BTW, I used BEST today and got very good fills and instantly... sub one-second. I was very happy.
How Good is BEST
- Thread starter jperl
- Start date
Why shouldn't it hit ARCA? When BEST_ECN hits ARCA or any other ECN with proactive capabilities it sends an IOC order so ARCA's proactive order handling algorithm is never invoked. If by the time the order hits ARCA there's no liquidity left on the book at that price the order is immediately returned unfilled.
There's stocks and situations for which BEST_ECN is a god send blessing and there's other stocks and market scenarios where you definitely don't want to be using BEST_ECN. It's your choice and for those times where you do want to have the option to interact with MMs IB allows you to choose from BEST, REDI, ARCA, SOES and NASDAQ (inside quote SelectNet).
You may want to take the time to study up a little on the particulars of Nasdaq order routing.
Dave
dlincke- you state this theory:
Why shouldn't it hit ARCA? When BEST_ECN hits ARCA or any other ECN with proactive capabilities it sends an IOC order so ARCA's proactive order handling algorithm is never invoked. If by the time the order hits ARCA there's no liquidity left on the book at that price the order is immediately returned unfilled.
and here is the result of an acutual trade using BEST_ECN which hit ARCA on the Sell side:
BOT 100 PMCS 35.72 ISLAND STK...14:31:53
SLD 42 PMCS 35.50 ISLAND STK...14:45:39
SLD 58 PMCS 35.62 ARCA STK...15:02:19
You will note that BEST_ECN first hit ISLAND on the SELL side with a partial fill and then for what ever reason went to ARCA to complete the transaction. It hit ARCA almost immediately after the partial ISLAND fill but it took ARCA almost 17 MINUTES to complete the transaction at a ridiculously high price.
I paraphrase TONY OZ again for your comment about how to get out of a fast moving market("STOCK TRADING WIZARD",p109):
1:Take out the Best ISLD Bid(out of market) or
2:Selectnet Preference up to five color levels below best Bid
3: DO NOT USE SOES
4: DO NOT USE ARCA
Clearly BEST-ECN failed in this instance.
Why shouldn't it hit ARCA? When BEST_ECN hits ARCA or any other ECN with proactive capabilities it sends an IOC order so ARCA's proactive order handling algorithm is never invoked. If by the time the order hits ARCA there's no liquidity left on the book at that price the order is immediately returned unfilled.
and here is the result of an acutual trade using BEST_ECN which hit ARCA on the Sell side:
BOT 100 PMCS 35.72 ISLAND STK...14:31:53
SLD 42 PMCS 35.50 ISLAND STK...14:45:39
SLD 58 PMCS 35.62 ARCA STK...15:02:19
You will note that BEST_ECN first hit ISLAND on the SELL side with a partial fill and then for what ever reason went to ARCA to complete the transaction. It hit ARCA almost immediately after the partial ISLAND fill but it took ARCA almost 17 MINUTES to complete the transaction at a ridiculously high price.
I paraphrase TONY OZ again for your comment about how to get out of a fast moving market("STOCK TRADING WIZARD",p109):
1:Take out the Best ISLD Bid(out of market) or
2:Selectnet Preference up to five color levels below best Bid
3: DO NOT USE SOES
4: DO NOT USE ARCA
Clearly BEST-ECN failed in this instance.
jperl,
Are you using market orders with BEST_ECN ? I am wondering if BEST_ECN behaves differently with market vs limit orders.
I have only been using limit orders with BEST_ECN. I have had situations where the order was not getting filled, so I cancelled it. So far, after about 500 trades, I have yet to get a fill from ARCA. I've seen ISLAND, INSTANET, BRUT, and RDBK but no ARCA.
jperl>You will note that BEST_ECN first hit ISLAND on
jperl>the SELL side with a partial fill and then for
jperl>what ever reason went to ARCA to complete the
jperl>transaction. It hit ARCA almost immediately
jperl>after the partial ISLAND fill but it took ARCA
jperl>almost 17 MINUTES to complete the transaction
jperl>at a ridiculously high price.
