IB will freeze my account if modification/execution ratio >50

Def--

Thanks for the breakdown, most firms won't be that blunt. It does show the overhead.

I've been dropping 4-9k/day in commish at IB, lately- and am looking to ramp up velocity and volume--so this topic is certainly of concern.

I've got 2 concerns if going higher velocity at IB--

#1) Blue order hang lag--seeing a couple++++ seconds--as an average, and as much as 15-18 seconds-- a complete mess in sub second arbitrage, as we're waiting on your server checks and acknowledgements before a order hits the markets--quite aparrently HDD based checks.
I've worked recently with one of your general software guys on this--but to no avail. I've worked heavily with your top level developers in the past...with great results--they're excellent at what they do.

#2) Minimum commish --which is quadruple the charge on the same lot charged elseware. It does discourage 100lot API pikers--but for clients who actually do volume, 100lots are part of strategies that are meaningful.

--You need a volume credit against the minimum per share charge to make you competative ....and profitable at the same time.

Until then...I'll be moving the mass of my automated volume elsewhere--but would rather not.

-NBBO


Quote from def:

Without knowing the market, I'll use HK as an example.

Do you know that for HK stocks, each API is allocated 1 transaction per second. (that is NOT a typo). Each additional throttle costs 100K HKD (13K USD) up front + another 100 US per month + believe it or not, an additional cost of upgrading 2 phone lines. So, lets say a firm orders 10 transactions per second. That's and upfront cost of 130K USD + incremental costs each month.

Now if one client is constantly updating (cancel/replace is two transactions), I think you can see how there is a great impact to the firm and the client is potentially costing the broker money as they slow down other clients. Hope this puts things more into perspective.

On the HKFE, firms are allocated 5 TPS per API. You can order more (and we have) but for example some clients are running code that mimics the futures, it can create speed issues.

Hope you get the picture. Now if you require that many updates I'd suggest you consider paying for your own dedicated API and all the costs associated with it. Some firms (and perhaps even IB) may consider that. Most exchanges have similar restrictions and brokers will need to make a business decision on how to deal with the issue.
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I'd like to hear much more about this restriction. I use a pre-loaded order strategy via the API, where the preloaded live order is "smart" and keeps itself away from the market by using as few changes as possible until it is bumped to strike in the futures markets.

I may have to code in some hard limits to, or at least carefully monitor the number of allowable price changes, especially if it's going to result in an ACCOUNT FREEZE unexpectedly, and then what ??

I hope it's not an arbitrarily fluctuating rule, so please clarify.

FS
 
Would you please contact me (either PM or email to help@interactivebrokers.com and include mg101 in the subject line) about the following 2 items:

re 1) I need some specifics: account #, when and in which instrument it happened.

re 2) Are you having the same problem w/ the unbundled commissions?

Thanks.

Quote from MR.NBBO:

Def--

Thanks for the breakdown, most firms won't be that blunt. It does show the overhead.

I've been dropping 4-9k/day in commish at IB, lately- and am looking to ramp up velocity and volume--so this topic is certainly of concern.

I've got 2 concerns if going higher velocity at IB--

#1) Blue order hang lag--seeing a couple++++ seconds--as an average, and as much as 15-18 seconds-- a complete mess in sub second arbitrage, as we're waiting on your server checks and acknowledgements before a order hits the markets--quite apparently HDD based checks.
I've worked recently with one of your general software guys on this--but to no avail. I've worked heavily with your top level developers in the past...with great results--they're excellent at what they do.

#2) Minimum commish --which is quadruple the charge on the same lot charged elseware. It does discourage 100lot API pikers--but for clients who actually do volume, 100lots are part of strategies that are meaningful.

--You need a volume credit against the minimum per share charge to make you competative ....and profitable at the same time.

Until then...I'll be moving the mass of my automated volume elsewhere--but would rather not.

-NBBO
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Quote from Bob111:

Def-what about US stocks? specifically nasdaq, routed as "smart"?
most of them routed to ISLAND anyway.are they complaining about it? it's ECN for C* sake..
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Sorry to ressurect an old thread -

but I am also wondering about US stocks, routed "smart". I am looking into moving a strategy onto the IB API but a 50:1 rule would be a show stopper for me.
 
Quote from Bob111:

with all due respect it's a bs statement..there is a bunch of rules,related specifically to PRIORITIES of your order..
bottom line-just like in a department store-good deal did not last long..you have to be first in line to get those shares.get it?
either we are speak in different languages or people, who agree on ratio restriction are those,who place one order per day..i'm not blame them,but we are just not on same boat.
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I average 400 stock executions/day... and my ratio Order Entry/Change to Execution is about 3 to 1.

This is for stocks that generally trade < 100,000 shares/day...
And I can see how for high volume stocks it would be higher... say 10 to 1 max.

If you are doing anywhere near 50 to 1...
Then you are probably spoofing to affect prices or something similar.

All INTENT to manipulate markets prices is illegal...
Whether there is a specific regulation that applies directly or not...
Unless you are the NYSE...
Which has a license to steal in perpetuity.
 
Quote from bigpig41:

Whats Interactive Brokers's "API" please
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Why not go to the Interactive Brokers website and read all about it under "Software" and "Application Programming".
 
Quote from promagma:

Sorry to ressurect an old thread -

but I am also wondering about US stocks, routed "smart". I am looking into moving a strategy onto the IB API but a 50:1 rule would be a show stopper for me.
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Is 50:1 over a course of a day or 50:1 over several seconds - makes a big difference.
 
My messages per second is under 5. But at the end of the day the modification/execution is up to 70:1.

Not trying to spoof anything, but on some stocks - if you know your price - there is a real advantage to being toward the front of the order queue. I could probably optimize some orders out, but I don't want to be "on the edge" of 50:1, either.
 
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