IB Execution Speed

i think i need to repeat what has been stated in other threads. The TMBR route is not your typical market maker route. The order will only be routed to TMBR if TMBR can meet or better the NBBO. When things are flagged to go to TMBR, orders are instantanesouly filled and thus should be faster than any other route.
 
def,

Thanks for your replies. I'm sure that you can appreciate that because I am considering opening an account with your firm that I want to get as much information about your execution speed as possible. Since I'm currently using RealTick order entry I have something to compare to.

Would you or one of the company's other representatives kindly answer my other questions? They are:

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

Are there any plans to expand the API to do more than Best Execution order entry?

Is a detailed audit log available showing the exact time and routing decisions for each order? This would give a better idea of actual execution time.

Thanks,

Mike
 
IB's routing is generally very fast. I have traded QQQ using BEST and ISLAND. I prefer island - it is pretty much instant. However, you do give up the chance for price improvement. I find that the specialists have a harder time manipulating QQQ though, so price improvement is usually minimal. Getting the fill is much more important to me.

I have been having serious trouble with mixed lot orders lately though. BEST seems to separate the order and execute the round lots instantly. Then the odd portion just lays there until the quote moves a penny or two past the limit price and someone finally takes out my order (I assume someone else takes it out because I don't get filled even when there is stock available). This has been a consistent problem for several weeks now, and is very frustrating. For round lots, things seem pretty good.
 
Execution report and daily statement contains time, place and IB´s internal number for every execution.
This is not meant to be the full list, just to give an idea where my BEST orders for stock like MSFT, INTC were executed:

ISLAND (most), ARCA, INSTINET, RDBK, TMBR
 
Mike,

Exchanges/ECN's:
Best to look under the US flag at:
http://www.interactivebrokers.com/html/retailAccount/products.html

The above link gives trading hours. I'll list the ECN's:
ARCA, BTRADE, BRUT, Instinet, Island, Redi

Others:
Timber Hill Auto Ex, NYSE, NASDAQ, ISE (electronic option exchagne which offers good depth and size in the Q options, as well as the all the other option exchanges, PSE, PHLX,CBOE and AMEX).


API:
Maybe. There are a number of factors but the main one seems to be cost. IB naturally wants to split any ties to the most cost-effective route. There might be some flexibility coming but as far as I know this is not the highest internal priority.

Is a detailed audit log available showing the exact time and routing decisions for each order? This would give a better idea of actual execution time.

Yes, the internal audit trail shows were there are routed as well as things like when it left your machine, hit the ib server, hit the exchange server etc. These files are quite large and thus aren't delivered. They also aren't the easiest things to read as they contain a lot of information. However, if you have a question in regards to a particular order, the help desk should be able to provide specific details.

Eldrige,
Strange about the odd lots. I've already asked someone to look at it. As for the AMEX, they had the dominant franchise with the Q's but have lost it to the other exchanges providing faster executions.
 
Beware when trading spy, qqq or dia using IB's BEST execution. If you happen to be routed to NYSE, you are dead.
It happened to me today. I shorted SPY and after it went against me I tried to get out using BEST. BEST routed my order to NYSE and seeing the stock going more against me, I cancelled the BEST order and it stayed in pink for a while using NYSE as route. Since SPY was running against me very quickly, I manually switched to ISLD without best and covered my short position, meanwhile I got a stuck in pink BEST order yet to be confirmed. 5 minutes later my BEST execution which routed to NYSE was executed and I was long in SPY ! ! ! I quickly sent a sell using ISLD and finally got out with around 0.07 loss. What a delay. I will never use BEST when trading index tracking stocks like qqq and spy. If you happen to route a NYSE using best you are dead. Nyse specialist is too slow to compete against the ECNS. So the result I got were 2 losses instead of one just because a pink order using BEST executed on me 5 minutes later ! ! !
Later in the day I traded NASDAQ stocks using BEST and they were lightning fast. Was filled on BTRD, INCA and ISLD using BEST.
Lesson to learn: don't use BEST when it comes to SPY, QQQ or DIA.

hsanson
 
Originally posted by hsanson
Beware when trading spy, qqq or dia using IB's BEST execution. If you happen to be routed to NYSE, you are dead.
It happened to me today. I shorted SPY and after it went against me I tried to get out using BEST. BEST routed my order to NYSE and seeing the stock going more against me, I cancelled the BEST order and it stayed in pink for a while using NYSE as route. Since SPY was running against me very quickly, I manually switched to ISLD without best and covered my short position, meanwhile I got a stuck in pink BEST order yet to be confirmed. 5 minutes later my BEST execution which routed to NYSE was executed and I was long in SPY ! ! ! I quickly sent a sell using ISLD and finally got out with around 0.07 loss. What a delay. I will never use BEST when trading index tracking stocks like qqq and spy. If you happen to route a NYSE using best you are dead. Nyse specialist is too slow to compete against the ECNS. So the result I got were 2 losses instead of one just because a pink order using BEST executed on me 5 minutes later ! ! !
Later in the day I traded NASDAQ stocks using BEST and they were lightning fast. Was filled on BTRD, INCA and ISLD using BEST.
Lesson to learn: don't use BEST when it comes to SPY, QQQ or DIA.

hsanson
More...

That's EXACTLY what I expected. My earlier post:

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?
More...
 
I'll say it again. IB needs a BEST IOC ONLY route. They also need to expand the API.

I opened an IB account today. However, I think that their order entry is really lame. I intend to write my own.

Def, If your listening, what are the chances of getting a BEST IOC ONLY route? These horror stories are really scary.

Mike
 
Originally posted by hsanson
Nyse specialist is too slow to compete against the ECNS.
hsanson
More...

We would all be better off if there were no specialist and all exchanges traded like NASDAQ and ECNs. Allowing a specialist to control all of the order flow and rip off all buyers and sellers should be a violation of antitrust laws. It is a license to steal. Total corruption in my opinion.

A lot of times the NYSE Specialist has already paired off the order as part of a larger order or something else the Specialist is putting together and will not allow the order to be cancelled even though the specialist has not posted the transactions to the tape.

Catoosa
 
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