IB : the end of excessive messaging?
- Thread starter TraDaToR
- Start date
I moved from IB to Transact, partially out of the threat of being classified as a low execution ratio client. But, for other reasons as well, such as much lower margin costs, and higher reliability.
I regularly preload limit orders outside the market on the exchange. These are all managed economically, moving themselves only minimal amounts to keep themselves outside the active market, in a range about 10+ ticks outside or so. They certainly do not have to reposition themselves each time the market wiggles. Each is managed by a smart thread by the software.
Often there are limits on both sides of the market, as I may not know in what direction I need to strike. Semi-automatic algorithms are evaluating the situation from both sides of the market.
However, these "resting" limits outside the market, can involve considerable numbers of price changes, until such time as my algorithms decide it's time to strike, depending upon how much the market decides to move up and down.
At that time, instead of submitting a fresh order, the existing limit order(s) are used to strike by moving them to the desired strike price. This theoretically avoids overhead of margin checking and results in a faster strike times.
I look at round-trip times in the range of 60-80 msecs as OK response times. Of course, the limit has probably already been filled when I get the ACK that the price modification took place and, immediately after that, usually (unless I'm "best" in a wide spread) I get the ACK that the order is filled.
I sympathize with those of you who are feeling vulnerable simply because you want to modify some orders in the normal course of trading.
My work is in Futures scalping only, usually on Globex.
I regularly preload limit orders outside the market on the exchange. These are all managed economically, moving themselves only minimal amounts to keep themselves outside the active market, in a range about 10+ ticks outside or so. They certainly do not have to reposition themselves each time the market wiggles. Each is managed by a smart thread by the software.
Often there are limits on both sides of the market, as I may not know in what direction I need to strike. Semi-automatic algorithms are evaluating the situation from both sides of the market.
However, these "resting" limits outside the market, can involve considerable numbers of price changes, until such time as my algorithms decide it's time to strike, depending upon how much the market decides to move up and down.
At that time, instead of submitting a fresh order, the existing limit order(s) are used to strike by moving them to the desired strike price. This theoretically avoids overhead of margin checking and results in a faster strike times.
I look at round-trip times in the range of 60-80 msecs as OK response times. Of course, the limit has probably already been filled when I get the ACK that the price modification took place and, immediately after that, usually (unless I'm "best" in a wide spread) I get the ACK that the order is filled.
I sympathize with those of you who are feeling vulnerable simply because you want to modify some orders in the normal course of trading.
My work is in Futures scalping only, usually on Globex.
in respond to my ticket IB admits that there is an error in their ratio calculations(tell me something i don't know)
and this brings us back to my initial question-how can i be sure,that IB not going to cut my API access on middle of the day, because their messed up calculations telling them that i'm "high order ratio" guy?
and this brings us back to my initial question-how can i be sure,that IB not going to cut my API access on middle of the day, because their messed up calculations telling them that i'm "high order ratio" guy?
Entirely possible to get disabled. I recall a friend of mine was banned from IB with no recourse for doing absolutely nothing wrong. All's well that ends well as that was what motivated me to leave IB. I guess any brokerage could do that, but most of them would tell you why or give an opportunity to redress the transgression (if there was one). Seems to have been intertwined with the Patriot Act and, therefore, no discussion was entertained. He had to leave.
No, I don't keep them "all day", and I certainly don't leave the system unattended. This is a hyper-scalping capabiity, which is a new form of trading for retail traders, and it saves more than microseconds. I wrote the whole deal, and it opens up entirely new ways to trade so it's hard to compare against ordinary generic systems most daytraders use. Most trades I perform are "computer assisted" or "semi-automatic", rather than my trying to react to the market, I specify conditions and let the computer do the work. I wouldn't say it's fishy at all, and if you don't have the ability to control things via reliable software, you could have some problems. A reliable internet connect is essential and keeping the brokerage trade desk on speed dial isn't a bad idea either 
I don't understand why you need to move the orders at all until the moment you decide to "strike". Just enter all orders 100 (or 1000 even) points away from the market and leave them there.
Okay, that's a good point. I could keep the limit orders a bit further out, as you say. But, if they're reasonably nearby, I can see them on my charts and decide to over-ride the automatic mechanism and do some manual adjustments, taking them out of auto-mode, or have them strike manually because I see something I like.
But, it's a good point, they could be resting miles outside the market, I suppose and would not have to be moved at all until needed. Unless, of course, there's a Flash Crash only kidding. Thanks for the suggestion.
But, it's a good point, they could be resting miles outside the market, I suppose and would not have to be moved at all until needed. Unless, of course, there's a Flash Crash
only kidding. Thanks for the suggestion.