Quant,
So all in all how screwed are you the customer getting if you route SMART?
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The problem with IB
- Thread starter ProgrammerGuy
- Start date
Quant,
So all in all how screwed are you the customer getting if you route SMART?
Quote from ProgrammerGuy:
Quant,
So all in all how screwed are you the customer getting if you route SMART?
I don't do the volume that MrNBBO does, but my experience mirrors his.
I generally route my orders SMART.
By far the biggest issue/risk is the excessive time it takes for orders to go "green" at times. I've experienced as long as 20 seconds for some orders (generally the order is "light blue"). Other days it runs very smoothly and orders go live immediately (sub second). The problem is worst the first 5 minutes of the NYSE RTH.
The IB/API is fine as long as you don't plan to do high-frequency trading. I have run the API at about 30 orders/sec, but as explained above, that is not the limiting factor anymore.
Other small bits of data on SMART:
1. premarket it seems to route to ISLD or ARCA for LMT
2. During RTH, it almost always goes to the primary exchange (for LMT)
3. for MKT, you get whatever is best. I get IDEAL about 10% of the time.
Now I definitely don't have as much experience as you guys, however there are (2) big things. I was wondering if you guys could comment on how "big" these things really are, and if it's worth the time to even consider these 2 things or if it'd better to just route to SMART 100% of the time and put your time in other places?
1) When you enter @ limit you are filled according price and then time. I feel, but don't have any data to support this but while entering at limit especially during the pre market to first minutes of the morning range SMART starts off @ ISLAND then could go to ARCA then it will usually end up at NYSE (if you are trading listed) When you are flip flopping around you are losing your spot in line and I feel as if you are more likely to only get filled if the price trades through your limit, rather than being high up there in the queue and getting your bid / offer hit.
2) Not being able to send your mkt order to the NYSE where you don't have to pay for removing liquity, or is the "search for the best price" making up for > than what you have to pay to remove liquity, of course this is not a problem if you have the unbundled rate.
1) When you enter @ limit you are filled according price and then time. I feel, but don't have any data to support this but while entering at limit especially during the pre market to first minutes of the morning range SMART starts off @ ISLAND then could go to ARCA then it will usually end up at NYSE (if you are trading listed) When you are flip flopping around you are losing your spot in line and I feel as if you are more likely to only get filled if the price trades through your limit, rather than being high up there in the queue and getting your bid / offer hit.
2) Not being able to send your mkt order to the NYSE where you don't have to pay for removing liquity, or is the "search for the best price" making up for > than what you have to pay to remove liquity, of course this is not a problem if you have the unbundled rate.
I trade futures so am not up on "routing orders" that you folks are discussing. Are you basically talking about limit orders away from the market or market orders? In a piece of email I got recently from IB they said:
Having described the benefits of our IB SmartRouterTM for years, we now have external validation of the superior executions our customers have experienced at Interactive Brokers. During the first half of 2007, our customers received price improvement of 14.85% on marketable US equity options orders vs. an industry average of 0.57%, according to statistics provided by the Transaction Auditing Group (TAG) of New York, NY, a third-party provider of transaction audit services.
I assume they are referring only to SMART market orders. Is this correct?
Someone made reference to some orders being partially filled on IDEAL and that was a rip-off, but legal. What is IDEAL? Is IDEAL an IB-owned entity? I thought their market making arm was Timber Hill.
Jack
Having described the benefits of our IB SmartRouterTM for years, we now have external validation of the superior executions our customers have experienced at Interactive Brokers. During the first half of 2007, our customers received price improvement of 14.85% on marketable US equity options orders vs. an industry average of 0.57%, according to statistics provided by the Transaction Auditing Group (TAG) of New York, NY, a third-party provider of transaction audit services.
I assume they are referring only to SMART market orders. Is this correct?
Someone made reference to some orders being partially filled on IDEAL and that was a rip-off, but legal. What is IDEAL? Is IDEAL an IB-owned entity? I thought their market making arm was Timber Hill.
Jack
thanks for that post JACK, I guess that answers "if that statement is true" my concern about #2