Is it possible to participate in the ARCA opening cross with IB ?

Discussion in 'Order Execution' started by gueria, Jan 8, 2016.

  1. I'm pretty new to daytrading. Just curious, why you route your order to ARCA instead of SMART, will you earn ECN rebate by adding liquidity?
     
    #31     Feb 2, 2016
  2. gueria

    gueria

    https://www.interactivebrokers.com/...ebook/configuretws/configure_smartrouting.htm

    I think the option is not available in the paper trading account, only live.

    Also make sure you are checking against the official opening price. What was your limit price for TWTR, and on wich date ?
     
    #32     Feb 3, 2016
  3. gueria

    gueria

    My backtests gave better results with ARCA prices, but in the end it was a too good to be true situation :)
     
    #33     Feb 3, 2016
  4. d08

    d08

    1. ISLAND is NASDAQ.

    2. Native exchanges have almost all of the volume. There is no point to route to other exchanges for OPG unless you know for a fact that there is a pricing mismatch.

    3. You don't need SMART Primary for OPG at all. Simply route to SMART and the order will be on the native exchange opening auction.

    4. You can find opening volumes from that website and technically can split up orders but it's often that even very liquid NYSE stocks have no volume in NASDAQ auction.

    The "open" field in TWS isn't the NYSE open usually, it's first print. You need to check time and sales, first print was 17.22 and official open on NYSE was 17.18, so I take it your limit was 17.19 or higher.

    There is absolutely no need to do this for OPG orders.
     
    #34     Feb 3, 2016
  5. d08

    d08

    There is no rebate on auction orders, you pay in every case. There is no SMART auction, all of them will be routed to ARCA/NYSE/ISLAND.
     
    #35     Feb 3, 2016
  6. noddyboy

    noddyboy


    Thank you so much. You are very helpful.

    I trade several accounts, and so as a test, I sent some to SMART PRIMARY and some to SMART, and yes, they are routed the same anyway.

    I attached the Bloomberg screen for TWTR. There are two "MO" conditions -- one at 17.22 and the other at 17.18. The 17.22 open became the "Open" on Yahoo Finance and also Bloomberg Consolidated.

    17.22 has "E"xchange code T, which is Nasdaq.
    17.18 has "E"xchange code P, which is NYSE Arca

    Unfortunately, I was not filled at Arca. My limit was 17.17, which should still be filled, but the auction process in NYSE and Nasdaq are different?

    I lost in opportunity cost since TWTR was down huge yesterday.
     
    #36     Feb 3, 2016
  7. noddyboy

    noddyboy


    Perhaps the 17.22 "MO" (Market Center Official Open) at Nasdaq is fake. I don't see TWTR having any volume here.

    http://www.nasdaqtrader.com/files/crosses/CrossStats20160202.txt
     
    #37     Feb 3, 2016
  8. noddyboy

    noddyboy

    I hate it when that happens!
     
    #38     Feb 3, 2016
  9. noddyboy

    noddyboy

    It happened again! My OPG on TWTR is not filled at open. I believe this is an IB issue...
     
    #39     Feb 3, 2016
  10. d08

    d08

    There are no fakes there. TWTR is listed on NYSE so it doesn't make sense to look at NASDAQ auction. 17.22 occurred on DRCTEDGE and 17.18 occurred on NYSE.
    It's impossible that you didn't get filled at that price, it must mean that your order was rejected for margin or other reasons as TWTR is a special margin stock. You need to check your cancel reason.
     
    #40     Feb 3, 2016