How Good is BEST

Judging from the response you got from ARCA I have to doubt that def was informed correctly about BEST_ECN orders that are routed to ARCA or REDI not being subject to those ECN's proactive order handling. While ARCA's response is somewhat cryptic (who is vendor?) the mentioning of a 10 second delay before cancellation was possible is a strong hint that the order was sent out to an MM through SelectNet. And since IB's helpdesk confirmed to me that such orders are not marked as IOC that's in fact the expected behavior.

Just as with the recent bug with REDI short sales where for three weeks IB steadfastly denied having made any changes there seems to be again a whole lot of confusion within IB as to what their order routing actually does. Maybe not even their own support personell has access to documentation of their routing logic?



 
there seems to be again a whole lot of confusion within IB as to what their order routing actually does

Indeed-when you don't know what's in the black box you're at their mercy. They can tell you anything they want to tell you and you won't know if it is right or wrong. No Broker wants to reveal the details of their "proprietary" trading protocol for fear some competitor will steal it. How riduclous!
 
Originally posted by jperl
No Broker wants to reveal the details of their "proprietary" trading protocol for fear some competitor will steal it. How riduclous!
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Actually that's not true. REDI as well as ARCA and Cybercorp provide detailed documentation of their order routing logic.
 
Well-if Def is listening-perhaps he can nudge the powers that be at IB to provide us with details of the order routing logic for BEST and BEST-ECN.
 
I've asked Steve Sanders at IB to have this problem fixed with BEST_ECN orders not being marked as IOC. Here's his response:


David-

We are pushing this request up in our queue and I hope to see a fix in the next week.

-Steve
 

I am new to IB. Trying to have a thourough understanding of all the routes available:

First, which ECN's do IB customers have direct access to?
I understand order is sent to book for ISLD, ARCA, INCA, REDI. What about BTRD, BRUT, and MKXT ? Why is it that there can't be any execution with BRUT if not on the inside. When BRUT is not on the inside, IB says order will be rejected if sent to BRUT or Best ECN and BRUT is the best ECN? In the case of Best ECN route, is the order really rejected or sent to next best ECN?

Secondly, regarding BEST routings,I would think BEST and BEST ECN both use SNET, in the case of BEST ECN, ECN's would be hit through SNET. Yet plenty of posts talk about orders sent through ARCA book as if BEST ECN's orders were sent to the books and would be subject to each ECN's handling rules. So in case of partial or the stock traded ahead you would have the (remainder of your) order sit on the book and maybe show on the level 2. I am getting confused here. I thought BEST ECN was just BEST without MM's,i.e. order sent through SNET to the best ECN(s). Could anyone who knows enlighten me on this please.

Thank you in advance

 
First, which ECN's do IB customers have direct access to?

ISLD, ARCA, REDI, INCA, BTRD, BRUT, MKXT

Why is it that there can't be any execution with BRUT if not on the inside.

BRUT does not support orders that would result in a locked or crossed market, so if you send such an order and there is no liquidity on the BRUT book within your price limit to fill it it will be rejected.

Secondly, regarding BEST routings,I would think BEST and BEST ECN both use SNET, in the case of BEST ECN, ECN's would be hit through SNET.

BEST_ECN uses direct ECN connections not SNet except probably for NTRD and ATTN. OTOH maybe it ignores NTRD and ATTN. There's no way to find out other than by experimentation since there's no documentation. BEST uses both SNet and SOES with MMs. Whatever the criteria are for choosing between the two I can't make out any pattern and again customers are not given access to any documentation.

Yet plenty of posts talk about orders sent through ARCA book as if BEST ECN's orders were sent to the books and would be subject to each ECN's handling rules.

There is a bug with BEST_ECN that is currently being addressed by IB with regard to orders sent to REDI or ARCA when the targeted liquidity trades ahead. Since orders sent to those ECNs by BEST_ECN were not marked as IOC they could invoke those ECNs' proactive order handling algorithms and thus potentially end up with an MM (see the discussion above).

BTW, as of last Thursday IB has taken measures to prevent customers from using REDI's and ARCA's proactive order handling mechanisms. Now all marketable orders that cannot be filled from the book are automatically rejected. From what I've been told this unannounced change was made due to a management decision to force customers to use IB's BEST routing.

As far as I know one of IB's guiding principles has always been to provide their customers with a platform that facilitates the fastest and best execution possible. I'm not sure if limiting customers in their choice of the type of order routing they deem most suited for their trading purposes is the way to arrive at that goal.

Dave
 
Thanks Dlincke, great explanation. What's the best route in fast market with IB, besides ISLD? Is NASDAQ (SNET) okay if you place your limit below/above NBB0 ? How is BEST ECN now since there is no possibility of getting stuck with ARCA MM pref.? Can you still get stuck with REDI MM pref. using BEST ECN?

Thank you
 
From dlincke:
As far as I know one of IB's guiding principles has always been to provide their customers with a platform that facilitates the fastest and best execution possible. I'm not sure if limiting customers in their choice of the type of order routing they deem most suited for their trading purposes is the way to arrive at that goal.

Yes dlincke-that has been one of the points of this thread. When you limit your customer's choices, you can't provide both the "...fastest and best execution possible".
Kicking has this same dilemma when he asks:
What's the best route in fast market with IB, besides ISLD? Is NASDAQ(SNET) okay...?.
Well to quote one well know professional trader
"Selectnet broadcast orders show up in the L3 bottom of the MM's window...lowest priority fill for him...you're not directing it at him...he doesn't have to fill it...he can ignore it"(from Ken Calhoun-DayTrading Univeristy).

IB unfortunately doesn't provide the best route which is to
SNET preference a specific market maker.
 
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