IB SMART routing not so Smart

F

fbell50

I am new to IB. I had the following disturbing experience that has raised serious doubts about IB’s SMART routing.

I had the following orders entered at IB routed SMART prior to market open on 9/15/06:

Buy 400 BTJ limit 15.35
Buy 500 BTJ limit 15.34
Buy 500 BTJ limit 15.33
Buy 500 BTJ limit 15.32
Buy 500 BTJ limit 15.31
Buy 500 BTJ limit 15.30
Buy 500 BTJ limit 15.29
Buy 500 BTJ limit 15.28
Buy 500 BTJ limit 15.27

Based on my reading of IB’s description of SMART routing I expected that all of these orders would in general be routed to the AMEX, BTJ’s primary exchange. If an opportunity arose to execute on a different exchange then they would be routed there.

But what apparently happened was that the closest order, the 15.35 was routed to the AMEX. The others were not routed at all. My primary quote source, which I confirmed with my secondary source, shows that after the 15.35 filled, the next best AMEX bid was 15.33, skipping my 15.34. Further the 15.33 filled (but not my 15.33) and BTJ traded down to 15.25 and none of my orders filled. Now even if my orders had been routed somewhere else, which my quote source does not show, I would have expected a fill on at least the 15.34 which would have been the NBB. My 15.34 does not show up until 9:33:59 more than a minute after it should have been best bid at 9:32:51.

Further my other orders executed outside of price sequence. The 15.31 was reflected and filled 92 sec after the 15.29 filled.

I have been trying out IB looking to switch from Ameritrade’s Izone, but this experience has left me a bit shaken. With Ameritrade you can count on them routing your orders promptly, and in the rare case something like this happens they will make you whole. I frequently enter orders like this and sometimes I get multiple fills all at the same price on Listed stocks. Of course they frequently route to Brut or some other ECN and in that case you are only due a fill if your order was the NBBO.

Now I am seriously reconsidering whether IB is a good broker for me. I have opened a help ticket with them. It will be interesting to hear their explanation. An annotated transaction log is attached.

Is this what others have experienced? Is SMART routing to be avoided?

BTJ-A - Transaction Log
9:49:42 A 15.30 15.51 1x1
9:49:20 A 15.30 15.51 1x1
9:48:58 A 15.29 15.51 1x1
9:48:40 A 15.28 15.51 1x1
9:48:38 A 15.28 15.51 5x1
9:48:37 A 100 15.36
9:48:37 A 15.28 15.36 5x1
9:48:16 A 15.28 15.36 5x1
9:48:16 A 300 15.31 <== 15.31
9:48:16 A 15.31 15.36 1x1
9:48:15 A 200 15.31 <== 15.31
9:48:15 A 15.31 15.36 3x1
9:48:14 A 15.31 15.36 3x1
9:46:39 A 15.31 15.36 5x1
9:46:39 A 500 15.32
9:46:38 A 500 15.29 <== 15.29
9:46:37 A 15.29 15.36 1x1
9:46:36 A 15.29 15.36 5x1
9:46:36 A 15.30 15.36 1x1
9:46:36 A 500 15.30 <== 15.30
9:46:36 A 15.30 15.36 5x1
9:46:34 A 15.31 15.36 5x1
9:46:33 A 15.32 15.36 1x1
9:46:32 A 15.32 15.36 5x1
9:46:32 A 15.33 15.36 1x1
9:46:32 A 500 15.33 <== 15.33
9:46:31 A 15.33 15.36 5x1
9:46:30 A 500 15.34 <== 15.34
9:46:30 A 15.34 15.36 1x1
9:46:30 A 15.34 15.36 5x1
9:46:29 A 400 15.36
9:46:29 A 15.36 15.37 1x1
9:45:59 A 15.36 15.37 4x1
9:45:55 A 15.36 15.37 4x5
9:45:54 A 15.37 15.57 1x10
9:45:54 A 500 15.37
9:45:40 A 15.37 15.57 5x10
9:45:39 A 15.37 15.99 5x10
9:43:59 A 15.37 15.44 5x2
9:43:13 A 15.37 15.44 5x2
9:42:37 A 15.37 15.44 4x2
9:42:11 A 15.37 15.57 4x2
9:42:09 A 15.36 15.37 4x1
9:42:09 A 300 15.37
9:40:40 A 15.36 15.37 4x1
9:40:40 A 100 15.36
9:40:39 A 15.36 15.45 4x1
9:40:39 A 15.36 15.45 4x2
9:38:33 A 15.36 15.45 5x2
9:38:02 A 15.36 15.45 5x1
9:38:00 A 100 15.45
9:37:10 A 15.36 15.55 5x3
9:36:55 A 15.36 15.55 5x3
9:36:31 A 15.30 15.55 3x3
9:36:30 A 15.30 15.55 3x5
9:36:29 A 15.30 15.55 3x10
9:36:26 A 15.25 15.99 3x10
9:35:44 A 15.34 15.50 1x1
9:35:38 A 15.34 15.50 5x1
9:34:34 A 15.39 15.50 1x1
9:34:23 A 15.34 15.50 5x1
9:34:22 A 100 15.45
9:34:17 A 15.34 15.50 5x1
9:34:16 A 15.34 15.39 5x1
9:34:15 A 100 15.39
9:33:59 A 15.34 15.39 5x1 <== Finally the 15.34 is reflected
9:33:45 A 15.25 15.43 3x2
9:33:13 A 15.25 15.50 3x5
9:33:10 A 15.25 15.45 3x5
9:33:09 A 15.25 15.26 3x1
9:33:08 A 400 15.26
9:33:05 A 15.25 15.26 3x4
9:33:04 A 15.12 15.26 1x4
9:33:03 A 1500 15.25 @
9:33:00 A 1300 15.25
9:32:59 A 15.11 15.61 1x2
9:32:56 A 100 15.33
9:32:53 A 1000 15.33
9:32:52 A 15.33 15.61 1x2
9:32:51 A 15.33 15.61 10x2 <== where’s my 15.34 order
9:32:51 A 15.50 15.61 1x2
9:32:50 A 500 15.50
9:32:42 A 200 15.50
9:32:42 A 15.50 15.61 5x2
9:32:37 A 15.50 15.61 7x2
9:32:36 A 15.50 15.61 7x2
9:32:35 A 15.50 15.61 7x2
9:31:10 A 15.41 15.61 2x2
9:31:08 A 200 15.50
9:31:03 A 15.35 15.41 1x1
9:31:02 A 200 15.35 @ <== 15.35
9:30:59 A 500 15.36
9:30:58 A 15.35 15.41 2x1
9:30:58 A 15.35 15.41 2x5
9:30:58 A 200 15.35 <== 15.35
9:30:55 A 300 15.41
9:30:55 A 15.35 15.41 4x5
9:30:54 A 15.35 15.41 4x8
9:30:53 A 700 15.41
9:30:48 A 15.35 15.41 4x15
9:30:47 A 200 15.41
9:30:47 A 15.35 15.41 4x17
9:30:47 A 15.35 15.41 4x23
9:30:46 A 500 15.41
9:30:43 A 600 15.40
9:30:34 A 15.35 15.41 4x28
9:30:33 A 300 15.40 @
9:30:31 A 15.40 15.51 1x1
9:30:30 A 1100 15.40 @
9:30:28 A 15.40 15.51 7x1
9:30:27 A 400 15.42 @
9:30:17 A 15.40 15.51 7x28
9:30:15 A 15.50 15.56 1x1
9:30:15 A 15.50 15.56 1x28
9:30:14 A 200 15.50 @
9:30:12 A O 15.50 15.56 2x28
9:30:08 A 4900 15.55
 
