Why Does IB Still Not Offer ECN Pegged Orders?

[njrookie]

I concur. A positive offset with rollback is very helpful. this way you stay inside the bid and offer spread and will be first in line without paying too much over the other bid and offer.

Zero offset puts you behind other big limit orders and reduces the change of execution.

I would also appreciate a negative offset to talk advantage of big sweeping market orders.

njrookie

 

[giggollo]

Quote from DAV:

Here are the Island-only order types:

Pegged-to-Market Orders (Island)
http://www.interactivebrokers.com/en/trading/orders/peggedMarket.php?ib_entity=llc

Pegged-to-Midpoint Orders (Island)
http://www.interactivebrokers.com/en/trading/orders/pegmid.php?ib_entity=llc

Rel / Pegged-to-Primary uses the same instructions as posted before, select Island as the destination and you will see: Rel, Peg Mkt, Peg Mid choices in the ‘Order Type’ drop down.

Actually, of the 3 pegged order types in the TWS user guide, the "Rel / Pegged-To-Primary" page is the only page that does not show any sign that there is an ISLAND-ONLY version of the order. If you look at the "reference table" on each page linked below, you will see the "ISLAND-ONLY" checkbox available for Pegged-to-Market and Pegged-to-Midpoint, but it is NOT AVAILABLE for Pegged-to-Primary. And of course, actually trying to submit a RELATIVE order with destination set to ISLAND in TWS certainly does not result in the proper sending of a native Island peg-to-primary order.

http://www.interactivebrokers.com/en/trading/orders/relative.php?ib_entity=llc
http://www.interactivebrokers.com/en/trading/orders/peggedMarket.php?ib_entity=llc
http://www.interactivebrokers.com/en/trading/orders/pegmid.php?ib_entity=llc

 

[giggollo]

Quote from bs2167:

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?

The solution is to allow sending of native exchange pegged orders rather than to patch up IB's simulated version of the orders. ISLAND and ARCA have been offering these pegged orders for many years now. The native exchange orders are efficient, they roll back, and in the case of ISLAND, negative offsets are allowed. Why reinvent the wheel? Just allow direct access to the already-existing, tried-and-tested exchange order type that has been in use for many years.

 

[dloyer]

Yeah, but how would we use these from the API?

Doesn'T the API lock out all order types that are only supported on one exchange?

 

[sprstpd]

Quote from dloyer:

Yeah, but how would we use these from the API?

Doesn'T the API lock out all order types that are only supported on one exchange?

You can directly route with the API but it costs more.

 

[jtrader33]

Quote from giggollo:

The solution is to allow sending of native exchange pegged orders rather than to patch up IB's simulated version of the orders. ISLAND and ARCA have been offering these pegged orders for many years now. The native exchange orders are efficient, they roll back, and in the case of ISLAND, negative offsets are allowed. Why reinvent the wheel? Just allow direct access to the already-existing, tried-and-tested exchange order type that has been in use for many years.

Makes sense to me...I suppose the only downside to that is the additional routing costs. To be honest, I'd take either one at this point...and feel that IB is more likely to implement their version since the functionality already exists. The fact that it would require little effort on their part to offer it, makes their reluctance even more puzzling.

You seem to have some experience in trying to get things done at IB - what is the best way for the rest of us to make some noise in hopes of getting some action (or at least a better response than "our big custies wanted it that way 100 years ago")?

 

[giggollo]

Quote from bs2167:

Makes sense to me...I suppose the only downside to that is the additional routing costs. To be honest, I'd take either one at this point...and feel that IB is more likely to implement their version since the functionality already exists. The fact that it would require little effort on their part to offer it, makes their reluctance even more puzzling.

You seem to have some experience in trying to get things done at IB - what is the best way for the rest of us to make some noise in hopes of getting some action (or at least a better response than "our big custies wanted it that way 100 years ago")?

Im not aware of any "additional routing costs" to providing exchange pegged orders. To my knowledge, pegged orders are like limit orders in terms of exchange routing costs. If the pegged order ends up adding liquidity, the exchange will give a rebate, and if the pegged order ends up taking liquidity, the exchange will charge a fee. So to my knowledge there is no "additional cost" to providing exchange pegged orders per se. If someone knows otherwise, I would love to hear from you. Also note that other platforms like Genesis Laser and Sterling have been offering exchange pegged orders for years so why isn't IB offering them too?

I think it would require less effort short-term and long-term if IB provided exchange pegged orders rather than try to simulate these orders itself. Its hard to imagine IB would simulate these order types when the exchanges were already providing them so efficiently, so im assuming that IB initially developed the simulated pegged order types a long long time ago when the exchanges were not providing them at all. Today however, the exchanges have already spent their R&D dollars developing these ordertypes and optimizing them to the hilt, and the exchange orders have been tested ad infinitum. That's their bread and butter.

I wish i had "some experience in trying to get things done at IB". If i did, we'd already have exchange pegged orders for every exchange on TWS. I believe IB does care about its clients, and that the IB reps who have come on here like def and DAV are an indication that IB does care about this issue and i assume they are actively working on it. The only thing missing is that they need to confirm this and update everyone on this thread on what they are planning to do, and when we can expect to be able to place native exchange Pegged-To-Primary orders in TWS.

 

[dloyer]

IB makes a lot of money on order flow by internalizing marketable orders.

They cant do that if the orders are routed, so they charge more for orders routed with the api.

A nicer way of saying it is that the offer lower costs if you let them trade your order flow.

 

[def]

Quote from dloyer:

IB makes a lot of money on order flow by internalizing marketable orders.

They cant do that if the orders are routed, so they charge more for orders routed with the api.

A nicer way of saying it is that the offer lower costs if you let them trade your order flow.

You couldn't be further off the mark and certainly haven't spent a second reading the 606 routing stats that all brokers are required to present to the SEC. Nor have you read the independent reports that show IB provides 28 cents per 100 shares net dollar price improvement over the industry average of -0.03. If IB was doing as you suggest, we certainly wouldn't be providing the superior executions that we in fact do provide.

 

[jtrader33]

Quote from def:

You couldn't be further off the mark and certainly haven't spent a second reading the 606 routing stats that all brokers are required to present to the SEC. Nor have you read the independent reports that show IB provides 28 cents per 100 shares net dollar price improvement over the industry average of -0.03. If IB was doing as you suggest, we certainly wouldn't be providing the superior executions that we in fact do provide.

Hi def- Could you please update us on what IB is doing in order to offer its customers pegged orders with positive offsets that roll back?