Unfair Timber Hill charge for IB-unbundled pricing
- Thread starter ggoom
- Start date
These quotes show that stock777 continues to insult people in this thread, without contributing anything relevant to the thread topic. These quotes also reveal the untruthfulness of stock777's personal attacks. His first posting, in this thread, called other thread participants "losing traders", and then the very next day, he posted "I didn't call anyone a loser", and suggested that people in this thread lack "reading comprehension". He seems incapable of anything other than a stream of abuse and childish name-calling, calling us psychos, idiots, losers, illiterates, hysterics, etc.
I have seen posting after posting expressing agreement with my complaints about stock777. But your agreement is not enough! Your action is needed! Send PMs to the moderators and to Baron, asking for stock777 to be banned from the website, so that we can have a dignified, mature, intelligent debate, focused on the important topic raised by this thread.
ggoom, you started this thread. Have you brought this problem to the attention of Baron and the moderators? If you, as the thread starter, are not going to do so, then perhaps I am wasting my time by trying to articulate the problem and to argue for a mature discussion in your thread.
" have seen posting after posting expressing agreement with my complaints about stock777. But your agreement is not enough! Your action is needed! Send PMs to the moderators and to Baron, asking for stock777 to be banned from the website, so that we can have a dignified, mature, intelligent debate, focused on the important topic raised by this thread."
LOLOLOLOLOOLOLOLOLOLOLOLO.
Damn, you sound like a frustrated fund raiser for Public Television. "Your action is needed!"
Thanks for the amusement, I didn't realize you were engaging in farce and parody.
LOLOLOLOLOOLOLOLOLOLOLOLO.
Damn, you sound like a frustrated fund raiser for Public Television. "Your action is needed!"
Thanks for the amusement, I didn't realize you were engaging in farce and parody.
Well done.
Jimrockford was about to be awarded Elite Trader of the year, then suddenly, a little nonsense ridicule--no need for IB to say a word anymore.
Jimrockford was about to be awarded Elite Trader of the year, then suddenly, a little nonsense ridicule--no need for IB to say a word anymore.
First a few facts:
1) The website does not clearly explain the different charges. A more precise version would say:
- TMBR or IDEAL AutoEx ...
- NYSE Direct at NBBO (i.e. electronic NYSE execution) 0.001
- NYSE non Direct at NBBO (i.e. manual execution) 0.002
2) The charges are not in effect yet, at present you don't pay for listed executions on TMBR and IDEAL.
Now to the logic behind the charges:
1) IB collects detailed execution statistics on all the venues on which it executes; from these statistics we compute the probability that when we send a marketable order to the venue we actually get executed; these probabilities range from approx 0.65 (for non Direct NYSE) through 0.9+ for ISLAND and near 1.0 for TMBR and IDEAL
2) the smart router uses these probabilities when deciding where an order should be routed in case of a price tie; the way it works is as follows:
- for each venue that is at the NBBO we compute the expected execution cost to the trader; this cost is a weighted sum of the exchangeFee to be paid in case the trader succeeds in a getting a fill and a execution-slippage in case he does not (because the venue changed its price in the mean time); for slippage we assume a very modest amount - less than 1 penny
- from the available venues at the NBBO we chose the one that yields the lowest expected execution cost; this will be usually be TMBR or IDEAL , provided that they are at the NBBO. (Given the high execution probability of these venues, the trader experiences no slippage when his order is routed to his venues).
To make routing decisions this way is more sensible than simply picking the venues with the lowest exchangeFee. This is because if we were to do that, then all listed marketable orders would go to NYSE - which has a poor execution probability, which means that the trader would often not get his fill and suffer slippage.
3) Similarly to the ECNs, IB charges the exchangeFee on TMBR and IDEAL execution so that it can pay the liquidity providers on TMBR/IDEAL for their non-marketable quotes.
In conclusion:
We believe that executing the customers on TMBR and IDEAL is very beneficial to IB customers. Aside from receiving immediate executions without slippage, the traders get to access additional liquidity at the NBBO (which liquidity is only available to IB customers) and they often receive price improvements.
Very interesting and informative, IBSoft.
Question: Does your algorithm take into account the price improvements which result from hidden liquidity, when orders are routed to ECNs?
Question: Does your algorithm take into account the price improvements which result from hidden liquidity, when orders are routed to ECNs?
FredBloggs
Guest
ib - those are good answers.
it does read that ib is willing to take the other side of all cutomer orders though - especially when the probability of ib filling orders is almost 1.0
is the timber hill ecn available to non ib customers? i got the impression it wasnt. if not, why not?
there seems to be a lot of extra machine cycles in deciding where to route. does this latency itself cause some slippage on the odd occasion? i would have thought this would have been more relevant to those using automated agent to trade. (or am i being pedantic on this last point - i dont use automated systems to trade, but do know a bit about computers)
it does read that ib is willing to take the other side of all cutomer orders though - especially when the probability of ib filling orders is almost 1.0
is the timber hill ecn available to non ib customers? i got the impression it wasnt. if not, why not?
there seems to be a lot of extra machine cycles in deciding where to route. does this latency itself cause some slippage on the odd occasion? i would have thought this would have been more relevant to those using automated agent to trade. (or am i being pedantic on this last point - i dont use automated systems to trade, but do know a bit about computers)