Are you using market orders with BEST_ECN ? I am wondering if BEST_ECN behaves differently with market vs limit orders.
I have only been using limit orders with BEST_ECN. I have had situations where the order was not getting filled, so I cancelled it. So far, after about 500 trades, I have yet to get a fill from ARCA. I've seen ISLAND, INSTANET, BRUT, and RDBK but no ARCA.
jperl>You will note that BEST_ECN first hit ISLAND on
jperl>the SELL side with a partial fill and then for
jperl>what ever reason went to ARCA to complete the
jperl>transaction. It hit ARCA almost immediately
jperl>after the partial ISLAND fill but it took ARCA
jperl>almost 17 MINUTES to complete the transaction
jperl>at a ridiculously high price.
I cannot comment on market orders since I never use them for nasdaq stocks but I have received immediate fills from ARCA using BEST_ECN. If BEST_ECN in fact does not send IOC orders (immediate or cancel) when hitting ARCA or REDI that would be a major problem and bug. Unfortunately and as expected IB did not bother to give us customers the slightest bit of documentation on BEST_ECN. Maybe def could clear this up for us?
I just talked to someone atthe helpdesk and from what he said when BEST_ECN routes to ARCA or REDI those orders are in fact not marked as IOC. I guess I was just lucky that so far I've never experienced the potential adverse effects of this myself.
Basically, this way the whole idea behind BEST_ECN is led ad absurdum since under certain circumstances orders can still end up with an MM which BEST_ECN was meant to avoid in the first place. Whenever BEST_ECN sends an order or part of an order to REDI or ARCA, if by the time the order arrives there the liquidity has already been removed from the book the ECN's proactive order handling algorithm will be invoked which may preference an MM. This could easily be avoided simply by marking the order as IOC. That way the order would be returned unfilled immediately.
This is just as bad as the recent bug with REDI short sale orders. Def, could you please bring this up with the right people at IB?
Dave
Basically, this way the whole idea behind BEST_ECN is led ad absurdum since under certain circumstances orders can still end up with an MM which BEST_ECN was meant to avoid in the first place. Whenever BEST_ECN sends an order or part of an order to REDI or ARCA, if by the time the order arrives there the liquidity has already been removed from the book the ECN's proactive order handling algorithm will be invoked which may preference an MM. This could easily be avoided simply by marking the order as IOC. That way the order would be returned unfilled immediately.
This is just as bad as the recent bug with REDI short sale orders. Def, could you please bring this up with the right people at IB?
Dave
Jperl and all,
I understand this is an IB thread, but I'd like to say that Tony Oz is using ARCA NOW ORDERS in fast moving markets.
I took his seminar, and he taught us to use the ARCA NOW ORDER in fast moving markets. This type of order hits all the available liquidity on all ECNs at your specified price and cancells itself immediately if there are no shares available at your price. The whole process takes about 2-3 seconds and you can move on from that point.
Here is more from MB-Terranova:
"ARCA "NOW" Orders will be matched with the ARCA book or immediately routed for execution to Island, RediBook, and Instinet. If needed, NOW orders will use ARCA's SmartBook preferencing algorithm to oversize participants who have reserve capabilities. Any residual volume will automatically be canceled if not executed at the quoted price or better. NOW orders will completely bypass NASDAQ's SelectNet system, resulting in faster fills. You can enter an ARCA NOW order on the Order Entry Screen by selecting ARCA from the âRouteâ pull down menu and NOW from the âExpirationâ pull down menu. NOW orders must be placed as Limit orders."
http://www.terranova-mb.com/oct.html
Bill
I understand this is an IB thread, but I'd like to say that Tony Oz is using ARCA NOW ORDERS in fast moving markets.
I took his seminar, and he taught us to use the ARCA NOW ORDER in fast moving markets. This type of order hits all the available liquidity on all ECNs at your specified price and cancells itself immediately if there are no shares available at your price. The whole process takes about 2-3 seconds and you can move on from that point.
