Improving execution on IB order

Those trades could be in dark pools or other matching mechanisms. While specifically answering your question, there are more aggressive order types such as such as peg to midpoint https://www.interactivebrokers.co.uk/en/index.php?f=38079 that you could try to be more aggressive to get to the top of the book. Also note, exchanges could also have order types or algos such as ISE with there midpoint match https://www.interactivebrokers.com/en/trading/pdfhighlights/PDF-MidpointMatch.php that could explain some things.
 
def said:
Those trades could be in dark pools or other matching mechanisms. While specifically answering your question, there are more aggressive order types such as such as peg to midpoint https://www.interactivebrokers.co.uk/en/index.php?f=38079 that you could try to be more aggressive to get to the top of the book. Also note, exchanges could also have order types or algos such as ISE with there midpoint match https://www.interactivebrokers.com/en/trading/pdfhighlights/PDF-MidpointMatch.php that could explain some things.
More...
I don't have "Pegged-to-Midpoint" option in the order type dropdown list but I have MIDPRICE (TWS Build 978.1e). Is it the same thing?
 
Anytime I’ve ever got a .005 improvement it was with a big bank brokerage that basically sold my order to someone like Citadel. To get past the NBBO they give a price improvement. The benefit to the firm who bought the order is they probably are quoting the listed exchanges and they just cut their spread and exposure in half on a penny spread.

Doubt IBKR has a sell my order feature. Best would be maybe a darkpool but doubt they operate in fractions.
 
Metamega said:
Anytime I’ve ever got a .005 improvement it was with a big bank brokerage that basically sold my order to someone like Citadel. To get past the NBBO they give a price improvement. The benefit to the firm who bought the order is they probably are quoting the listed exchanges and they just cut their spread and exposure in half on a penny spread.

Doubt IBKR has a sell my order feature. Best would be maybe a darkpool but doubt they operate in fractions.
More...

Statistics and independent audits on price improvement consistently show IBKR provides significant price improvement over the market. Nevertheless, IBKR does not have a sell my order feature and if it did, I'm pretty confident quality of execution would decrease for that order type. If you are on unbundled you can choose maximum rebate for your routing where exchange rebates would offset the commission. SMART also searches dark pools and re-routes once an order is submitted as it consistently seeks best fills.
 
andrew black said:
I don't have "Pegged-to-Midpoint" option in the order type dropdown list but I have MIDPRICE (TWS Build 978.1e). Is it the same thing?
More...

Some of the order type drops downs will depend on whether you choose smart or self direct to an exchange. Midprice may help:
https://www.interactivebrokers.com.hk/en/index.php?f=1058
A pegged-to-midpoint order provides a means for traders to seek a price at the midpoint of the National Best Bid and Offer (NBBO). The price automatically adjusts to peg the midpoint as the markets move, to remain aggressive.

For price improvement there is an assortment of order types you can try
https://www.interactivebrokers.com.hk/en/index.php?f=45311 (gives a list of order types and you can start with the price improvement tab including snap-mid. Also note, below IB's algos there are 3rd party algos you can choose as well from CSFB, Fox River and Jeffries.)
 
You must log in or register to reply here.
Back
Top