I have been using BEST_ECN for the past week and have done about 300 trades with it. I have been using in on liquid stocks like INTC JNPR AMAT. Overall, I am pretty happy with it, but it's not perfect. At times when I really want a fill, I would place a limit order on the inside of the bid/ask.. by 1c to 3c.. Sometimes, I put multiple buy/sell orders at different limit prices. In the cases when I don't get the fill I think the main reason is because the quotes are slightly behind and someone has already taken the stock at that level.. There have definately been situations where, say the ask is 40.00 and I bid 40.02 and I don't get a fill and the order just sits there. Usually, I don't let it just sit for more than 5 seconds -- I will cancel it -- so I can't tell you if eventually it would fill. Maybe the ECN with the best ask was just slow or the quotes were bad.. On another thread, people have requested that IB explain the BEST_ECN routing and how is it affected by bidding inside/outside the market, etc. Overall, it works well enough that I will continue to use it. The fact that to change Routes you have to create a separate order line makes this a big improvement for IB. Previously, I would just use ISLAND or REDI and I think I missed out on some liquidity from the other ECNs. Today, while trading INTC and JNPR, I got alot of fills from INSTANET (INCA) using BEST_ECN along with ISLAND. Fleance
fleance, In the cases when I don't get the fill I think the main reason is because the quotes are slightly behind and someone has already taken the stock at that level.. There have definately been situations where, say the ask is 40.00 and I bid 40.02 and I don't get a fill and the order just sits there. Usually, I don't let it just sit for more than 5 seconds -- I will cancel it -- so I can't tell you if eventually it would fill. Maybe the ECN with the best ask was just slow or the quotes were bad.. El Cazador, The prints weren't moving fast ... I thought there was plenty of time for a fill. Most likely, there were no ECNs between 40.00 and 40.02 (or 40.03 for you, El Cazador). It sounds like you don't use Level II, fleance, like El Cazador. If you two did, you could see if there were any ECNs within your limit.
Well, when you add a new contract like "JNPR S USD BEST_ECN" the bid and ask prices are for BEST_ECN route which I assume should be the best bid and best ask from available ECNs. So, when I say I bid 40.02 or 40.03 over 40 ask, the 40 ask is the one displayed on the BEST_ECN line. I usually don't use L2 because I find it a distraction, esp. because IB doesn't allow me to route from my L2 screen. I wish I had been paying attention in these cases, though, so I could be more sure what happened. I have also used CyberTrader's CyberExchange ecn only feature, and I would rate IB's BEST_ECN routing as the better of the two. IB gave me a quick, satisfactory fill about 90% of the time so far. Also, it is much quicker to cancel an order and enter multiple orders in IB than Cyber's X2 application. But CyberX2 has a much slicker interface and *much* better realtime position minders. I really wish IB improved on the UI for order entry and position mgmt rather than add new features like L2, etc. which people already have in the charting app. Fleance
Well, when you add a new contract like "JNPR S USD BEST_ECN" the bid and ask prices are for BEST_ECN route which I assume should be the best bid and best ask from available ECNs. So, when I say I bid 40.02 or 40.03 over 40 ask, the 40 ask is the one displayed on the BEST_ECN line. Ah, OK. I thought you just shoot blind when you use BEST_ECN.
Klaorman: Does Tony Oz's book really say you have to wait for an execution with no way to cancel, or are those your words? Here's what Oz says about ARCA in a fast moving market("Stock Trading Wizard-p105) "If there is no ECN found at the specified price,...it will determine which Market Maker at the inside market is the most active... and will SelectNet preference that Market Maker. ARCA will leave the SelectNet preference order open for a maximum of 30 seconds. If the order is rejected, ARCA will preference the second most active Market Maker and repeat the preference process until the order gets filled or cancelled." Herein lies the problem-if ARCA is flooded with orders, you can submit a cancel order until you are blue in the teeth. ARCA is still out there searching for that elusive Market Maker every 30 seconds. Moreover how responsive will ARCA be when there is a flood of identical orders. Apparently, not very responsive at all. Oz concludes the following about what to do in a fast moving Market-I quote: "1)Take out the best ISLAND bid(out of market) or 2)SelectNet Preference up to five color levels below best Bid 3)DO NOT USE SOES 4)DO NOT USE ARCA" So draw your own conclusions about SOES and ARCA in a fast market- unfortunately this is exactly what BEST at IB does-it hits either SOES or ARCA- it does exactly what you shouldn't do. Thanks for the info on Graybox. Low commissions but that $250 charge for Level II is steep-I couldn't do 200 trades a month to get it free. Presently I pay $10 a month for level II at DATEK and I get all the free realtime quotes and chart using Medved's Quotetracker.
I traditionally just used ISLD to get in and out, as I trade most liquid stocks where there is usually an ISLD bid or offer near or at the inside. But since trying out IB's Best ECN, I find myself using that more often now, as it seems to work pretty well.
fleance- Overall, it works well enough that I will continue to use it. The fact that to change Routes you have to create a separate order line makes this a big improvement for IB. You don't have to create a separate order line to change routes fleance- Before you hit the transmit button, on the right hand side of your order, right click on the route and you will get a pop up window to choose a new route. Klaorman also points out about the need to have level II-I agree you need it, but unfortunately it won't do you much good at IB because IB does not offer you a choice to preference a Market Maker directly.
zboy2854A- I trade most liquid stocks where there is usually an ISLD bid or offer near or at the inside. So what do you do when there is no ISLAND bid near the inside? How do you get out? If you use BEST-you will get put into the SOES queue. And when SOES comes back with no fill, what do you do then? If this hasn't happened to you-I guarantee you it will sooner or later. Better you know about it now.
I have been trading with IB for about two years on an intraday basis. I stopped using the BestEx feature long ago after I was consistently left hung up at critical times with no idea whether an order had been filled or not. This would happen with almost all routes other than Island. At the AMEX it was as though orders where held until it was obvious which way the market was headed and then confirmations given. I grew tired of this and now simply execute through Island. On a similar note, I had also noticed that many times IB failed to display an order in the Island book immediately after transmission. Sometimes the lag would be as much as 30 secs to never. I would have to cancel and re-send. I am quite skeptical about IBâs platform but I have continued to use it because it is inexpensive and my familiarity with itâs setup.
Believe me, jperl, I know the minute details of all the order routes inside and out. As I said, I trade very liquid stocks (ie daily volumes of 3 million+), and on stocks such as these, there has always been an ISLD post to go after, sometimes a bit outside the best quote, but never more than I am willing to sacrifice in slippage (usually less than .25). On stocks that are less liquid, I now use Best ECN, and if there are no ECN's around, I will try SOES. Since I have Level II, I can see if there are any ECN's, and how to route my order best. I am happy to say that in my trading, executions are the least of my worries or considerations.