IB's Best ECN
- Thread starter trader88
- Start date
Best ECN not released yet.
It seems IB rolls out limited test release to test the system is working properly.
I am also looking forward using it [I tried a few trades without any problem]. Actually the quotes are refreshed faster with Best ECN when available.
I hope it is released next week...
vpiNeo
It seems IB rolls out limited test release to test the system is working properly.
I am also looking forward using it [I tried a few trades without any problem]. Actually the quotes are refreshed faster with Best ECN when available.
I hope it is released next week...
vpiNeo
I've done about 50 trade using BEST ECN and it has
worked pretty well. I've only been using it on
liquid stocks like CIEN NVDA AMAT NVLS BRCD etc.
On one 400 share trade, I got filled 200 ISLD,
100 INCA, 100 BRUT. The fills happened just
as quick as an ISLD fill.
On a couple trades I didn't get a fill when I
tried hitting the bid / ask. I'm not sure if this
was because the quotes were behind the market by
a few seconds, or ?
Hopefully IB gives a good explanation of the
BEST ECN algorithm when it is officially released
so that we can know if there are any caveats or
situations where we shouldn't use it.
In general, I have mainly used ISLD route on NASDAQ
stocks because IB's BEST execution sucked in my
experience, esp. compared to my other brokers NDB
and DLJ who appear to have more auto-exec agreements
with MMs.
Fleance
afleance@yahoo.com
worked pretty well. I've only been using it on
liquid stocks like CIEN NVDA AMAT NVLS BRCD etc.
On one 400 share trade, I got filled 200 ISLD,
100 INCA, 100 BRUT. The fills happened just
as quick as an ISLD fill.
On a couple trades I didn't get a fill when I
tried hitting the bid / ask. I'm not sure if this
was because the quotes were behind the market by
a few seconds, or ?
Hopefully IB gives a good explanation of the
BEST ECN algorithm when it is officially released
so that we can know if there are any caveats or
situations where we shouldn't use it.
In general, I have mainly used ISLD route on NASDAQ
stocks because IB's BEST execution sucked in my
experience, esp. compared to my other brokers NDB
and DLJ who appear to have more auto-exec agreements
with MMs.
Fleance
afleance@yahoo.com
Can a Best ECN order be sent with a limit price so that if an ECN is not available on the inside the order would look for the nearest ECN within the limit? I think this would be a very useful and valuable feature, but I can't seem to find any trading software that has it. Oh, and I also want the feature to be assignable to a keystroke, so that I can instantly whack any ECN I see within my limit. Also, if my order size is larger than the amount shown by one ECN, I'd like the feature to split my order up and hit multiple ECNs at once. Now wouldn't that be powerful? Is there any software that can do this?
It asked me to do the upgrade too... I did it and it seemed that it was working OK. BUT... none of my buys were filled. I tried to route best for 100 shares of CSCO several times and it was not filled for 45 seconds and the price was way off by then. Tried several others and all to no avail.... not quite sure what was happening.
def
Sponsor
tntneo,
the soft release (i.e. the lack of announcement) means that the routing and other things are still being refined. As it has been a few days my last post on the subject it sounds like some fixes have been put in and it is working well.
Klaorman mentioned some of the issues like orders outside the NBBO that may be rejected by some ECN's - maybe why that's why others do not allow limit orders. Looks like the programmers/engineers have figured something out based on the above posts. I guess best ecn will formally be announced at some later point. However, since the routing methods will be designed in house, are proprietary and may change at any time (regulation or improvements), I doubt you'll receive the full explanation you desire.
Fleance, IB did have a few deals with other MM's for Nasdaq a ways back which led to very fast executions. They didn't last long, comments on the silicon investor web site state the MM's were losing too much money against IB's traders (direct access is too fast for them). The problem with best ex seems to be when an order gets caught up with a market maker who may not honor his price or provide a timely fill on NASDAQ. Best_ECN should address those issues until SuperSoes comes along.
the soft release (i.e. the lack of announcement) means that the routing and other things are still being refined. As it has been a few days my last post on the subject it sounds like some fixes have been put in and it is working well.
Klaorman mentioned some of the issues like orders outside the NBBO that may be rejected by some ECN's - maybe why that's why others do not allow limit orders. Looks like the programmers/engineers have figured something out based on the above posts. I guess best ecn will formally be announced at some later point. However, since the routing methods will be designed in house, are proprietary and may change at any time (regulation or improvements), I doubt you'll receive the full explanation you desire.
Fleance, IB did have a few deals with other MM's for Nasdaq a ways back which led to very fast executions. They didn't last long, comments on the silicon investor web site state the MM's were losing too much money against IB's traders (direct access is too fast for them). The problem with best ex seems to be when an order gets caught up with a market maker who may not honor his price or provide a timely fill on NASDAQ. Best_ECN should address those issues until SuperSoes comes along.
def,
By limit order, I don't mean just send out an order at that exact price. The limit would be sort of internal to the algorithm. For example, suppose the inside ask is at 50 with no ECNs there. If I send out a Super Smart Order at 50.10, it should look for the nearest ECN from 50.01 to 50.10 and send out an order at the price that ECN is at. So if the nearest ECN is ARCA at 50.02, the order should try to hit ARCA at 50.02, not 50.10. However, I've always assumed that I can post an ECN buy order higher than the lowest price on that ECN and I would 'sweep up' that lowest price, like how it works on ISLD. I guess this is not true for some ECNs. Which ECNs would this not be true?
By limit order, I don't mean just send out an order at that exact price. The limit would be sort of internal to the algorithm. For example, suppose the inside ask is at 50 with no ECNs there. If I send out a Super Smart Order at 50.10, it should look for the nearest ECN from 50.01 to 50.10 and send out an order at the price that ECN is at. So if the nearest ECN is ARCA at 50.02, the order should try to hit ARCA at 50.02, not 50.10. However, I've always assumed that I can post an ECN buy order higher than the lowest price on that ECN and I would 'sweep up' that lowest price, like how it works on ISLD. I guess this is not true for some ECNs. Which ECNs would this not be true?