Well retail flow is nothing compared to institutional and hft and, as you said, it all gets internalized anyway. Hidden liquidity is significant. You would want to put hidden offer to improve your chance of getting filled. You basically jump in front of displayed offers to get priority.
IB commission fee vs standard pricing.
- Thread starter ELo
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1.those "hidden orders" exist because of those bastards hft. if you show your orders inside the spread, they will front run your order by penny jump, bringing your stock price to the heaven or to the hell, before they cancel their orders and put a new order in the opposite side!
2. i am not sure 100%, nobody can say whats really happen. i am pretty convinced that a BIG prop hft firms like "Timber hill" or someone else is pluged into IB orders servers with their non official acknoweldgment. and they adverse select you and me....they eat billions on our heads.
ask a question: why ib take us insane fees if we wish to direct route? in fact why do they force us to use their so smart "SMART" router?
why they dont supply post-only or alo orders, if they are only a broker?
3. the first thing you need to look at to reduce that problem is first:
effective spread vs displayed spread, in real time it give you an idea of the 3/4 you were talking about.
seconds, you need to feed your algo with the orderflow (orderflow can be calculated different ways, took me severals years to have a robust order flow calculation)
at the end, make your SOR....
all what i told here is sensitive if you do algo trading, otherwise forget it...
rgds,
Sorry, what insane fees you are talking about? I don't think they have any extra fees for direct routing. If you send directly to exchange, you will pay the commissions PLUS the liquidity taking fees charged by exchange. Am I missing something?
first you can send to the exchange you want via DIRECT routing without taking liquidity, you can post at best and wait to be served, then you pay commission at ib and receive the rebate.
seconds, if you choose something else than smart with ib, ib commisions are terrible.
i dont remember the the exact additional fee because they change it often. but there is and a big.
seconds, if you choose something else than smart with ib, ib commisions are terrible.
i dont remember the the exact additional fee because they change it often. but there is and a big.
Hm doesn't sound right ... commissions must be the same, the only fee I know of is for taking liquidity (plus negligible sec fee). Let's say IB sends your order to EDGE but EDGE must re-route to NYSE, then you will also pay routing fee. That's where the variation may come in. There are plenty of IB traders here who should be able to confirm.
READ THE IB WEB SITE
IT DOESNT WORK LIKE THAT.
when your order is on an ecn/exchange, its up to the ecn to reroute, without any fees or whateever extra cost.
I AM JUST TELLING YOU THAT IB WANT YOU TO USE SMART, IF YOU NOT LET THEM SENDING YOUR ORDER WHERE THEY WANT AT FIRST SEND BUT YOU CHOOSE TO DIRECT ON ECN XYZ, they charge you an additional cost....because you choosed to direct route...
test it
its like this since few years and i tested it again last year....
IT DOESNT WORK LIKE THAT.
when your order is on an ecn/exchange, its up to the ecn to reroute, without any fees or whateever extra cost.
I AM JUST TELLING YOU THAT IB WANT YOU TO USE SMART, IF YOU NOT LET THEM SENDING YOUR ORDER WHERE THEY WANT AT FIRST SEND BUT YOU CHOOSE TO DIRECT ON ECN XYZ, they charge you an additional cost....because you choosed to direct route...
test it
its like this since few years and i tested it again last year....
How can a hidden order have greater chance of filling compared to a visible order at the same price? Hidden orders are always at the back of the queue, AND they are not eligible to become protected quotes so they will be traded through or price improved (internalized) much more often.
This article explains how hidden orders can be useful to combat "penny jumping": http://www.beathft.com/?p=88
To implement this properly you need to direct route hidden orders to multiple exchanges, and so you can't really use this with IB.
To implement this properly you need to direct route hidden orders to multiple exchanges, and so you can't really use this with IB.
You obviously didn't read it carefully.
Read what carefully? The link I posted afterwards in answer to my own question? That link explains why someone would use hidden orders, your post does not.