When IB Best Isn't Best

yesterday i had a similar experience with stocks. it was no big deal, but now that others are complaining about BEST, i thought i'd share it.

our system was trying to sell 400 shares of TSTF using BEST. first it offered out at 4.55, and got filled on 100 shares. after that some schmuck posted a better ask, and our system tried to beat him by lowering the price of remaining 300 shares to 4.51.

now, some MM bid the stock up to 4.51, resulting in locked market (accoring to TWS quotes). of course ISLD obeyed the NASD rules and lifted our offer to 4.52 before broadcasting it to NASD -- to avoid lock. on ISLD book our offer was still displayed at 4.51 though.

now the strange thing happens. instead of cancelling our ISLD order, and SUPERSOESing the MM, the BEST just sits there for about 15 minutes, fiddling its thumbs and whistling!

finally, the MM pulls his bid (or gets filled), opening up the lock, and we end up selling to the next bid at 4.39.

- jaan

ps. def, here are the execution details according to the Thu.rpt file:
35=8
34=000624
43=N
52=20020214-17:40:32
49=SENDERCOMPID
56=TARGETCOMPID
122=20020214-17:40:32
37=00008780.00014716.3c6b4928.0003
11=950996513.2
17=0000dea9.3c6bd654.01.01
20=0
39=1
150=1
55=TSTF
54=2
207=SUPERSOES
100=SUPERSOES
38=300
44=4.55
32=100
30=SUPERSOES
31=4.55
14=100
6=4.55
167=STK
6005=534
6006=S33594
204=1
6009=TSTF/STK/USD/6858337/27879/SUPERSOES/26/NMS/TSTF
60=20020214-17:40:32
6012=2
40=2

6008=6858337
35=8
34=000722
43=N
52=20020214-18:11:36
49=SENDERCOMPID
56=TARGETCOMPID
122=20020214-18:11:36
37=00008780.00014716.3c6b4928.0005
11=950996513.4
17=00011f47.3c6bcb15.01.01
20=0
39=2
150=2
55=TSTF
54=2
207=ISLAND
100=ISLAND
38=0
44=4.39
32=300
30=ISLAND
31=4.39
14=400
6=4.43
167=STK
6005=534
6006=S33594
204=1
6009=TSTF/STK/USD/6858337/27879/ISLAND/26/NMS/TSTF
60=20020214-18:11:36
6012=10
40=2
6008=6858337
 
I'm not sure what is happening, but I haven't been getting as quick/good fills on BEST for the last couple of days as I usually do. I suspect they may have made some change in the routing :( . Or maybe it's just me:confused: .
 
dt,
just a fyi, i'm of the understanding that the margin rules are being reworked.

jaan, thanks for the info. I'll ask someone to put together the internal audit details and forward to programming.

el, sorry, no clue.
 
spread orders,

i believe some of the exchanges are allowing direct spread entry (ISE) and some overseas. I believe IB plans to allow for this.

as for other spreads, they would be need to be legged. Other brokers if sending a spread order will have to pass them into the pit.
 
Are you guys entering market orders on the option chains being discussed here? I ask because I have been using BEST with limit orders for a while and not had a problem similar to what you're discussing. I have a secondary quote service that provides all the regional exchanges. I will then either split the bid/ask or post the sell order a bit higher than the bid. Either the order gets filled at the better price, or it gets posted as the ask.

Once in a while, another exchange will post a bid of the same price as my ask. That normally only lasts for a few seconds as THEY usually pull out and reroute to my exchange since they want to get filled. I consider that bad routing on THEIR part because their broker didn't route to best. Whenever I try to hit the bid with a limit order - even if there are multiple exchanges and the best bid is only on one exchange - IB is hitting it every time in my experience. Did I miss something?

Thanks
 
I think you are probably OK if you are trying to split markets. In that case BEST works pretty well.

However, if you are trying to pick off something or on something that is moving fast and want to hit the bid or take the offer, in those cases a direct approach is the way to go. The other exchanges, in these situations, are most likely not going to match an away market.

I just route direct when I trade so I do not have to worry about locking or crossing a market. I am sure that other option traders have their own approaches.
 
How do you know which exchange is bidding or offering the best price? BEST just shows the best prices, not which exchanges are involved. I just did a test and entered all the exchanges for AMCC Mar 10 calls, and it took over 2 minutes to enter them all. Is there any shortcut to seeing which exchange has the best price?
 
In tws click on page then layout, add bid exchange and ask exchange. When displayed c is cboe, x is phlx, i is ise, a is amex, p is pse.
 
MJT,

You can enter all of the exchanges at once by pressing the shift key and clicking on the bottom exchange in the contract selection window (assuming the top exchange is already selected by default - it actually selects all of the exchanges between the two selected ones). Alternately, you can press the control key and click on whatever exchanges you want to select. I don't know of any way to know which exchange is being displayed by BEST, but it would be nice to know.

PS
Just 21 posted while I was typing this. Good to know.
 
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