Why Does IB Still Not Offer ECN Pegged Orders?

Quote from def:

You clearly haven't done your homework when it comes to IB routing and your ignorance shows. If you are going to make such a comment, back it up with facts. IB's SMART routing is designed to provide the best fill. If you want to read a little bit about the firms view on the topic, you may want to read this: ttp://www.interactivebrokers.com/en/p.php?f=news&p1=news&ib_entity=ibg . Nevertheless, if you don't like the SMART routing, you can route directly to the exchange of your choice.

In addition, how about you go to the source, type your broker's name in google along with 606 and see where their orders are really routed.
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LOL... I have an account at IB and I used to work with the IB/TH (Timber Hill) guys at length with regards to market making functions and order routing.

FWIW "best fill" means $0.0001 better than "market" which is hardly a good fill.
 
I can add that the IB relative orders do not result in good fills on NSDQ stocks.

They get bid up and result in poor fills compared to a simple limit order.

I did A/B testing on this and found that all tested variations of Relative orders performed very poorly.
 
What would be nice is for IB to allow GTC orders to get me into a Forex trade like they do stocks. I can set GtC orders after I place a market buy order on say GBPUSD, but I have placed buy orders in say book trader and they vanish later during the day.


Why can I can not click on say the bid or ask for GBP/USD and get the options stp and limit, not just buy or sell market. And then be able to modify the order to set a lower or higher price for example I may want to buy on open a stop order at a higher price than the market is currently trading or buy on open a limit order at a lower price. Also, lets assume I want to scale out, I want if 1st target is hit, to be able to cancel 1/2 my position on my stop order.
 
TWS Relative orders with zero offset do roll back.
Relative orders with positive offset do not.


Quote from giggollo:


2. IB Relative orders do not "roll-back". Pegged ECN orders do. In other words, an IB Relative buy order will adjust its limit price higher as the bid rises, but if the bid falls, the IB relative order will stay at the highest price reached instead of adjusting its limit price back down to follow the declining bid. This makes the IB Relative order a mispriced "sitting duck" waiting to buy higher than the current bid, and thus, by definition, it is no longer "pegged".
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Quote from DAV:

TWS Relative orders with zero offset do roll back.
Relative orders with positive offset do not.
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1. TWS Relative orders with zero offset DO NOT roll back. I tested it myself before starting this thread. I placed a zero-offset, relative order for a nasdaq stock and monitored the limit price by hovering over the "Limit Price" field in TWS to see how the price was being updated. It did not roll back. I invite everyone on this thread to try it for themselves and report back here. If a zero-offset, relative order rolls back for anyone, then i will stand corrected.

What is also interesting is that years ago when this topic was brought up here, IB reps on this forum also claimed that zero-offset orders roll back but positive-offset orders do not. However, those claims were refuted every time by real TWS users who were disappointed when they went to test it in TWS and found that zero-offset relative orders do not actually roll back. IB reps then acknowledged that zero-offset orders do not roll back and said they found problems with their code and were working on fixing it, but to this day zero-offset relative orders do not rollback even though the IB user guide itself claims they do. See:

http://www.elitetrader.com/vb/showthread.php?s=&threadid=46452
http://www.elitetrader.com/vb/showthread.php?s=&threadid=45686
http://www.interactivebrokers.com/en/trading/orders/relative.php?ib_entity=llc

2. Even if zero-offset pegged orders did roll back which i maintain they do not, why do the positive-offset pegged orders not roll back too?

3. Why doesn't IB simply offer native ECN pegged orders like other brokers do? These orders rollback everytime, limit prices update faster internally on exchange servers rather than externally via IB servers, and allowing native ECN pegged orders would reduce the unnecessary workload IB servers have to do to track NBBO and update limit prices for these orders. Why reinvent the wheel, and then only offer a more inferior wheel at that? To me, native ECN pegged orders seems like a no-brainer with so many benefits, and to this day i cannot think of one way the IB relative order is better than a native ECN pegged order, and why IB doesn't allow the latter even as an alternative. I hope someone can help me understand.

I can understand for something like a stop order that IB is providing a value-added service by offering stop orders that sit on IB servers, as there are generally no stop orders offered by exchanges, but for something like a pegged order which is already more efficiently offered by exchanges, denying use of the existing exchange order type is anti-"direct access", and not acting in the interest of the customer for all the reasons explained above, unless someone can explain otherwise.
 
if you're actively trading US equities, there's very few reasons to be trading at IB... really, if you're actively trading much of anything. even though they attempted to capture some of that market-share with their semi-competitive (equities) commission structure, their infrastructure and tools just aren't up to par.

longer time frames though in equities, futures, options, currencies, bonds, foreign equities, etc., etc. (all at the same place), is where they shine.
 
