I'm fairly confident that SMART simply routes the order to a single venue based on the best choice at that time, as opposed to the Thor model of breaking up the order and hitting many venues in parallel to get as much volume as possible before others can change their resting orders. FWIW, I've changed from the default SMART to the SMART Primary (which is biased towards routing to the primary listing exchange, typically NYSE for me) and have seen better fills. Strangely, I still see many orders cleared on non listing exchanges (like ISLAND or CSFB or CITADEL) which some rep tried to explain to me with mumbo jumbo, but I'm fairly certain that SMART's mechanics was even more of a mystery to him than to me. YMMV, of course, depending on your order types and aggressiveness, instruments, order size etc... PM me if anyone is interested in details or benchmarking.
"If an order is too large to be executed at the best price at a single exchange or market center, IBâs SmartRouting system generally will split the order and send it to multiple destinations to attempt to get the fastest fill at the most favorable price." I don't why they wouldn't program a Thor like algorithm into this, all they have to do is to know the latencies between different pools that are displayed. Sure, they might send some of the orders to Timber Hill or a dark pool first but thats not a big deal UNLESS the dark pool is tipping off the HFTs enabling them to take out bids/asks or cancel their orders. As a long the initial part of the order at Timber Hill/Dark pool doesn't tip off the HFTs, the second part can be executed in a Thor like fashion
To my knowledge, a broker that 'smart' routes orders has no way of knowing how the participants in the dark pools they check will behave (aside from IEX). Therefor, it's probably safe to assume that seeing order flow is a large part of why those dark pool participants are there in the first place. So if a smart routed order checks a dark pool(s) first, by the time it hits the first lit exchange, it's likely already too late.
I guess this could happen. The SMART order with the setting with priority for the highest volume exchange could be safer for bigger orders
I wonder how to get a SMART Primary.The default SMART often fills my shares on invisable orders,making me confused.Could you do me a fevor?
I believe it's under TWS configuration menus, look for "SMART Routing" and you'll see several variations to choose from, one of which is primary