Supersoes

Flea wrote:
"We seemed to have the same problem here as when IB started using PRIMEX and I'm not sure I like it."


Flea,

You know, you are right. I don't really know what is going on, maybe delayed quotes are playing into it.

I did make a note of one problem today (cost me about $100). At about 10:03 PSFT was something like 35.10 x 35.12. I put in a buy limit for 170 shares at 35.12. Best routing showed In,Is and I didn't get a fill. The bid dropped to 35.09, so I obviously wasn't being shown. I never got filled. I have this problem with the odd shares of a 170 share order all the time lately (although not necessarily showing that routing) - the 100 fill, and the 70 are left hanging in the wind. Later I had Best show Is,Br and didn't get a fill, but that order was kind of "iffy".

Def, if you see this, what the heck is Im,Br and Is,Br? It seems like my current troubles started about the time these routes started showing up. Anyone know what's going on?
 
Eldredge:

I believe if the remaining size of your bid is less than 100 shares it does not have to be represented as the national best bid.

On a different note, I learned never to use market orders with a size larger than 100 shares last year by trying it with SOES. It seems that a market buy order that gets routed to SOES undergoes the following algorithm once it arrives there:

1. Fill 100 shares immediately at the posted offer.

2. Wait with filling the rest until the market reaches a (very short term) top, fill the rest at the top.

I would speculate that the problem with a market order routed through BEST to SOES is that it (being a market order) cannot be cancelled. Therefore, BEST cannot route the remaining shares to ECNs once the 100 token-shares have been executed, since it knows that SOES will fill the rest eventually.
 
Lobster,

Thanks for the reply. I think you are right about displaying an odd lot. It's just that I used to get filled immediately with very few exceptions, and lately I have a lot more delays. I use limit orders 99% or more of the time. What I am wondering about is why my fills have changed lately. I think something with BEST or TWS or both has changed lately.
 
Originally posted by Lobster
It seems that a market buy order that gets routed to SOES undergoes the following algorithm once it arrives there:

1. Fill 100 shares immediately at the posted offer.

2. Wait with filling the rest until the market reaches a (very short term) top, fill the rest at the top.

I would speculate that the problem with a market order routed through BEST to SOES is that it (being a market order) cannot be cancelled. Therefore, BEST cannot route the remaining shares to ECNs once the 100 token-shares have been executed, since it knows that SOES will fill the rest eventually.
More...

I think you have your SOES rules a little mixed up....or perhaps you mean IB BEST when you say SOES and maybe that is the mixup, since I do not know how the IB BEST algorithm works.

Your first point is not necessarily correct. If only ECNs are at the inside offer than none of the order would fill since there has to be a MM at the inside offer for any of the order to execute.

Your point two is incorrect (again I am assuming that you mean the whole order is routed to SOES at this point by IB BEST) since the entire order would execute instantly up to the posted AND reserve volume that the MM's had to sell. So if there are MM's at the inside, the order executes instantly. The only time a SOES order is "held up" is when there are no MM's at the inside price. However since MM's are very good at defining a short term top, you are correct that often the MM's will stay away from the inside and then come in to sell when they think the short term momentum is subsiding.

Finally I am not sure what you mean about cancelling the market order...perhaps again this is an IB BEST issue but you can certainly cancel a SOES order anytime prior to it being filled regardless of whether it is limit or market. Hope that helps clarify some of these issues and I would like to hear more from those that use IB BEST to help clarify things more.
 
Once again I've been shafted by IBs' order routing through Supersoes. This is an inferior service to the previous BEST and if it remains the same I can't see any reason why BEST ECN should not be made available to us , I can't see how it would hurt IB to offer it again.
 
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