Is it possible to participate in the ARCA opening cross with IB ?

[trader2016]

For NYSE listed stocks like BAC, etc...when I specify ARCA for the exchange, order status says "order is being held and monitored", instead of "active".

This if for limit orders placed before the open, and yes I have pre-open reroute checked in TWS.

So is there any way to participate in the ARCA opening cross ? If not, does a limit order active on the NYSE before the open, can be rerouted to other ECNs by IB after the open if it has not been filled yet.

I'm pretty new to daytrading. Just curious, why you route your order to ARCA instead of SMART, will you earn ECN rebate by adding liquidity?

 

[gueria]

I don't see the "Pre-Open Re-route" box under Smart Routing. It just lets me choose SMART Multipurpose, SMART Max Rebate, etc...

https://www.interactivebrokers.com/...ebook/configuretws/configure_smartrouting.htm

I think the option is not available in the paper trading account, only live.

Also make sure you are checking against the official opening price. What was your limit price for TWTR, and on wich date ?

 

[gueria]

I'm pretty new to daytrading. Just curious, why you route your order to ARCA instead of SMART, will you earn ECN rebate by adding liquidity?

My backtests gave better results with ARCA prices, but in the end it was a too good to be true situation

 

[d08]

I am having the same issues -- for some stocks, I do not get the official open when using "Smart Primary" at IB.

I notice that IB routes to NYSE, ARCA, ISLAND, AMEX for my opening and closing auction orders.

Do you know how I can manually check which exchange has the greatest volume? For example, I can see the volume of Nasdaq here:

http://www.nasdaqtrader.com/files/crosses/CrossStats20160201.txt

There are lots of stocks with "Listing Market = N" and yet have Nasdaq auctions. The volume is low of course. BTW, how do you get the Nasdaq auction -- is that the same as ISLAND?

Ideally, I can find the opening volumes on the other 3 exchanges, and then send to the best one, or perhaps split up the order proportionally.

1. ISLAND is NASDAQ.

2. Native exchanges have almost all of the volume. There is no point to route to other exchanges for OPG unless you know for a fact that there is a pricing mismatch.

3. You don't need SMART Primary for OPG at all. Simply route to SMART and the order will be on the native exchange opening auction.

4. You can find opening volumes from that website and technically can split up orders but it's often that even very liquid NYSE stocks have no volume in NASDAQ auction.

Thanks! I put a OPG LIMIT to short TWTR at the open today, and I was not filled, even though the official open crossed my limit. I am still struggling to understand it!

The "open" field in TWS isn't the NYSE open usually, it's first print. You need to check time and sales, first print was 17.22 and official open on NYSE was 17.18, so I take it your limit was 17.19 or higher.

Make sure to check "Pre-Open Re-route" in TWS. (Global Configuration > Configuration > SmartRouting)

"This allows you to route orders to major exchanges three minutes before the open. For orders submitted before the open, checking this box ensures your orders are routed prior to the open. This directive only applies to stocks listed on a major exchange, and cannot be used if the Ignore Opening Auction order attribute is set."

For Nasdaq, OPG orders should be submitted before 9:28 EST

There is absolutely no need to do this for OPG orders.

 

[d08]

I'm pretty new to daytrading. Just curious, why you route your order to ARCA instead of SMART, will you earn ECN rebate by adding liquidity?

There is no rebate on auction orders, you pay in every case. There is no SMART auction, all of them will be routed to ARCA/NYSE/ISLAND.

 

[noddyboy]

1. ISLAND is NASDAQ.

2. Native exchanges have almost all of the volume. There is no point to route to other exchanges for OPG unless you know for a fact that there is a pricing mismatch.

3. You don't need SMART Primary for OPG at all. Simply route to SMART and the order will be on the native exchange opening auction.

4. You can find opening volumes from that website and technically can split up orders but it's often that even very liquid NYSE stocks have no volume in NASDAQ auction.



The "open" field in TWS isn't the NYSE open usually, it's first print. You need to check time and sales, first print was 17.22 and official open on NYSE was 17.18, so I take it your limit was 17.19 or higher.



There is absolutely no need to do this for OPG orders.

Thank you so much. You are very helpful.

I trade several accounts, and so as a test, I sent some to SMART PRIMARY and some to SMART, and yes, they are routed the same anyway.

I attached the Bloomberg screen for TWTR. There are two "MO" conditions -- one at 17.22 and the other at 17.18. The 17.22 open became the "Open" on Yahoo Finance and also Bloomberg Consolidated.

17.22 has "E"xchange code T, which is Nasdaq.
17.18 has "E"xchange code P, which is NYSE Arca

Unfortunately, I was not filled at Arca. My limit was 17.17, which should still be filled, but the auction process in NYSE and Nasdaq are different?

I lost in opportunity cost since TWTR was down huge yesterday.

 

[noddyboy]

Thank you so much. You are very helpful.

I trade several accounts, and so as a test, I sent some to SMART PRIMARY and some to SMART, and yes, they are routed the same anyway.

I attached the Bloomberg screen for TWTR. There are two "MO" conditions -- one at 17.22 and the other at 17.18. The 17.22 open became the "Open" on Yahoo Finance and also Bloomberg Consolidated.

17.22 has "E"xchange code T, which is Nasdaq.
17.18 has "E"xchange code P, which is NYSE Arca

Unfortunately, I was not filled at Arca. My limit was 17.17, which should still be filled, but the auction process in NYSE and Nasdaq are different?

I lost in opportunity cost since TWTR was down huge yesterday.

Perhaps the 17.22 "MO" (Market Center Official Open) at Nasdaq is fake. I don't see TWTR having any volume here.

http://www.nasdaqtrader.com/files/crosses/CrossStats20160202.txt

 

[noddyboy]

My backtests gave better results with ARCA prices, but in the end it was a too good to be true situation

I hate it when that happens!

 

[noddyboy]

It happened again! My OPG on TWTR is not filled at open. I believe this is an IB issue...

 

[d08]

Perhaps the 17.22 "MO" (Market Center Official Open) at Nasdaq is fake. I don't see TWTR having any volume here.

http://www.nasdaqtrader.com/files/crosses/CrossStats20160202.txt

There are no fakes there. TWTR is listed on NYSE so it doesn't make sense to look at NASDAQ auction. 17.22 occurred on DRCTEDGE and 17.18 occurred on NYSE.
It's impossible that you didn't get filled at that price, it must mean that your order was rejected for margin or other reasons as TWTR is a special margin stock. You need to check your cancel reason.