the hidden order thing is already 95%+ there ... I'm impressed with the work you guys did.
5. Fantastic!