I received a response from IB. They said that the orders were routed to AMEX and that AMEX was not updating the bid to reflect my order. On one hand that's comforting because it means it wasn't an IB screw up.

OTOH, it's disturbing because it means whoever was handling BTJ for the AMEX was either incompetent or looking to take me for a ride.
 
Quote from fbell50:

I am new to IB.

Now I am seriously reconsidering whether IB is a good broker for me.
More...

even the better brokers have a few weak spots ... i too have a izone account and will be interested if you find another broker you find more suitable (all things considered)

it will be interesting to see how ameritrade / izone and other brokers are effected after October 1 when hybrid nyse is implemented

Good Luck:)
 
If you trade AMEX stocks...
You have to assume you will be "gamed" by just about everyone along the food chain...
That almost anything can and will happen to your order...
And build that into your Transaction Cost assumptions.
(The US Constitution, Federal, State, and Local Laws, SEC Regulations, and NASD Regulations...
DO NOT APPLY to AMEX stocks).

About 80% of your orders will be properly executed... and you will be cheated about 20% of the time...
Mostly just not get a fill... which is lost opportunity cost.
It varies from stock to stock... and I find the odd AMEX stock to be virtually untradeable.

In terms of IB...
My experiance is that for AMEX-listed stocks...
About 50% of executions are AMEX...
And 50% is divided among various ECNs or SMART...
So the liquidity pool is quite fragmented.

In sharp contrast my experience with NYSE-listed...
> 90% NYSE executed... and < 10% ECNs or SMART.

This is for > 200 trades/day in low volume stocks (< 100K shares/day).
 
I think you are asking for trouble if you trade AMEX stocks. AMEX options are much worse. AMEX is one of the most dishonest exchanges around.
 
Quote from HoundDogOne:


(The US Constitution, Federal, State, and Local Laws, SEC Regulations, and NASD Regulations...
DO NOT APPLY to AMEX stocks).
More...

LMAO. Sounds like the AMEX is kind of a constitutional dead-zone, kind of like Gitmo.


For options I route myself, to: ISE, CBOE, or BOX.
 
exclude bloody amex from smart, u may not be able to get the best price but at least u get a fill...as said previously there's plenty of evidence to back the fact these guys are scam artists and thieves.
 
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