To start with, for those who frequently turn over positions, DMA makes a huge difference vs getting raped by pof. You are right in the cases where price trades fully through your limit price. But even then the price improvement one receives by getting filled earlier than literally being put at the end of the queue several times, makes a significant difference. For anyone who trades and not invests missed fills definitely will have a significant impact on pnl. This is much more important in listed options than stocks. As you probably guessed this problem decreases with increasing liquidity. However, have you gone down the spx500 list to see how many stocks trade above a certain amount of daily turnover? You will be surprised how soon liquidity drops off.
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I moved a chunk of my money from IB pro to Fidelity. I have an institutional account at IB and they said lite is not available to me. Fidelity happily opened a entity account for me with commission free trading. I have completed a significant number of trades since opening it a few days ago and the fills so far are identical to IB pro.
How would you know that? For sure they are not identical and never will. If I heard correctly then fidelity is the only one of the cheapo brokers which does not sell customer orders, so, it's probably a lot closer to dma than other cheapo brokers, in terms of fill quality
Entering and exiting using identical orders and sizes. Keeping a journal of fills side by side. So far it's identical. Mind you I am doing large cap stocks and ETFs only. And no shorting.
that is good to hear the fills are identical. do you send orders to fidelity via API?
for retail traders who send limit orders if the price is not at NBBO, the order is almost always filled at the limit price. I do not know how citedal will fill me at worse price. your guess that without citadel, i might fill at better than limit price, that is only true if my order is sending the moment at NBBO while NBBO is very volatile.
That comparison is only valid if you trade long holding periods and where a few Basis points don't make a difference. For large turnover of trades with very tight profit margins this comparison is not accurate unless you submit an order to both brokers at the precise identical millisecond.
And you pay a multiple in margin rates, stock borrow loans, and various ancillary fees. Did you incorporate that into your comparison?
Adverse Selection.
If your order looks good to the algorithms they will step on front of you by 1/100 th of a penny and if their fill starts to look bad the algo will dump the stock on you.
If your order looks not so hot to the algos, you get filled.
1. Algos are "smarter' than you.
2. Algos are faster than you.
3. Algos are allowed to trade in fractions of a penny and you are not, allowing them to step in front of your order.
I suppose IBKR Pro is somehow value added for people doing complicated algorithmic execution. The way I trade however is more simple - basically I trade at the open or at the close or at limits intraday. I am not high frequency but rather I do 'frequent' swing trading. Given my vanilla order types and trading in very liquid large caps, I am seeing the same executions at Fidelity. Maybe IBKR Lite is equally as good for my trading style but I will never know as they won't let me use lite. So come year end I may move my whole account over to Fidelity. Definitely won't mind saving the roughly $50k in yearly commissions I have been paying!