Switching to lite

[GRULSTMRNN]

Thanks, I would need to look further into their definitions. 99% of shares executed at market quotes or better sounds very hyped and can mean all sorts of things. Do they mean with "market quotes" the arrival price at the matching engine of the exchange or the market quotes seen on a trader's screen when they hit the submit button? Because the latter is how IB defines it. They can precisely measure it because all IBPro orders go through TWS/Gateway which locally sits on the trader's machine and hence at order submission IB knows exactly which prices were shown on the screen.

I don't know if this helps or not:

View attachment 211453

Here's another link:
https://tinyurl.com/y6crdc2t

 

[vanzandt]

Thanks, I would need to look further into their definitions. 99% of shares executed at market quotes or better sounds very hyped and can mean all sorts of things. Do they mean with "market quotes" the arrival price at the matching engine of the exchange or the market quotes seen on a trader's screen when they hit the submit button? Because the latter is how IB defines it. They can precisely measure it because all IBPro orders go through TWS/Gateway which locally sits on the trader's machine and hence at order submission IB knows exactly which prices were shown on the screen.

I'd be willing to bet it's the trader's screen.
Sometimes there seems to be a lag, especially on options. Its pretty annoying actually.

 

[GRULSTMRNN]

If its price improvement between the actual fill price and best mid/offer shown on a trader's screen when submitting the order then that is quite impressive I have to say. But even how Markit, who does the price improvement stats for IB, shows price improvement leaves a lot of questions unanswered.

I'd be willing to bet it's the trader's screen.
Sometimes there seems to be a lag, especially on options. Its pretty annoying actually.

 

[Maverick2608]

All that you mentioned does not apply if you route directly.

That is 100% incorrect.

If you route a limit order directly, you are still subject to sub-pennying.

If you route a market order, your order is still subject to co-location and faster lines between exchange servers.

 

[damoonrulz1]

Also, margin loan rate differences account approximately for a price improvement with IB of about 28 USD per day when trading 100,000 usd notional on margin each and every single day. How I came up with that number? Difference the margin loan rate between other brokers and IB, which is the annualized rate differential, divide by 250 trading days per year and multiply by 100k. Each trader can figure out for themselves whether they will trade stocks worth 28 dollars of commission with IB each single day. I doubt it, given that for a 200 dollar stock and 500 shares traded IB "only" charges around 2.42 USD in commission. That is 4.84 USD roundtrip, which uses aroundd 30k in margin. Hence 100k margin would scale the trading size and hence round trip commission up to 4.84 USD * 3.33 = 16 usd in commission. Still lower than 28 dollars. And that is the margin loan differential alone.

The calculation holds for anything that is held for a day or longer, and hold for most stocks priced above 100 dollars a share or more. For lower-priced stocks the margin loan rate advantage IB offers diminishes.

Also keep in mind, with IB you get paid around 1.8x percent for all unused cash. Not bad vs zero. Did I mention potentially more favorable stock loan rates (except certain situations where it really depends on each broker's inventory). I can't see a justification even for investors to switch over to a zero-commission model that does not offer the features IBPro offers.

I found it interesting just saw an ad for Fidelity, that mentioned idle cash paid ~ 1.58% and they don't sell order flow. They are all going after each other

 

[GRULSTMRNN]

Disagree, if you route full lots directly there is nothing someone else can do to front-run you. You hit the matching engine before anyone else knows, in fact.

That is 100% incorrect.

If you route a limit order directly, you are still subject to sub-pennying.

If you route a market order, your order is still subject to co-location and faster lines between exchange servers.

 

[GRULSTMRNN]

True, its open hunting season, one beggar underprices the other beggar.

I found it interesting just saw an ad for Fidelity, that mentioned idle cash paid ~ 1.58% and they don't sell order flow. They are all going after each other

 

[Maverick2608]

Disagree, if you route full lots directly there is nothing someone else can do to front-run you. You hit the matching engine before anyone else knows, in fact.

Do you disagree that a directly routed limit order (not a marketable limit order) can be subject to sub-pennying where you pay an opportunity cost because your order is resting on the exchange not getting filled while sub-penny orders put in front of your order gets filled.

 

[NewTraderAdventure]

Do you disagree that a directly routed limit order (not a marketable limit order) can be subject to sub-pennying where you pay an opportunity cost because your order is resting on the exchange not getting filled while sub-penny orders put in front of your order gets filled.

Nothing you can do about that , if retail orders are getting sold and grabbed.

We are talking about TAKING liquidity, where you are not going to get frontrun.

 

[qlai]

Ok, this guy is taking liquidity on fast moving illiquid stocks ... Let's see what he finds. My prediction he will not be able to trade his strategy as effectively. However, he used to trade from Italy and did just fine.