Lightspeed Order Flow Finra Violation Dissappointment, Suggestions?

[tonyf]

The Lightspeed VP who always finds something to say on every other post on this forum is conveniently giving this on me a miss.
Robert Morse is his name I think. Now is the time to speak up. And I am against 'private" negotiations as well regardless of your internal policies.

 

[Dicer]

As others have pointed out, IB and TWS are one of the best. But if you want to get even better fills and less slippage (especially true for automated trading), running your software from a server that is either colocated with your broker/exchange, or at least located in the same city is important. Real colocation (same datacenter) is very expensive, and not applicable to most retail traders. But the next best thing is a reliable VPS provider in the same city. For example I use www.ninjamobiletrader.com because of their 1 ms Chicago servers, and I've seen a noticeable improvement in my system's performance.

Depends on which type of order you are using. If you submit traditional market order/limit order from home, the distance between CME and VPS is not that important......unless you send that is time conditional order.

 

[Fain]

Directly routed orders don't go anywhere else. Hasn't happened once.

This isn't true. Re-routes happen a lot even if you directly route to a venue.

 

[d08]

This isn't true. Re-routes happen a lot even if you directly route to a venue.

Not for me over thousand of direct routes. I trade equities.

 

[FSU]

Directly routed orders don't go anywhere else. Hasn't happened once.

This hasn't been the case for me (trading options). If I direct route a sell to the CBOE, but there is a bid for the option at the PHLX, the order will be sent to the PHLX if the CBOE MM's don't want to fill at that price. I will then pay an extra "linkage" fee charged by the CBOE along with any taking liquidity fee at the other exchange where it is filled.

So basically if the NBBO is showing a better price then the exchange I directed it to, it will be re routed there if marketable and the exchange I directed it to won't match.

 

[Robert Morse]

FSU-Some software gives you the choice to not-route out, but since you can't cross, you might not get filled. Sterling has that ability, but I've never tested it. We also offer an Option SMART route with no pass through of option exchange fees except cash settled indexes.

This hasn't been the case for me (trading options). If I direct route a sell to the CBOE, but there is a bid for the option at the PHLX, the order will be sent to the PHLX if the CBOE MM's don't want to fill at that price. I will then pay an extra "linkage" fee charged by the CBOE along with any taking liquidity fee at the other exchange where it is filled.

So basically if the NBBO is showing a better price then the exchange I directed it to, it will be re routed there if marketable and the exchange I directed it to won't match.

 

[FSU]

FSU-Some software gives you the choice to not-route out, but since you can't cross, you might not get filled. Sterling has that ability, but I've never tested it. We also offer an Option SMART route with no pass through of option exchange fees except cash settled indexes.

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This is a nice feature. My current software won't allow this (I recently asked).

Curious how it would work though. Would a crossed market be displayed? So if you send a 1.50 offer on an option to the CBOE, and there is a 1.50 bid on the PHLX, would you see a crossed market if the CBOE didn't want to fill? 1.50 bid at 1.50?

 

[Robert Morse]

I’m not sure. My guess is that there is no cross and your buy order remains at a lower limit until that offer is filled. If you are really interested, contact me directly and I’ll ask.

This is a nice feature. My current software won't allow this (I recently asked).

Curious how it would work though. Would a crossed market be displayed? So if you send a 1.50 offer on an option to the CBOE, and there is a 1.50 bid on the PHLX, would you see a crossed market if the CBOE didn't want to fill? 1.50 bid at 1.50?

 

[dholliday]

This is because he takes liquidity on very thin stocks which boarder lines on market manipulation. It appears IB is very cautious about these things and is not afraid to loose these kind of clients.

I second this. A couple of years ago I saw (and still see) a guy on YouTube showing almost daily gains of tens of thousands of dollars. He was looking for a broker with good fills. He tried IB and did not get the fills he thought he should get.
I went and looked at the actual data at the time he made his trade. Very, very low volume. It was very clear to me that this unnamed YouTuber... make your own conclusions.

I just scrolled down and saw the YouTuber (thank you Yogi88). The volume was not anywhere near 100K at the time of the trade. Maybe 100K for the day. It was near zero (as I recall no more than 100 shares every few minutes) at the time of his trade.

I have no doubt that IB is not the best choice for everyone. And with some digging, you can probably find experienced traders here on ET than can explain their reasons.

I have used IB for many years, but I don't use anywhere near all of its features, so I'm not an expert by a long shot.
This is only my opinion/thoughts at the moment.

 

[Fain]

I second this. A couple of years ago I saw (and still see) a guy on YouTube showing almost daily gains of tens of thousands of dollars. He was looking for a broker with good fills. He tried IB and did not get the fills he thought he should get.
I went and looked at the actual data at the time he made his trade. Very, very low volume. It was very clear to me that this unnamed YouTuber... make your own conclusions.

I just scrolled down and saw the YouTuber (thank you Yogi88). The volume was not anywhere near 100K at the time of the trade. Maybe 100K for the day. It was near zero (as I recall no more than 100 shares every few minutes) at the time of his trade.

I have no doubt that IB is not the best choice for everyone. And with some digging, you can probably find experienced traders here on ET than can explain their reasons.

I have used IB for many years, but I don't use anywhere near all of its features, so I'm not an expert by a long shot.
This is only my opinion/thoughts at the moment.

Most people use such anecdotal "evidence" when comparing "Fills" but very few measure the quality of executions. For example if you Did 1,000 trades at Broker A and 1000 trades at Broker B and kept most variables the same, you would measure the prime improvement against NBBO.

That's better than a Youtuber saying on Monday I did this and it was a good fill and Wednesday i did this at another broker and it was a shitty fill.