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Bob111
Registered: May 2002
Posts: 6432 |
05-19-09 07:16 PM
i never realize this,since i'm using L1 and relatively happy with the quality. however-i don't really understand,why IB is not showing us real size on bid\ask?
i was assuming, that what i see @ smart is cumulative size of best bid and offer. i was wrong..it's not a problem,when you trade 100 shares, but then you have to unload 1000 and IB only showing 100 like in example attached.
and i don't even underhand the algorithm or whatever they use to choose what to show. it would be ok, if they show sum of all shares at all exchanges at best bid and offer. if they can't do that-it would be ok to display at least biggest size at NBBO. but this....this looks like a BS to me..
Can anyone explain what is the problem with displaying real sizes on bid\ask?
Thank you!
 ib0515_2.png
This has been downloaded 499 time(s).
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mahram
Registered: Feb 2005
Posts: 1391 |
05-20-09 02:52 AM
one of the reasons if decimalization. Ib is showing for example 8.85 or something for 100 for smart, but you see 8.85 and tons of lots. Its probably b/c ib is setting the decimal to only 2 decimal places, and its really 8.851 for 200 8.853 for 300, some fractions of cents.
Quote from Bob111:
i never realize this,since i'm using L1 and relatively happy with the quality. however-i don't really understand,why IB is not showing us real size on bid\ask?
i was assuming, that what i see @ smart is cumulative size of best bid and offer. i was wrong..it's not a problem,when you trade 100 shares, but then you have to unload 1000 and IB only showing 100 like in example attached.
and i don't even underhand the algorithm or whatever they use to choose what to show. it would be ok, if they show sum of all shares at all exchanges at best bid and offer. if they can't do that-it would be ok to display at least biggest size at NBBO. but this....this looks like a BS to me..
Can anyone explain what is the problem with displaying real sizes on bid\ask?
Thank you!
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Bob111
Registered: May 2002
Posts: 6432 |
05-20-09 03:08 AM
ok..we have all soft of useless features in TWS..why not to add something that make sense-show me cumulative size up to certain amount after decimal point.
so if there is 7.77 on example above, and like you said-tons of 7.771 and so on-show me everything in one L1 quote,with price up to 1.775. or between 7.765 and 7.775
btw-i never seen a fill(except,when order was executed at "smart") priced in 3 or whatever number of digits after decimal point...that is-if i'm buying at ask of 8-i got it at 8 and never at 7.998 or 7.995,except,as i said for "smart" execution
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rcj
Registered: Aug 2005
Posts: 1611 |
05-20-09 03:32 AM
Quote from Bob111:
this may give you an idea, how many people on ET actually trade..
Yeah ...im surprised there's not more response...
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