IB Price Feed?

Originally posted by dlincke


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.
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Dave,

Are you absolutely certain on that? Do you have first-hand knowledge or info on some NYSE rule(s) that would clarify? I have had way too many orders receive a fill when the cancel is sent.

Also, if what you say is true, then why wouldn't you always receive an OUT right away when you cancel, if you were not getting a fill? Sometimes I get an out right away. Sometimes 40 seconds later. And sometimes a fill much later.


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
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Hm. Most of my direct+ experience is with REDI+, but folks at IB told me previously that orders are automatically routed to direct+ when applicable.
 
Originally posted by Eldredge
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.
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Well, it depends what you're trading, but you will generally be better served by using round lots (# shares evenly divisible by 100). Most of the ECNs won't trade partial lots, though you should be able to get a match on the whole lot amount.

If you DO use Direct+, it's always a nice idea to add 99 shares, if you'd be happy doing an extra 99, as the specialist has got to take the odd lots at the inside quote.

Speaking of odd lots -- I recall that IB changed some policy awhile back against the trading of odd lots. Does anyone know the details?
 
The two minute window on NYSE came from page 40 the book "The Electronic Day Trader". The book was published in 1998 and a lot can change in four years.

As far as IB looking at offering direct access to the regional exchanges, IB did a survey and ask their users to rate how important this access would be.

Dave ("dlincke"), as far as my post #36, I stand by my position of how I think the Specialist handles posting ones order and cancelations.

Catoosa
 
Originally posted by Catoosa
Dave ("dlincke"), as far as my post #36, I stand by my position of how I think the Specialist handles posting ones order and cancelations.
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This is a sequential process. Once the order has entered the auction process it can no longer be cancelled. The specialist or clerk will never even get to see your cancellation attempt. Delays at this stage are usually due to the specialist aggregating individual orders price improving some of them in the process.
If your cancel message comes up before this point in time you'll receive a successful cancellation. There's no discretion on the part of the specialist. Every order cancellation needs to be manually acknowledged and other cancel messages ahead of yours as well as the fact that the specialist is typically in charge of quite a few additional stocks can lead to delays.
 
Dave and Wonderduck,

Thanks for the info. I think I will change my routing to NYSE instead of BEST Monday and see what happens.
 
Originally posted by dlincke


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
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It's amazing to me that IB continues to tell some people they are using Direct+ and others that they are not.

In my experience, too, I do not believe they are using Direct+. I've had way too many orders that would otherwise be Direct+-eligible, take 90 seconds to fill, and receive price improvement in the process. Clearly, they didn't go to Direct+.

DEF - why can't we get a straight answer on this?

From what I've heard elsewhere, and experienced, the specialist is able to lock the orders on the book while he is arranging a trade. Between the time he locks the book and the time the trade occurs, I cannot cancel the order. If I send the cancel before he locks it, I get an immediate out.

FWIW, I would definitely want a separate route for Direct+, since I will usually want to take advantage of the potential for price improvement when trading relatively small size by sending it to DOT instead. My experience with most specialists has been good, and I almost never receive a fill at or outside the quote that was displayed when I placed the order.

Come to think of it, I sold 10K shares of ELN earlier this month while the thing was still falling, and got a good fill, in a relatively fast market, when the buyers (including me :-() had all washed out.
 
Originally posted by alanm


It's amazing to me that IB continues to tell some people they are using Direct+ and others that they are not.

In my experience, too, I do not believe they are using Direct+. I've had way too many orders that would otherwise be Direct+-eligible, take 90 seconds to fill, and receive price improvement in the process. Clearly, they didn't go to Direct+.

DEF - why can't we get a straight answer on this?

From what I've heard elsewhere, and experienced, the specialist is able to lock the orders on the book while he is arranging a trade. Between the time he locks the book and the time the trade occurs, I cannot cancel the order. If I send the cancel before he locks it, I get an immediate out.

FWIW, I would definitely want a separate route for Direct+, since I will usually want to take advantage of the potential for price improvement when trading relatively small size by sending it to DOT instead. My experience with most specialists has been good, and I almost never receive a fill at or outside the quote that was displayed when I placed the order.

Come to think of it, I sold 10K shares of ELN earlier this month while the thing was still falling, and got a good fill, in a relatively fast market, when the buyers (including me :-() had all washed out.
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IB does use Direct+, but not all the time. IB has its own internal algorithm to determine if your order should be sent direct+ or just normally to the specialist. I've often seen my buy order execute immediately at the offer and the size decreases according to my order. What makes me confident IB is using direct plus is when the size showing is something huge like 1000 (100,000 shares) and my buy order for 1000 shares takes the size down to 990 right away.
 
Originally posted by Htrader
IB does use Direct+, but not all the time. IB has its own internal algorithm to determine if your order should be sent direct+ or just normally to the specialist. I've often seen my buy order execute immediately at the offer and the size decreases according to my order. What makes me confident IB is using direct plus is when the size showing is something huge like 1000 (100,000 shares) and my buy order for 1000 shares takes the size down to 990 right away.
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What route are you talking about? BEST or NYSE?

Your example doesn't necessarily imply that Direct Plus was involved. Or did you verify the NX indicator on the tape? It may just have been a specialist or clerk with a fast trigger finger. Quote decrementation can be automatic on specialist fills too.
 
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