IB and Metals
- Thread starter cscott
- Start date
ic, thanks for the explanation
i had just assumed maybe it was timber because of the zero time delay from when i hit the key. the mm update hits the mkt at the exact same time i do. makes no diff either way, i was just considering who could have such an immediate response. it's really interesting to test the bots behavior
thanks. sorry to go off topic
i had just assumed maybe it was timber because of the zero time delay from when i hit the key. the mm update hits the mkt at the exact same time i do. makes no diff either way, i was just considering who could have such an immediate response. it's really interesting to test the bots behavior
thanks. sorry to go off topic
makes sense. thx
It's not surprising to see updates happen "immediately", at least as far as can be perceived by a human. Most MM firms make markets electronically. The time between you pressing the "T" button to when you see an updated "bot" quote in a related contract can easily be 100-300ms if the MM (whoever it is) is reasonably technically competent. That's enough time for everyone to see the updated quote and modify/place the related orders in the other contracts.
The electronic contracts and the pit-traded contracts are, indeed, two separate instruments, but, like most instruments that are related, they are kept in sync by (usually automated) arbitrage bots. If you leave a resting electronic order in a contract that does not have someone making a market in it (unusual), and the pit opens and moves more than a tick or two through your limit price, you can expect that someone will pick you off. If it tops/bottoms out right at your limit (or close to it), you may not get filled (nor are you required to be).
The electronic contracts and the pit-traded contracts are, indeed, two separate instruments, but, like most instruments that are related, they are kept in sync by (usually automated) arbitrage bots. If you leave a resting electronic order in a contract that does not have someone making a market in it (unusual), and the pit opens and moves more than a tick or two through your limit price, you can expect that someone will pick you off. If it tops/bottoms out right at your limit (or close to it), you may not get filled (nor are you required to be).
good points alan
i've noticed this as well, for instance offering inside the spread on island, caes will almost always instantaneously duplicate my offer.
i tried to get smart once and see if this could be used to get better fills, i bid inside the spread on island, then hit the ditto bid on caes. caes hit my island bid instantly resulting in a near simultaneous short and cover ... i'm sure there's something more to it, but interesting for sure
regardless, there's definitely a minutely perceptible speed difference between say, offering and seeing a response in gold at night if this particular bot is there, to any number of other mkts for example stocks where repetitious mm algos are sometimes noticably a hair behind. it's also very easy to see when the mm bot is attempting outbid me into taking a worse price
if timber doesn't see me before i hit the exchange on electronic futs, i'm assuming they don't have first access to IB orders in those mkts. i was wondering last night how that would work with say, globex, since executing off the mkt probably isn't allowed
with stocks, i guess timber must have the equivalent of its own ecn that's included in SMART
i've noticed this as well, for instance offering inside the spread on island, caes will almost always instantaneously duplicate my offer.
i tried to get smart once and see if this could be used to get better fills, i bid inside the spread on island, then hit the ditto bid on caes. caes hit my island bid instantly resulting in a near simultaneous short and cover ... i'm sure there's something more to it, but interesting for sure
regardless, there's definitely a minutely perceptible speed difference between say, offering and seeing a response in gold at night if this particular bot is there, to any number of other mkts for example stocks where repetitious mm algos are sometimes noticably a hair behind. it's also very easy to see when the mm bot is attempting outbid me into taking a worse price
if timber doesn't see me before i hit the exchange on electronic futs, i'm assuming they don't have first access to IB orders in those mkts. i was wondering last night how that would work with say, globex, since executing off the mkt probably isn't allowed
with stocks, i guess timber must have the equivalent of its own ecn that's included in SMART
Just so there is no confusion, Timber Hill's activity and IB clients' activity is STRICTLY separated. Chinese wall rules require this, of course, and we have had an in-depth SEC audit on the topic. The IB standard for internal audit control of orders has been even described as a model more brokerage firms should aspire to. There is NEVER any blurring of the lines to provide Timber prior information; we NEVER intentionally or systematically do anything that compromises our primary responsibilities as agent.
Timber can act as counterparty to client trades (for example, TH is a specialist in many US listed options, or via internalization on some equity markets) but only where the Timber price pre-exists and meets or beats the NBBO.