IB : the end of excessive messaging?
- Thread starter TraDaToR
- Start date
Thank you for the clarification IBj. That matches what I assumed would be the case, although the wording on the email does indicate those with 20:1 ratios will be requested by IB to optimize. Reading that was what concerned me as that's a tough ratio I think for many automated traders to achieve. Anyway, I'm all for finding ways to optimize both my client and your servers in doing business so any tools you can provide, like showing the OER in realtime would be welcome.
At the risk of sounding shill-like: its not their fault... those 3 modifications (and 1 submission) per 1 execution are a tragically low volume ratio (of 4:1) for a contract like ES... (clearly a monopoly markup in comparison to the less popular contracts) ... and once we are at it - CME fees being higher than brokerage commissions is equally appalling (can't wait for ES trading on ELX, http://www.elxfutures.com/Products/Fee-Schedule.aspx ).
Apart from changing my inefficient code (e.g. redundant 'fail-safe' auto-cancellations should be sent after and not before GTD order expiry), the Messaging Policy document provided by Tradator has helped me realize two additional ways in which I could be less of a free-rider on other clients (and asiaprop comes to mind). First I should switch to less liquid substitutes (e.g. YM has the Volume Ratio of 25, while ES only 4), and second, I should switch to less liquid periods, outside RTH. Thanks Tradator for your inspiration on these issues and I feel sorry that you are being targeted despite being actually the only one here who is responsible and knows all the rules... that's life for you
And since I'm working in the shill mode, thanks IBj for the quick response. Anyone who has read the CME Globex Messaging Policy ( http://www.cmegroup.com/globex/resources/cme-globex-messaging-policy.html ) must have realized that your firm is likely paying $2k per product per day merely as a cost of doing the automation business... of letting the inefficient amateurish customer code join in (I do speak for myself
. To balance all that toadying, does the TWS quality really justify Mr Malik's remuneration package??
(http://www.google.com/search?hl=en&...rokers-group-inc/&aq=f&aqi=&aql=&oq=&gs_rfai= and still going strong: http://www.reuters.com/finance/stocks/officerProfile?symbol=IBKR.O&officerId=898128 )
Thanks ZeroSigma for the kind words,
In the light of IBj's post, I think I am not the first targeted. But I am an offender and IB is still the only FCM applying this policy. I won't tweek my codes, make my limit orders rest longer( and more inefficiently, ie losing some edge )just because IB wants bandwidth for TimberHill. I'm sure most brokers don't give a shit as long as you respect exchange policies.
I am not an expert , but what Ibj describe on opening stock orders seems like common business for prop firms. I am sure there are a few here throwing 10000 OPG orders every day without getting into trouble. Whatever...
In the light of IBj's post, I think I am not the first targeted. But I am an offender and IB is still the only FCM applying this policy. I won't tweek my codes, make my limit orders rest longer( and more inefficiently, ie losing some edge )just because IB wants bandwidth for TimberHill. I'm sure most brokers don't give a shit as long as you respect exchange policies.
I am not an expert , but what Ibj describe on opening stock orders seems like common business for prop firms. I am sure there are a few here throwing 10000 OPG orders every day without getting into trouble. Whatever...
Thanks IBj for some clarification.
I already take a small hit for my EUREX cancellations when the ratio goes above 5-1, but at least I know the rules for EUREX and can adjust strategy accordingly. I'm guessing IB will lose some automated trading business if not careful, it is the not knowing how and when you might get hit by a 'to-be-determined' charge that will render a marginal strategy too risky.
But your clarification gives me some piece of mind at least.
I already take a small hit for my EUREX cancellations when the ratio goes above 5-1, but at least I know the rules for EUREX and can adjust strategy accordingly. I'm guessing IB will lose some automated trading business if not careful, it is the not knowing how and when you might get hit by a 'to-be-determined' charge that will render a marginal strategy too risky.
But your clarification gives me some piece of mind at least.
it's all good, great explanation from IBj and everything....but how about an answer on my initial question? how IB come up with 782 ratio and one execution? ok, the ratio numbers are correct,then this formula is used..but where is one execution come from? i did open the ticket on friday. still not assigned to any one..still waiting for an answer on this particular case.
btw-in this HFT\subpenny world it's still pretty lame move from IB..how many of you got partial fills of 1 -2-3 shares while you place an order to buy at the bid or middle point? then you have to modify your orders, some times many times(specially, if you have large order)
how many times these days you try to buy 1000 shares at ask ,and 1000 is displayed at the ask ,but after you hit buy-you ended up with 10 shares?
i'm not going to touch some other products that are affected by this idiotic rule(and stupid rejections pop ups)..all this above is just about common stock..
don't know about rest of ET-but this happens to me every single day,tens of times a day..i can bring numerous examples,where active modifications of order is a must, and still-there is no guarantee of the fill. instead of working on some advanced routing,which can be done on IB side AFTER order was received, IB did come up with this idiotic ratio...sure...it's an easy way to solve the problems..but certainly not the best one..not for customers,not for IB..
anyway-good luck IB wit h all this shit..i did close 2 accounts on friday and at least couple more will be closed next week. im' not going to sit and wait for the day,where IB is going to lock my account on middle of the day or slap me with some undisclosed extra fees, because of some fucked up calculations,performed by some amateur developers..
btw-in this HFT\subpenny world it's still pretty lame move from IB..how many of you got partial fills of 1 -2-3 shares while you place an order to buy at the bid or middle point? then you have to modify your orders, some times many times(specially, if you have large order)
how many times these days you try to buy 1000 shares at ask ,and 1000 is displayed at the ask ,but after you hit buy-you ended up with 10 shares?
i'm not going to touch some other products that are affected by this idiotic rule(and stupid rejections pop ups)..all this above is just about common stock..
don't know about rest of ET-but this happens to me every single day,tens of times a day..i can bring numerous examples,where active modifications of order is a must, and still-there is no guarantee of the fill. instead of working on some advanced routing,which can be done on IB side AFTER order was received, IB did come up with this idiotic ratio...sure...it's an easy way to solve the problems..but certainly not the best one..not for customers,not for IB..
anyway-good luck IB wit h all this shit..i did close 2 accounts on friday and at least couple more will be closed next week. im' not going to sit and wait for the day,where IB is going to lock my account on middle of the day or slap me with some undisclosed extra fees, because of some fucked up calculations,performed by some amateur developers..