How to move 100k shares in a stock with only 40k ADV quickly?

Discussion in 'Order Execution' started by Humble Investor, Nov 30, 2018.

  1. It seems like IB's smart router doesn't capture all liquidity. I see 5-10k shares block trades in the stock all the time but I have never had 5-10k shares block trade filled in one go.

    Thanks
     
    Last edited: Nov 30, 2018
  2. tommcginnis

    tommcginnis

    Not sure of the stock, total daily volume, exchange(s), time periods to which you're referring, but keep in mind that the "ticks" that IB sends out are not true ticks, but aggregations of price and volume which IB constructs on its own, and then refers to their data servers (for TWS or API consumption). The upshot is that the "5-10k shares block trades in the stock all the time" that you've observed, could be the an artifact of that IB server -- and might've eaten someone else's 5-10k shares in multiple goes.

    The Smart Router, though, will look at where the liquidity *is*, and go there, for the best price, rather than hanging out (with viable-but-partial trades going by) until the whole gamut could be taken. (That would be a Dumb Router, and would not market very well.)
     
    wlnd, toc and zdreg like this.
  3. toc

    toc

    Is it legal to manipulate tick information like that?
     
  4. Pekelo

    Pekelo

    1. Sell only 5-10K a day.
    2. Sell ITM calls on it then you are good to go dumping them.
     
  5. tommcginnis

    tommcginnis

    "Manipulate" is a term that sounds like there is an operations-created market advantage being made in IB's interest -- which there is not. All that IB is doing is filtering out noise (in timing and in resolutions/confirmations/etc.) that would be more expensive to 'clean' by methods other than their lump/bursts. (If I recall, this amounts to about 250 ms.s -- so, important to people who can require HFT [and are happy to pay for] a direct wire, but trivial to the rest of us.) But it allows IB, in turn, to charge $0 for their part in data flow -- their charges are pass-throughs only.
     
    Shadetree42 likes this.
  6. ajacobson

    ajacobson

    Are you trying to keep your commissions low - which often means you pay more overall friction for a trade that size - or - use an institutional desk which often can get it done. Institutional desks will use an algo/iso and potentially take down the balance with some conditions. Commissions will be higher, but overall friction could be lower. I define friction as commission, spread, and slippage.
    As long as I'm price protected - when possible - I don't care about the size of the prints.
     
    wlnd likes this.
  7. The stock is not optionable.
     
  8. I agree friction is way more important than half a cent per share commission. Does anyone know if IB's trade desk does handle block trades?
     
  9. d08

    d08

    I doubt IB's SMART has block trades enabled. 10k is min size for a block trade. If trading manually, why not use CSFB and enable blocks? If it's automated then commission costs apply and need to be accounted for.
     
  10. comagnum

    comagnum

    You may want to look at IBs 'ScaleTrader'.

    The ScaleTrader is a sophisticated trading algorithm which allows one to enter a large quantity order that is executed in a series of increments or components, with each component being executed at a progressively better price.

    https://ibkr.info/article/1005
     
    #10     Dec 2, 2018