As others have noted in spring of 2001 IB changed its ARCA route to only send PNP orders. With listed stocks you also have to keep in mind that ARCA participates in CQS/ITS and thus is not allowed to cross or lock other exchanges quotes. Therefore you won't have much success trying to sweep ETFs on ARCA as this will result in PNP orders being rejected due to attempting to cross the national market.
I had the same problems until somebody recommended me RTFR (read the f***g rules) And I did. And here what I found about ARCA orders on their website (www.archipelago.com): Your market orders will be checked by ARCA program against its book and if it will not be NBBO your order will be routed to the market maker or exchange with NBBO. You can imagine that on a fast moving market you will never get the price you were looking for or something near it. On top of that you will get filled after the move will end sometimes in 20-30 seconds. The limit orders the same story. If you do not want your limit order to be routed outside of ARCA book (PNP) it should not cross the market, otherwise it will be canceled. In fact it means that unlike ISLD, what you see is not what you get on ARCA. Most important ARCA makes you a looser all the time. It sucks big time and instead of ECN (and they already do not called themselves ECN) we get another exchange (that how they call themselves) where they rip-off us the way other exchanges do. All in all if you need to get in or out fast NEVER use ARCA. Use ISLD. And if you trading ETF better trade on ISLD blind than on ARCA. PS. By allowing market makers to use ARCA, Archielago with their rules in fact created garanteed spread, controlable by MM.
Thanks dlincke all this becomes clear now. But what's CQS/ITS ? Before trading SPY I have used ARCA only for Nasdaq stocks. Even after IB decided not to use ARCA smart features (only explanation I have is it caused problems with their Best -SMART-routing) I can't recall having problems with the 4 letter stocks. I went to the ARCA website and it says: A PnP order that would lock the market is matched with the Archipelago Integrated Book or is not accepted. I probably was crossing the market .But I wonder why you can enter LMT ahead of price using SMART for SPY if you can't cross the market with listed stocks . Do all the ECN's participate in CQS/ITS?
ARCA is slow as hell, and sometimes just plain gets stuck.their system is being worked on. and the Redi/Arca merging didn't help. Redi had major problems.
ARCA not locking the market is 100% BULLSH!T. I see them locking listed markets all the time. You try and hit that quote with a limit order thru IB to arb the high bid/low offer, IB sends you to ARCA, and it doesn't fill you, then IB cancels ARCA and sends it straight to NYSE instead. ARCA seems to be total garbage lately...
Every time I see one of their stupid f****' commercials I want to scream at the set "Spend your f****' budget on your infrastructure not supid-assed TV spots!"