IB Execution Speed

B

BullFighter

I just looked at the IB TWS demo and their web site. I'm acustomed to trading on RealTick with the ECNs. Order execution is very fast.

I'm curious how much longer IB's "Best Execution" routing for both Marketable and Non-marketable orders takes over executing ECN orders with RealTick.

Also, in the demo, you can only choose to route only to Island or Best Execution for NASDAQ issues. How fast is their Island routing compared to their Best Execution routing? Has anyone had the pleasure of placing an IB Island order and watching it on their RealTick Level II?

With Best Executition, how do you know (on a Level II) which MM/ECN is handling your order?


Mike
 
Speed with BEST is the same like ISLAND direct, if
the order goes to ISLAND.
The demo does not tell anything about their speed.
Routing to ISLAND takes about 0.1-0.3 seconds, execs
are as fast.
REDI, SUPERSOES are also blazingly fast.
INCA takes a moment longer, but I think it is INCA.
The "BEST"-Decision is made so quickly you cannot notice it.
 
Bullfight,
If you get into IB web site you will find info on how there algorithms tackle execution of orders.
As for their speed from my own personal experiences....I am happy.
You are right you can't assign to specifically target market makers and the like. You can configure it to send all your orders to a specific target....say....Island or Arca etc....I use Best executions for just about all my trades....it keeps me out of trouble with various rules that I must know and be able to decide which route is best for a given situation...you can get into trouble if you don't know the rules ( 5 min rule). Although best execution is not always the best route...it does help to keep you out of trouble in the heat of battle, when you need to act and act quickly. Overall I would rate best execution speed as good as they come.:)
 
bullfighter,
keep in mind the demo is just a demo. as it is not sending orders to an exchange, speed is determined by the demo program. real executions to most exchanges should be faster.
 
As I mostly trade the Q's - what would the best way be to route them with IB?

I believe ISLD is faster than AMEX. How would BEST handle an order of QQQ? Could I easily chose to route it through ISLD?
 
Originally posted by granville x
As I mostly trade the Q's - what would the best way be to route them with IB?

I believe ISLD is faster than AMEX. How would BEST handle an order of QQQ? Could I easily chose to route it through ISLD?
More...

I believe that the best way to route QQQ's with IB is through Island, however, I use the Island book for my quotes rather than the IB quotes. I tried using IB BEST and Island is much quicker.
 
granville x
As I mostly trade the Q's - what would the best way be to route them with IB?
I believe ISLD is faster than AMEX. How would BEST handle an order of QQQ? Could I easily chose to route it through ISLD?


Yes Granville. Best is merely an option. TWS provides the functionality to choose where you want to be routed. QQQ fills are lightning fast.
 
As far as I can ascertain, IB' speed is tremendous in the "e-markets."

IB's problems are no worse than anybody else's in NYSE.

It is IB's reliability when it comes to NYSE that is in question. If you stay with the "e-markets," them, IMHO, you will be very happy with IB.

nitro
 
Thanks for the comments so far.

The demo only allows you to choose BEST or ISLAND for NASDAQ stocks. Which ECN's does the real software allow you to choose?

The API docs say

NOTE: When you connect to TWS using any of the API components, you must route all U.S. stock and option orders through BEST order routing.
More...

Why is this? Are there any plans to expand this?

I have examined the BEST Execution flow charts on the site carefully. I fully understand the logic. If all orders to the ECN's are IOC (Immediate or Cancel), the execution logic should work quite well. However, when an order is not IOC, or it gets hung or left hanging through SelectNet, SuperSoes or Market Maker (Timber Hill), lengthy delays could be incurred.

Is this a correct accessment? Could this be the reason that the QQQs execute faster on the ECN? Would it make sense to give the user the option to exclude non-IOC routes?

I'm also curious if a detailed audit log is available for each order.

Thanks,

Mike
 
Originally posted by BullFighter

I have examined the BEST Execution flow charts on the site carefully. I fully understand the logic. If all orders to the ECN's are IOC (Immediate or Cancel), the execution logic should work quite well. However, when an order is not IOC, or it gets hung or left hanging through SelectNet, SuperSoes or Market Maker (Timber Hill), lengthy delays could be incurred.
More...
Not seen any delays and TMBR never held any order - there would be lots of complaints if they did !
 
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