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Why Does IB Still Not Offer ECN Pegged Orders?
- Thread starter giggollo
- Start date
Quote from Pete - IB:
With a positive offset, after your order is submitted, you become the new NBBO, so now your order is relative not to the NBBO but to the order just behind it.
True for Displayed relative orders, but Hidden relative orders do not need deep book analysis. Why don't you implement hidden positive-offset relative orders that roll back based only on the NBBO?
Also, according to DAV, "native zero-offset pegged order support on ISLAND and ARCA is under consideration." Now, if you are considering allowing ISLAND pegged orders, why would you restrict it to zero-offset only?
Quote from DAV:
Implementing rollback for a positive-offset requires significantly more computing resources, as you need to monitor the deep book to see if the order needs to be rolled back.
How on Earth can this be true? NASDAQ/Island offers orders pegged to the same side, the opposite side, and the midpoint of the market, each of which can be modified by a positive or a negative offset. And THEY ALL ROLLBACK to the buyer's/seller's advantage. And ALL the monitoring and processing that is required to offer and execute these orders is done by NASDAQ and not by IB! Thus, it's NASDAQ's computer resources that are being used for all these orders, not IBs!
IB requires routing to NASDAQ/Island for your bastardized versions of their opposite side and midpoint orders, which you call Pegged-to-Market and Pegged-to-Midpoint. Then when the order is placed, rather than letting NASDAQ handle the order according to its own protocolâwhich always ROLLS BACK the order to the trader's advantageâIB leaves the trader sitting there with a bid above or an ask below the natural NBBO. How IB expends more computer resources in preventing NASDAQ from handling these orders according to NASDAQ's own protocols than IB would expend letting NASDAQ handle them according to those protocols is beyond me and I'm hoping you'll be good enough to enlighten us all.
What IB's scheme does doâirrespective of the computer resources allegedly involvedâis guarantee that the trader's order executes at an unfavorable price, assuming the market has moved to the trader's advantage. So, one thing we know for sure about these orders in these situations is that IB racks in commissions hand over fist while its customers get screwed buying above and selling below the natural NBBO. I believe this is called "self-dealing" and is frowned upon by IB's regulators, but please do correct me if I'm wrong.
That said, once again, please do enlighten us as to how IB would expend MORE resources were it to offer these orders in their native form (plus NASDAQ's pegged to the same side, which you call a Relative Order, and which you synthesize and also don't allow to rollback), with NASDAQ doing all the work as it continually moves bids and offers to the trader's advantage, than it expends now perverting NASDAQ'S natural protocols and screwing it's customers in the process.
Look forward to your answer...
Completely agree with two posters above. Hidden pegged order or exchange native pegged order should not require any additional resources on IB's side, yet help the traders tremendously for price improvement.
A negative offset will help traders to capture the mini IBM flash crash a few days ago, when a large sweep order bumped the price by 3 dollars, and then price quickly retreated.
njrookie
A negative offset will help traders to capture the mini IBM flash crash a few days ago, when a large sweep order bumped the price by 3 dollars, and then price quickly retreated.
njrookie
I believe someone mentioned Genesis (Laser) earlier in the thread. I just shot them an email to confirm - will let you know if I hear back.
Quote from cwb1014:
Does anyone know of anyone other than Lightspeed Trading who offers NYSE and NASDAQ pegged orders in their native form (with full rollbacks to the trader's advantage when the market moves in his favor)? Many thanks for any referrals anyone may be able to offer.
Genesis confirmed that they do offer the native versions. Their website also claims that they will match or beat your current commission rates. I'm considering giving them a test run - been one thing after another with IB lately. There's not a whole lot about them in the archives - anyone have experience with them?
We are pleased to announce that TWS now routes native relative orders to Nasdaq.
We are also introducing native passive relative orders (negative relative orders) for Nasdaq as well.
Passive Relative orders can be found in the current TWS beta release.
These orders provide a means for traders to seek a less aggressive price than the National Best Bid and Offer (NBBO) while keeping the order pegged to the best bid (for a buy) or ask (for a sell).
You can find the details here:
http://www.interactivebrokers.com/en/trading/orders/passiveRel.php?ib_entity=llc
We are also introducing native passive relative orders (negative relative orders) for Nasdaq as well.
Passive Relative orders can be found in the current TWS beta release.
These orders provide a means for traders to seek a less aggressive price than the National Best Bid and Offer (NBBO) while keeping the order pegged to the best bid (for a buy) or ask (for a sell).
You can find the details here:
http://www.interactivebrokers.com/en/trading/orders/passiveRel.php?ib_entity=llc
Quote from cwb1014:
Does anyone know of anyone other than Lightspeed Trading who offers NYSE and NASDAQ pegged orders in their native form (with full rollbacks to the trader's advantage when the market moves in his favor)? Many thanks for any referrals anyone may be able to offer.
Sterling Trader Pro.
Laser.
Quote from DAV:
TWS now routes native relative orders to Nasdaq. You can also send native passive relative orders (negative relative orders) to Nasdaq as well.
Could you please explain this? NASDAQ doesn't actually have a "native relative order". It has 3 types of pegged orders:
1) Primary Peg: pegs an order to the same side of the market (i.e., buys on bid, sells on offer)
2) Market Peg: pegs an order to the opposite side of the market (i.e., buys on offer, sells on bid)
3) Mid-Point Peg: pegs an order to the mid-point of the market
All of these pegged orders allow positive and negative offsets, and all of them move up and down as the price to which they're pegged moves up and down.
Exactly what is IB now offering by way of these pegged orders? Are positive and negative offsets allowed? And do they move up and down as the price to which they're pegged moves up and down?
Please let us know. Thank you...