Working around IBKR Pro's high data costs (futures)

[RJ123]

Hi everyone,

I trade a fairly wide spread of futures using slow-medium systematic strategies.

I've had to move my trading from a retail non-pro IBKR account to a trust pro IBKR account (apparently trust accounts are always treated as pro). The reasonably priced L2 data I enjoyed with the non-pro account is no longer available, and now I'm be looking at 600AUD+/mo for what previously cost me ~50 AUD/mo (and I have no option of L1 which would be fine for me).

My futures trades are typically 1-2 contracts at a time and never urgent - my priority is execution cost. Paying exorbitant data fees just so I can put orders at the top of the book is not justifiable. So far I've been just using market orders (for reference the least liquid instrument I currently trade is Rapeseed which is ~$400m notional daily volume), but am interested in minimising execution costs.

1. I've tried using IBKR's execution algos without any market data (e.g. Adaptive), but my orders appear to just sit there, unmoving. If there was a way to implement the adaptive order, I could just start it a chunk of ticks away from the 20-min delayed bid-ask and let it walk towards the live (but unknown) bid-ask. In theory I'd end up spending at least some time at the bid-ask before crossing it, which should get me better execution costs than market orders. Is there any way to implement something like this?

2. Alternatively, is there a cheap way of accessing real-time L1 futures data (CME, Eurex, Euronext & ICE are all trying to gouge me)?

Any ideas on how to deal with this problem would be much appreciated!

Thanks,
Richard

EDIT: I should mention that I use Barchart for Excel for calculating my trades, but they only provide delayed data for futures too.

 

[ZBZB]

Keep your non pro account to check prices and then enter orders without real-time data in the pro account.

There is an IB API for getting real-time futures data from the non pro account into excel. It is a separate download and has an example spreadsheet in the download that you can modify.

 

[newbunch]

I use IB's Adaptive Algo with the normal speed on both markets I have and do not have live quotes. My executions are normally between 0 and 120 seconds with an average of 28.5s so far this month (fast moving markets usually get executed quickly; slow moving or illiquid markets usually take longer).

My guess is you are doing something wrong since it works fine for me.

ZBZB's answer sounds good too.

FYI, Rob Carver (and others) are using SNAP orders for markets they don't have live quotes: See https://elitetrader.com/et/threads/fully-automated-futures-trading.289589/page-377#post-5836336 You'd have to ask them them for more details as to how that works, if you are interested.

 

[ZBZB]

Keep your non pro account to check prices and then enter orders without real-time data in the pro account.

There is an IB API for getting real-time futures data from the non pro account into excel. It is a separate download and has an example spreadsheet in the download that you can modify.

Maybe you can then send orders to the non real time account from excel. So calculate in real time excel in the non pro account and send orders from excel to the pro account.

 

[M.W.]

If 600 dollars a month poses a major share of the trust balance then perhaps such trust should not be actively traded. Makes no sense. I wonder what OP thinks about execution related costs, lol.

 

[mervyn]

I don't pay my IB Pro data fees, but I have other non pro account to see the real time price, mostly limit orders unless I want to get in fast. But can be a hassle.

 

[RJ123]

Thanks, some great replies here.

Keep your non pro account to check prices and then enter orders without real-time data in the pro account.

There is a good chance I'll end up doing this.

I use IB's Adaptive Algo with the normal speed on both markets I have and do not have live quotes. My executions are normally between 0 and 120 seconds with an average of 28.5s so far this month (fast moving markets usually get executed quickly; slow moving or illiquid markets usually take longer).

Interesting that you can get the Adaptive Algo to work without quotes. I'll keep trying, but my experience so far is that my order doesn't move at all (even on urgent).

FYI, Rob Carver (and others) are using SNAP orders for markets they don't have live quotes: See https://elitetrader.com/et/threads/fully-automated-futures-trading.289589/page-377#post-5836336 You'd have to ask them them for more details as to how that works, if you are interested.

Great, I'll give this a go too.

 

[RJ123]

If 600 dollars a month poses a major share of the trust balance then perhaps such trust should not be actively traded. Makes no sense. I wonder what OP thinks about execution related costs, lol.

Wooo BIG DOG sniffing at 600/mo!

Thanks for the friendly welcome and insightful contribution.

 

[M.W.]

You may want to make sure you don't get into very murky legal territory with your pricing experiments and games. If any of your holdings ever went up in flames (and this will happen with 100% probability) and any of the trust holders or other interested parties found out that you executed orders without precise knowledge of the prevailing available volume and bid and ask prices then you might have a lawsuit up your ass, regardless of whether it was ultimately your fault or not. I certainly would not trust any trust advisor/trader to manage a portfolio who turned off real-time pricing because he felt 600 dollars was too much a price to pay.

Thanks, some great replies here.



There is a good chance I'll end up doing this.



Interesting that you can get the Adaptive Algo to work without quotes. I'll keep trying, but my experience so far is that my order doesn't move at all (even on urgent).



Great, I'll give this a go too.

 

[M.W.]

You did not get my point. What you are attempting to do is violating the first rule of fiduciary duty, which is to do your due diligence. Turning off real-time pricing is a surefire way to get sued in the event of anything that might go wrong (and will go wrong if you go down this route) or the hacks of glancing at a non pro price feed thinking you have everything under control. 600 dollars is an EXTREMELY cheap price to pay to secure yourself against any possible mishaps that come along with playing such risky games. Anyone who figured out that you submitted orders without pricing knowledge, trusting some broker algo that you seemingly have zero clue how it works, should fire you immediately. You are literally putting others' money unnecessarily at risk. You don't get compensated for risk that can be eliminated. You may want to revisit your basic duties in managing others' funds. If they are your own entirely then ignore my posts, do whatever pleases you.

Wooo BIG DOG sniffing at 600/mo!

Thanks for the friendly welcome and insightful contribution.