I just called IB tell me if this is correct. The representative on the phone told me that the order constantly gets moved to the exchange you'll most likely get filed at. She said that as the order is moving you WILL NOT lose the time priorty... is that true???
Limit orders
- Thread starter ProgrammerGuy
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I just called IB tell me if this is correct. The representative on the phone told me that the order constantly gets moved to the exchange you'll most likely get filed at. She said that as the order is moving you WILL NOT lose the time priorty... is that true???
Since there are strong signs of intelligent life on this thread...
Here is a serious problem with IB's SMART...
In terms of the Customer getting the NBBO.
I have an NBBO quote from a pro grade Thomson terminal available at all times...
And trade fairly ** illiquid stocks **...
So the NBBO will usually be executable and STABLE for, say, 30 seconds.
** So ASSUME fully executable in entirety for 30 seconds **.
When entering a TWS order...
Assuming one has ALL exchange data entiltlements...
TWS puts in a price...
Which is very often AWAY from the NBBO.
Unless I enter the NBBO from a 3rd party source like Thomson...
IB will roughly 20-30% of the time...
Fill the order AWAY from the NBBO by $0.01 or more.
Again...
The ONLY way I can consistently get the NBBO...
Is by entering the NBBO price from my Thomson quote source.
The IB SMART default routing...
Will execute at the NBBO only perhaps 80% of the time.
I make 500 trades/day...
And can demonstrate this at will anytime.
It's unethical...
But probably legal due to a convoluted interpretation of "Best Execution".
Can someone shed light...
On how IB can get away with benefiting by NOT getting the Customer the NBBO?
Here is a serious problem with IB's SMART...
In terms of the Customer getting the NBBO.
I have an NBBO quote from a pro grade Thomson terminal available at all times...
And trade fairly ** illiquid stocks **...
So the NBBO will usually be executable and STABLE for, say, 30 seconds.
** So ASSUME fully executable in entirety for 30 seconds **.
When entering a TWS order...
Assuming one has ALL exchange data entiltlements...
TWS puts in a price...
Which is very often AWAY from the NBBO.
Unless I enter the NBBO from a 3rd party source like Thomson...
IB will roughly 20-30% of the time...
Fill the order AWAY from the NBBO by $0.01 or more.
Again...
The ONLY way I can consistently get the NBBO...
Is by entering the NBBO price from my Thomson quote source.
The IB SMART default routing...
Will execute at the NBBO only perhaps 80% of the time.
I make 500 trades/day...
And can demonstrate this at will anytime.
It's unethical...
But probably legal due to a convoluted interpretation of "Best Execution".
Can someone shed light...
On how IB can get away with benefiting by NOT getting the Customer the NBBO?
what is NBBO
National Best Bid and Offer - since RegNMS is in full force you should usually get your trades at NBBO.
This is very disturbing, especially coming from a credible knowledgeable source like you. I would like to see some explanation from IB.
Can you please provide some specific data for a specific trade: execution prices, times, bids and asks at the various market centers, and make sure you include enough details to prove a Reg NMS violation?
NYSE is not an ECN. The lack of time priority is a problem at both NYSE and AMEX. Neither are ECNs. ECNs generally enforce a strict price-time priority for most orders, while certain special types of orders receive lower priorities, for example, hidden orders receive lower priority than displayed orders, etc.
Guys, what's the whole deal about time priority of limit orders? I think it's over-engineering a strategy. Anyone care to explain when we have this conversation? What is the point? How can we benefit from this knowledge?
In my tape reading strategy, I send a marketable limit order + $0.05 to open a position, and I send a market order to close the position... Simplicity is king...
There is definitely a time to send a marketable limiit order, and definitely a time to send a nonmarketable limit order.
IMO, this is how it should be determined.
1) A market order should be entered if the price at which you would like to enter is at the current moment.
2) A limit order should be entered if the price at which you would like to enter is known and the trade is likely to be executed at some point in the future x minutes greater than the current moment.
This conclusion is not a opinion like 99% of what people on here say, but based on an actual conclusion of data. I had posted the question before, and after receiving a whole bunch of opinions of which no one would back up of any evidence/data, I decided the only way to figure this out was to do it myself.
I had entered all my trades at market, mostly for simplicity reasons due to the fact all I trade 100% mechanical. Then I switched to 1/2 limit. (all buy limit orders were placed on the current bid and all sell limit orders were placed on the current ask : 1/2 market.
I came to the conclusion that if your intention was to get into the market in the current moment and you place the order, IN NO WAY is there any benefit to entering a non-marketable limit order.
The reason why I believe this to be true is because when you want in you are likely to be way back in the queue that you'll only get filled if the price moves against you. Now, IMO I haven't got enough data to support this 100% , but i believe that if you place a limit order with the hopes of getting it filled at > some threashold of time, your EV(Expected Value) will be greater than to pay the premium and to get in at market.
This makes sense if your strategy is to accumulate your line on the way down. Otherwise, good luck getting fills on limits orders on the way up
At the risk of being part of the "other half" of people on the board who disagree with your market order comment, let me explain this once again (for NYSE, Naz makes little difference what you do).
Marketable limit orders are executed immediately at the best price ( so send in 5 cents above offer for buys, below bid price for sells), market orders are held and batched or matched by the Specialist himself, and this sometimes takes time and costs money.
Speculatus has a bit of a point, trying to over-engineer trading generally just takes time away from the time you could actually be trading.
Develop skills and engage in profitable strategies manually, then get into automating them, if that's what you're trying to get to.
FWIW,
Don