IB Price Feed?

Wonderduck · Feb 23, 2002

Hi All,

Does anyone know if IB ever intends to offer a price feed which updates as the actual markets do, rather than sending an update only once per second?

While the current price feed gives you a general idea of where the quote stands, and is fine for very very thin issues, it's a little bit difficult to get a good idea of price action with it.

Also, if each trade was delivered with the size and price as a pair (rather than separately), you could use it to get an idea of volume, vwap, etc.. With the current implementation, you have no way to tell if only one trade happened during the last second, or if one hundred did.

Eldredge · Feb 23, 2002

I think that would be one of the best improvements they could make. That and some improvements on NYSE routing. I wish they would put these items on their customer surveys.

Wonderduck · Feb 23, 2002

Originally posted by Eldredge
I think that would be one of the best improvements they could make. That and some improvements on NYSE routing. I wish they would put these items on their customer surveys.

Maybe we'll have to write them in next month.

What sort of NYSE routing changes were you talking about?

Eldredge · Feb 23, 2002

Originally posted by Wonderduck

Maybe we'll have to write them in next month.

What sort of NYSE routing changes were you talking about?

Wonderduck,

I don't really know to tell you the truth. I trade two NYSE stocks and eight NAS stocks. I trade the listed ones mostly because I feel like I should know how to trade them. I am happy to say that I make money on them, but it is extremely frustrating for me.

For example, I will enter a bid/offer in the spread and it will not be shown. It really kills me when the specialist gaps the bid/offer right past me. This quite often results in price improvement, but still... Sometimes I will enter a bid a penny above the offer, not get filled and eventually see the bid and offer move above me (and the other way around if I enter an offer). When I do get filled it takes a long time (after the order is acknowledged by NYSE). It's almost as bad as NAS was before the ECNS - the one thing that is better is the price improvement.

I would just like to be able to get instant (sub-second) fills at the current bid/offer and have my orders show immediately when I split the spread. Maybe this isn't possible, but posts by others make it seem like they can do this. If I could do this, it would be almost as good as NAS

. So whatever routing it is that allows this is what I would like.

Catoosa · Feb 23, 2002

I am going from memory and could be wrong; But, I remember the following:

On the NYSE, the specialist has a two-minute window before he has to fill your order or post your bid/offer. If the specialist fills your order immediately, the results may not be released for up to two minutes. So, the time delay is with the specialist and not IB. The specialist is in complete control and one does not know what he has done or is going to do; But, with experience one will have a good idea of when he has filled the order but is not ready to post the results. One may think the specialist has moved the market and passed you by when he has filled the order and if in the mean time you cancel the order, the specialist may do what you request and give you a cancellation on an order he was going to give you a fill on.

Where IB could help us is by showing the bid/offers of the regional exchanges and allow the direction of orders to regional exchanges. I think IB has been evaluating making this change.

Catoosa

Eldredge · Feb 23, 2002

Cartoosa,

Thanks for the reply. I am far from an authority on NYSE, and you could be right. What I see happen seems to agree with what you say. I usually can't wait 2 minutes to see if I got filled or not - that's part of what is so frustrating for me. What about super-dot or something else that is supposed to be able to hit the bid or take out the offer? Maybe it's like the old SOES and it doesn't really work in the real world like we would like it to.

Wonderduck · Feb 23, 2002

b

Originally posted by Eldredge

Wonderduck,

I don't really know to tell you the truth. I trade two NYSE stocks and eight NAS stocks. I trade the listed ones mostly because I feel like I should know how to trade them. I am happy to say that I make money on them, but it is extremely frustrating for me.

For example, I will enter a bid/offer in the spread and it will not be shown. It really kills me when the specialist gaps the bid/offer right past me. This quite often results in price improvement, but still... Sometimes I will enter a bid a penny above the offer, not get filled and eventually see the bid and offer move above me (and the other way around if I enter an offer). When I do get filled it takes a long time (after the order is acknowledged by NYSE). It's almost as bad as NAS was before the ECNS - the one thing that is better is the price improvement.

I would just like to be able to get instant (sub-second) fills at the current bid/offer and have my orders show immediately when I split the spread. Maybe this isn't possible, but posts by others make it seem like they can do this. If I could do this, it would be almost as good as NAS . So whatever routing it is that allows this is what I would like.

What Catoosa says is pretty much right, though I think the time limit is 90 seconds. Also correct on the fact that if you were to get a fill and then cancel, the specialist can change his mind on that. Many times, they like to sit on an order you should rightly be filled on, hoping you will cancel. If you do, then they can keep it.

Also important to know about is NYSE's Direct+ system. IB routes to it automatically on eligible orders. Basically, you will get auto-execution, bypassing the specialist, if you are trying to buy the offer or sell the bid, provided that (1) your order is for 1099 shares or less, (2) the bid or offer has not already been traded. For these eligible orders, though, there is no opportunity for price improvement. If your order does not qualify, or the quote had already been filled, then your order is routed to the specialist as is done normally.

What you describe, though, about bidding a penny above the current bid, never see your bid show, and then see a new bid above you is typical. May I ask, what sort of size you are doing? If your size is a fair amount and the stock is somewhat thin, then you will see this much more often. The 90 second timeframe is given for the specialist to either fill you, show your order, or update his/her new quote (bettering yours). Also of note is that when you cancel, I think the 90 seconds starts again.

Eldredge · Feb 23, 2002

Wonderduck,

I guess we're getting a little off topic here, but I really appreciate the response. I trade MER and MWD using BEST(and sometimes I trade QQQ with BEST and get routed to NYSE). I pare into my positions on these stocks at about 160 shares at a time, but I have never seen a quick fill. If I choose NYSE instead of best would this help? If I did 200sh do you think that would help (although when I was doing 100 lots or 300 lots, I didn't see any difference). Thanks again for the tips.

dlincke · Feb 23, 2002

Originally posted by Catoosa
Where IB could help us is by showing the bid/offers of the regional exchanges and allow the direction of orders to regional exchanges. I think IB has been evaluating making this change.

Quite to the contrary, IB has taken away the option to trade with any of the regional exchanges and Nasdaq Intermarket dealers when they decided to cripple ARCA functionality.

Dave

dlincke · Feb 23, 2002

Originally posted by Wonderduck
What Catoosa says is pretty much right, though I think the time limit is 90 seconds. Also correct on the fact that if you were to get a fill and then cancel, the specialist can change his mind on that. Many times, they like to sit on an order you should rightly be filled on, hoping you will cancel. If you do, then they can keep it.

A cancel attempt will be successful if it arrives at the post in time before the specialist has hit the fill key for your order (or a larger block that includes your order). He does not have the option of reconsidering after the fact.
A single specialist typically trades around a dozen stocks so often the fill time is more or less a function of how much trade volume is going through in those stocks at that point in time. Generally, the thinner the stock the longer the typical wait time as those stocks usually get the least attention by the assigned specialist.

Also important to know about is NYSE's Direct+ system. IB routes to it automatically on eligible orders. Basically, you will get auto-execution, bypassing the specialist, if you are trying to buy the offer or sell the bid, provided that (1) your order is for 1099 shares or less, (2) the bid or offer has not already been traded. For these eligible orders, though, there is no opportunity for price improvement. If your order does not qualify, or the quote had already been filled, then your order is routed to the specialist as is done normally.

More...

As far as I know IB does not use Direct+ at all (def could you please confirm or deny this?). They definitely don't use it on the NYSE route. A while ago I've suggested that IB make available an additional Direct+ route and received the answer that this was under consideration.

Dave