IB's Smart routing strategies

Quote from chartman:

I have watched time/sale for years when I would have the best bid/ask on a security as reported on Level II and see transactions away from the NBBO sometimes by several pennies.
The small investors buying/selling at the market are being screwed everyday thinking, and probably being told, they are trading at the NBBO. [/B]
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Did you ever hear about sweep orders?

Did you guys ever watch the tape? 99.99% of the time prints are off bid or offer except sweeps that go deeper into the book. Some prints are inside of NBBO from a) regional exchanges, b) dark pools, c) crosses. The rest 0.01% prints are outside of NBBO as exempts from regulation.
 
Did you ever hear about sweep orders?

Did you guys ever watch the tape? 99.99% of the time prints are off bid or offer except sweeps that go deeper into the book. Some prints are inside of NBBO from a) regional exchanges, b) dark pools, c) crosses. The rest 0.01% prints are outside of NBBO as exempts from regulation.
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I know about sweeps. I am making reference to 100 share trades. There is never any reason for small lots to be away
from the market. It is MM's paying for order flow from retail brokers and recouping the cost at the expense of small investors by handling the orders in house.
 
Quote from chartman:

Did you ever hear about sweep orders?

Did you guys ever watch the tape? 99.99% of the time prints are off bid or offer except sweeps that go deeper into the book. Some prints are inside of NBBO from a) regional exchanges, b) dark pools, c) crosses. The rest 0.01% prints are outside of NBBO as exempts from regulation.
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I know about sweeps. I am making reference to 100 share trades. There is never any reason for small lots to be away
from the market. It is MM's paying for order flow from retail brokers and recouping the cost at the expense of small investors by handling the orders in house.
More...

Internal crosses have to be at or inside of NBBO. Remember, those guys report every cross and get audited. Those prints you saw might be delayed reports from crosses or dark pools.

Also keep in mind that usually trades and quotes are separate feeds, and the quote feed is way faster. A trade may not even appeared on the tape, but the exchange already posted new quote after trade took place and a few high-freq black boxes already altered the quote a few times. For example, NYSE trades are delayed something from 50-300ms.
 
Your response would sound logical if it was true. But I trade only low volume securities with almost no liquidity. There may not be a transaction but about every 10-20 minutes on most days. There should not be any time delay involved in reporting quotes or trades. If trades are outside the current reported NBBO for these stocks, I shudder to think of what is being done on the more active securities with liquidity.
 
Quote from chartman:

Your response would sound logical if it was true. But I trade only low volume securities with almost no liquidity. There may not be a transaction but about every 10-20 minutes on most days. There should not be any time delay involved in reporting quotes or trades. If trades are outside the current reported NBBO for these stocks, I shudder to think of what is being done on the more active securities with liquidity.
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There may be delay on prints, up to 90 seconds. And there are late prints as well.

Do you have any example on trades you described, like T&S or something?
 
I am new in trading us shares . So far I traded european shares uhf. As in europe markets are less fragmented things in the us are a bit different probably . So my question ist: If you are adding liqidity at nbbo in any ecn and finally the nbbo occures at 4 ecns . Do smart routers have any kind of logic which ecn they send liquidity taking orders to. If BIDS/ASKS are everywhere the same do they take ecn costs for taking liquidity in account ? Or do they just spread the orders to different ecns trying to reduce impact by not lifting the whole book at one ecn indicating a big orders impact. ???
thanks in advance
 
You can set rules so your orders do not route out. As long as your away from the market you will get full rebates without IB dipping their sticky fingers in it!
 
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