1.
When you use a Relative (or Pegged-to-Primary) order, the value in the Limit Price field becomes the price cap, and the order price is calculated (but not displayed) using the NBB plus the offset amount (the relative amount) for a buy order, and the NBO minus the offset amount for a sell order. You won’t see the limit price move, but to see the order's price, add the ‘Current Price’ column to the layout. We’re currently working with gigolo to see if there are any issues with this and will post the results.

2.
The positive offset orders don't roll back, because that is how our large institutional customers wanted it. (When the relative orders were first implemented, it was as per their request).

3.
We do provide native access to peg-to-primary, peg-to-market, and peg-to-midpoint (all with offsets) on ISLAND via directed orders.
http://www.interactivebrokers.com/en/trading/orders/peggedMarket.php?ib_entity=llc






Quote from giggollo:

1. TWS Relative orders with zero offset DO NOT roll back. I tested it myself before starting this thread. I placed a zero-offset, relative order for a nasdaq stock and monitored the limit price by hovering over the "Limit Price" field in TWS to see how the price was being updated. It did not roll back. I invite everyone on this thread to try it for themselves and report back here. If a zero-offset, relative order rolls back for anyone, then i will stand corrected.

What is also interesting is that years ago when this topic was brought up here, IB reps on this forum also claimed that zero-offset orders roll back but positive-offset orders do not. However, those claims were refuted every time by real TWS users who were disappointed when they went to test it in TWS and found that zero-offset relative orders do not actually roll back. IB reps then acknowledged that zero-offset orders do not roll back and said they found problems with their code and were working on fixing it, but to this day zero-offset relative orders do not rollback even though the IB user guide itself claims they do. See:

http://www.elitetrader.com/vb/showthread.php?s=&threadid=46452
http://www.elitetrader.com/vb/showthread.php?s=&threadid=45686
http://www.interactivebrokers.com/en/trading/orders/relative.php?ib_entity=llc

2. Even if zero-offset pegged orders did roll back which i maintain they do not, why do the positive-offset pegged orders not roll back too?

3. Why doesn't IB simply offer native ECN pegged orders like other brokers do? These orders rollback everytime, limit prices update faster internally on exchange servers rather than externally via IB servers, and allowing native ECN pegged orders would reduce the unnecessary workload IB servers have to do to track NBBO and update limit prices for these orders. Why reinvent the wheel, and then only offer a more inferior wheel at that? To me, native ECN pegged orders seems like a no-brainer with so many benefits, and to this day i cannot think of one way the IB relative order is better than a native ECN pegged order, and why IB doesn't allow the latter even as an alternative. I hope someone can help me understand.

I can understand for something like a stop order that IB is providing a value-added service by offering stop orders that sit on IB servers, as there are generally no stop orders offered by exchanges, but for something like a pegged order which is already more efficiently offered by exchanges, denying use of the existing exchange order type is anti-"direct access", and not acting in the interest of the customer for all the reasons explained above, unless someone can explain otherwise.
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Quote from DAV:

2.
The positive offset orders don't roll back, because that is how our large institutional customers wanted it. (When the relative orders were first implemented, it was as per their request).

3.
We do provide native access to peg-to-primary, peg-to-market, and peg-to-midpoint (all with offsets) on ISLAND via directed orders.
http://www.interactivebrokers.com/en/trading/orders/peggedMarket.php?ib_entity=llc
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2. I cannot imagine a situation where a relative order that does not roll back is better than one that does roll back. The non-rolling-back order will always leave you buying at higher prices when the rest of the bidders drop their bids. Your order is the only one sitting up there waiting to be picked off. I dont know why your institutional customers would want that and what environment it was X years ago when this was first developed, but today clearly a relative order that does not roll back is disadvantageous, and i invite anyone else to show me otherwise. Even if these institutional customers wanted this a long time ago, in a case like this where many other customers want rolling-back relative orders as shown in multiple previous threads dating back to 2005 and multiple requests on the feature poll, IB should make it an option so each customer can choose either rolling-back or non-rolling-back relative orders, and I bet in most cases the rolling-back option will be favored for reasons explained above.

3. Can you please provide a link to native Peg-To-Primary directed orders on ISLAND?
 
Quote from DAV:


2.
The positive offset orders don't roll back, because that is how our large institutional customers wanted it. (When the relative orders were first implemented, it was as per their request).
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DAV- Thanks for providing the info in this thread. The above looks like the same answer that was given in the 2005 thread - does IB have any plans to add the ability to have non-zero offset orders roll back? Since both halves of the functionality already exist (i.e. non-zero offsets and rolling back), I would think offering it would be a trivial development effort....is that not correct?
 
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