Interactive Brokers Order Placement vs. Pit Trading

J

jpatet

Greetings:

I just opened an account with Interactive Brokers after years with another firm. I am used to trading the SP (large S&P stock index futures contract traded in the pit). Now, with IB, I will apparently need to trade the ES (e-mini). One of the types of orders I used with the SP was Market On Close (MOC). This was traded in the pit as a market order during the last 30 seconds of the trading day. Apparently there’s no such native order-type electronically on Globex with the ES, so I’m thinking of trying to simulate it by using IB’s Time In Force---Good After Time order-ticket function and setting it for 16:14:45 Eastern. My thought is that this will send and fill the market order 15 seconds prior to the close. Am I correct? Is this the best approach? Is the IB clock sufficiently in sync with the Globex clock?

Best Regards,
JP
 
I can see why you would use IB, but why would you want to trade e-minis?

Specifically, the the tick size/bid-ask spread on the minis is .25, translating into $12.5 . Five mini are equivalent to a big SP, so that your cost goes to $72.5

Now compare that to the tick size/spread of only 10 on the Big SP, for a round-trip cost of $25.

I think its safe to conclude from this that big SP is always cheaper, no matter whether you commission cost is 2$, 8$ or even 20$ round trip! And yes, if you trade e-minis your commissionis is times five, if you want a big-SP worth of them.

k
 
Quote from kotika:

I can see why you would use IB, but why would you want to trade e-minis?
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As I understand it, Interactive Brokers trades only electronically traded commodities/futures, it does not do anything pit traded.

Jack
 
Quote from jpatet:

Greetings:

I just opened an account with Interactive Brokers after years with another firm. I am used to trading the SP (large S&P stock index futures contract traded in the pit). Now, with IB, I will apparently need to trade the ES (e-mini). One of the types of orders I used with the SP was Market On Close (MOC). This was traded in the pit as a market order during the last 30 seconds of the trading day. Apparently there’s no such native order-type electronically on Globex with the ES, so I’m thinking of trying to simulate it by using IB’s Time In Force---Good After Time order-ticket function and setting it for 16:14:45 Eastern. My thought is that this will send and fill the market order 15 seconds prior to the close. Am I correct? Is this the best approach? Is the IB clock sufficiently in sync with the Globex clock?

Best Regards,
JP
More...

Why is MOC so important? With the ES you can wait for your price and hit it with an order that will fill instantaneously. Unless you have some strategy that somehow exploits the MOC process, I'd say just watch how the ES trades and see if you aren't worrying aobut nothing.
 
Quote from kotika:

I can see why you would use IB, but why would you want to trade e-minis?

Specifically, the the tick size/bid-ask spread on the minis is .25, translating into $12.5 . Five mini are equivalent to a big SP, so that your cost goes to $72.5

Now compare that to the tick size/spread of only 10 on the Big SP, for a round-trip cost of $25.

I think its safe to conclude from this that big SP is always cheaper, no matter whether you commission cost is 2$, 8$ or even 20$ round trip! And yes, if you trade e-minis your commissionis is times five, if you want a big-SP worth of them.

k
More...

That’s the point. I am keeping my other account open and I will be sending essentially identical trades (with relative sizes) to both brokers. It appears the IB/Globex clocks are equal to the second, so there should be no problems with the types of orders that need that. I’ve been trading the big SP for 15 years but those guys in the pit ripped my order more than once (it’s especially bad during fast markets) and that’s what prompted this test of electronically trading the mini with IB. And the bottom line will be what it will be and it will be exquisitely clear.

Thank you all for your responses.
 
Quote from kotika:

I can see why you would use IB, but why would you want to trade e-minis?

Specifically, the the tick size/bid-ask spread on the minis is .25, translating into $12.5 . Five mini are equivalent to a big SP, so that your cost goes to $72.5

Now compare that to the tick size/spread of only 10 on the Big SP, for a round-trip cost of $25.

I think its safe to conclude from this that big SP is always cheaper, no matter whether you commission cost is 2$, 8$ or even 20$ round trip! And yes, if you trade e-minis your commissionis is times five, if you want a big-SP worth of them.

k
More...

Or people may finally wake up to the conjob of ES tick being 0.25 and either pressure CME to change it to 0.1

This is even more imperative today, with ranges shrunk to 1/3 of those when emini-SP was introduced!!!
 
Quote from kotika:

I can see why you would use IB, but why would you want to trade e-minis?

Specifically, the the tick size/bid-ask spread on the minis is .25, translating into $12.5 . Five mini are equivalent to a big SP, so that your cost goes to $72.5

Now compare that to the tick size/spread of only 10 on the Big SP, for a round-trip cost of $25.

I think its safe to conclude from this that big SP is always cheaper, no matter whether you commission cost is 2$, 8$ or even 20$ round trip! And yes, if you trade e-minis your commissionis is times five, if you want a big-SP worth of them.

k
More...

Your math is correct, however, if you listened to the pit today, they were .50 wide most of the day, and the slippage this week has been .50. My conclusion, In times of liquidity, go to the pit, during slow inactive times, you are better with the emini.
 
Strange...
I see crossed bid/ask on the big SP sometimes, that is ask is lower than bid. Whats this mean? Is it because this is pit market and quotes dont mean much, as was hinted by some people on a previous thread? Or is this stale quotes my broker is serving up?

The 25 point spread on the mini is too much, imo. In theory, If you could make market in an instrument which has too large a tick, buying on the bid and selling at the ask you should be able to consistently make money, that is if the market is fair. Any opinions?

If i had some intraday data, i could run some statistical tests to see if this idea is right. Now that still wouldnt mean you can make profit, probably you had to have very sophisticated automated black box to enter the orders, basically to make sure you are near the top of the order book when the price comes near.
 
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