Here is more from MB-Terranova:
"ARCA "NOW" Orders will be matched with the ARCA book or immediately routed for execution to Island, RediBook, and Instinet. If needed, NOW orders will use ARCA's SmartBook preferencing algorithm to oversize participants who have reserve capabilities. Any residual volume will automatically be canceled if not executed at the quoted price or better. NOW orders will completely bypass NASDAQ's SelectNet system, resulting in faster fills. You can enter an ARCA NOW order on the Order Entry Screen by selecting ARCA from the âRouteâ pull down menu and NOW from the âExpirationâ pull down menu. NOW orders must be placed as Limit orders."
http://www.terranova-mb.com/oct.html
Bill
Sniper_Trader1-
As far as I know we(that is IB traders) don't have access to ARCA NOW orders through TWS.
As a follow up to the BEST-ECN transaction which had an ARCA leg that took 17 Minutes to fill on the sell side, I should point out that I tried to cancel the ARCA trade about 5 seconds into the trade with no success. I sent a message to ARCA asking them what happened in this transaction. Here is there reply
for your edification, I reshow the original sequence of orders initiated by BEST-ECN. Subtract 4 hours for EST)
BOT 100 PMCS 35.72 ISLAND STK...14:31:53
SLD 42 PMCS 35.50 ISLAND STK...14:45:39
SLD 58 PMCS 35.62 ARCA STK...15:02:19
Reply by Clancy Siko at ARCA:
I have looked at the order in question. It was a limit order to sell 58 PMCS@ 35 1/2 at 10:46:17. The order was routed out at 10:46:17 to our third party vendor. A cancel request was received at 10:46:22. The cancel was not recognized until 10:46:27 because an order needs to be live
for at least 10 seconds. We received no response. We sent another cancel at 10:46:47. The cancel was not recognized by our vendor. It appears that the order was held up on the oddlot route. A fill was recieved at 11:02:18 for 58@ 35.62.
The verification of the order going live is immediate in this situation. Getting verification on the cancellation of this order should have taken no longer than 5-seconds from the time you sent your cancel request. Normally a cancellation verification is sent within 1-2 seconds. If you see this issue occur again, call your broker and have them contact the ARCA trade desk to confirm an out or a fill on the order.
Thank you,
Clancy Siko
Make of this what you will, but I assure you it won't happen again, because I won't use BEST,BEST-ECN, or ARCA again with a market order.
As far as I know we(that is IB traders) don't have access to ARCA NOW orders through TWS.
As a follow up to the BEST-ECN transaction which had an ARCA leg that took 17 Minutes to fill on the sell side, I should point out that I tried to cancel the ARCA trade about 5 seconds into the trade with no success. I sent a message to ARCA asking them what happened in this transaction. Here is there reply
for your edification, I reshow the original sequence of orders initiated by BEST-ECN. Subtract 4 hours for EST)BOT 100 PMCS 35.72 ISLAND STK...14:31:53
SLD 42 PMCS 35.50 ISLAND STK...14:45:39
SLD 58 PMCS 35.62 ARCA STK...15:02:19
Reply by Clancy Siko at ARCA:
I have looked at the order in question. It was a limit order to sell 58 PMCS@ 35 1/2 at 10:46:17. The order was routed out at 10:46:17 to our third party vendor. A cancel request was received at 10:46:22. The cancel was not recognized until 10:46:27 because an order needs to be live
for at least 10 seconds. We received no response. We sent another cancel at 10:46:47. The cancel was not recognized by our vendor. It appears that the order was held up on the oddlot route. A fill was recieved at 11:02:18 for 58@ 35.62.
The verification of the order going live is immediate in this situation. Getting verification on the cancellation of this order should have taken no longer than 5-seconds from the time you sent your cancel request. Normally a cancellation verification is sent within 1-2 seconds. If you see this issue occur again, call your broker and have them contact the ARCA trade desk to confirm an out or a fill on the order.
Thank you,
Clancy Siko
Make of this what you will, but I assure you it won't happen again, because I won't use BEST,BEST-ECN, or ARCA again with a market order.