Supersoes
- Thread starter flea
- Start date
A lot of my fills on BEST including SOES have seemed to be a little lacking the last few days. Perhaps the low volume has something to do with it. I have especially had trouble with odd lots. Because of money management constraints, I am trading a lot of 170sh lots right now. The 100 shares goes off fine, but the 70 will take a long time and often not fill until the NBBO is several cents away (big liquid NAS stocks).
I do not know the functionality for the IB best order so speculating here....but is it a market order? Limit order? If limit then you must be pricing it below the bid to sell and above the offer to buy or you would not get filled at anything other than the inside price via SuperSOES since SS only fills at the (current) inside price.
WHat is likely happening is that when your order goes live, the inside market is held by ECN's which the BEST order does not get to in time to match with them. Meanwhile all SS orders are being held in queue until a MM is at the inside. Then, as the ECN's bids/offers leave the inside, the new inside may be 4 or 5 cents or more away from the old one. Assuming there is a MM there, all SOES orders held in queue begin executing against that quote. This happens to me fairly frequently in fast moving markets and is a downside to a SS outside limit or market order.
For example, market is 50.00 x 50.02 with ISLD and BRUT at the 50.00 bid. I route a SS market sell order which will sit there until a MM comes to the bid. If a MM joins ISLD and BRUT at 50.00, I get filled at 50.00 (meanwhile I may also be trying to get the ECN volume at the 50.00 bid simultaneously but that's another story).
I price the order at market (or below the current bid say at 49.95) to keep my place in line in the SOES queue in case the ECNs pull quickly and the stock starts to drop....ie I want to be the first one to get filled via SOES if the market tanks. If I price the order at the current inside price and the last MM leaves that price before I am filled, my order is cancelled and I have to enter a new one which puts me back in line whereas Market and Limit away orders will stay live in the SOES queue.
So occasionally, you see a vertical spread develop where maybe the bid is 50.00 at the inside, 49.98 at the next lower level, then 49.89 at the third level. Then the 50.00 bids print before my order is filled, the bidder at 49.98 cancels as he sees the stock selling, and then all of a sudden for just a second the market is bid 49.89 by a MM and my waiting SOES order is instantly executed at that price....just as more bidders come in and fill the vertical spread at 49.92 and 49.93 and 49.95 etc.
End result, market for the stock was for the most part really 49.9x by 49.9y while my order was live -except for a split second it hit 49.89 and SOES orders executed against it. Moral of the story, be careful with SS market orders in thinner stocks where vertical spreads are common.
WHat is likely happening is that when your order goes live, the inside market is held by ECN's which the BEST order does not get to in time to match with them. Meanwhile all SS orders are being held in queue until a MM is at the inside. Then, as the ECN's bids/offers leave the inside, the new inside may be 4 or 5 cents or more away from the old one. Assuming there is a MM there, all SOES orders held in queue begin executing against that quote. This happens to me fairly frequently in fast moving markets and is a downside to a SS outside limit or market order.
For example, market is 50.00 x 50.02 with ISLD and BRUT at the 50.00 bid. I route a SS market sell order which will sit there until a MM comes to the bid. If a MM joins ISLD and BRUT at 50.00, I get filled at 50.00 (meanwhile I may also be trying to get the ECN volume at the 50.00 bid simultaneously but that's another story).
I price the order at market (or below the current bid say at 49.95) to keep my place in line in the SOES queue in case the ECNs pull quickly and the stock starts to drop....ie I want to be the first one to get filled via SOES if the market tanks. If I price the order at the current inside price and the last MM leaves that price before I am filled, my order is cancelled and I have to enter a new one which puts me back in line whereas Market and Limit away orders will stay live in the SOES queue.
So occasionally, you see a vertical spread develop where maybe the bid is 50.00 at the inside, 49.98 at the next lower level, then 49.89 at the third level. Then the 50.00 bids print before my order is filled, the bidder at 49.98 cancels as he sees the stock selling, and then all of a sudden for just a second the market is bid 49.89 by a MM and my waiting SOES order is instantly executed at that price....just as more bidders come in and fill the vertical spread at 49.92 and 49.93 and 49.95 etc.
End result, market for the stock was for the most part really 49.9x by 49.9y while my order was live -except for a split second it hit 49.89 and SOES orders executed against it. Moral of the story, be careful with SS market orders in thinner stocks where vertical spreads are common.
In the meantime, if Market Makers/ISLD/ARCA (each accepts odd lots) comes to the inside, even if only for an instant you should be picking it off yourself instead of waiting for BEST to get it. IB functionality may make it difficult though,I don't know. THis is why I use PointDIrex as the order execution features are lighning fast. You can see a live demo with live executions....Go to www.daytradingstocks.com and a pop up box will direct you to a live demo.
DATTrader,
Thanks for the reply, it looks like you might be right, but until the last week or so, BEST has done a great job of working these orders. By the way, BEST is a routing option, not an order type. You can use BEST with a limit or market order, and it should take out everything available until your order is filled - ECN, SOES, whatever. When it works properly it is great, but it has been stumbling the last few days. Every time I have been ready to give up on it in the past, IB has gotten it working again. Even when it stumbles, I'm not sure if I could do much better manually
.
Thanks for the reply, it looks like you might be right, but until the last week or so, BEST has done a great job of working these orders. By the way, BEST is a routing option, not an order type. You can use BEST with a limit or market order, and it should take out everything available until your order is filled - ECN, SOES, whatever. When it works properly it is great, but it has been stumbling the last few days. Every time I have been ready to give up on it in the past, IB has gotten it working again. Even when it stumbles, I'm not sure if I could do much better manually
.Originally posted by Eldredge
DATTrader,
Even when it stumbles, I'm not sure if I could do much better manually
I never thought I could blow up all those asteroids when I was a kid either......but after a few (hundred) quarters I could play dawn til evening on one quarter.
It just takes practice....which is a lot easier -from an economic perspecive-partialling out 1000 share trades at 100 shares apiece and paying a penny per share.
Yes thank you for that very full reply DATTrader, as Eldredge points out BEST is IB's name for their order routing system.
Today I placed an order to buy 400 MXIM at best the price was 54.38 - 58.40, my order was directed to SS and then seemed to sit for a few seconds during which time the bid fell to 54.34 but the offer remained the same I then get an execution at 58.44 and unless I blinked I did not see the offer at .40 get taken out.
Maybe if I had directed the order myself to SS then I would not complain but IB's BEST is supposed to direct my order to the cheapest offer.
We seemed to have the same problem here as when IB started using PRIMEX and I'm not sure I like it
Today I placed an order to buy 400 MXIM at best the price was 54.38 - 58.40, my order was directed to SS and then seemed to sit for a few seconds during which time the bid fell to 54.34 but the offer remained the same I then get an execution at 58.44 and unless I blinked I did not see the offer at .40 get taken out.
Maybe if I had directed the order myself to SS then I would not complain but IB's BEST is supposed to direct my order to the cheapest offer.
We seemed to have the same problem here as when IB started using PRIMEX and I'm not sure I like it