to reply to cruise crontrol about ib extra fees if direct route: i just looked at their website, and they change a little bit what i told. i told you previously that sending to direct route instead of smart, they were adding huge fees. from what i read, they changed, but they still hold the same principle. in fact, now if you wish to direct route, even if you are tiered price structure (where you receive the rebate), you will not be condidered as tiered for this order but flat structure (0.005)... when you trade a lot of orders, 150 per day like i am roughly, having rebate make me a total cost of 0.003 instead of 0.0035 (ib fees) + Exchange fees, approximately 0.005. so its still prohibitive to direct route via IB
Yeah, the "hidden order net" strategy is clearly not efficient with IB. If you need direct routing and have a certain amount of turnover or you don't hold overnight, then IB's better margin rates aren't going to be able to make up the difference and a broker like Lightspeed will come out ahead. It's unclear to me however if the hidden orders are really that important, is the hidden order net really better than just raising the bid/lowering the ask? If you trade algorithmically then you can respond quickly to being penny jumped, making that less of a problem. Only someone with experience would be able to say what's better and that's not me (yet). My experience is with trading the auctions and I'm just starting to investigate intraday stuff.
Not sure where you are seeing this. The only time direct routing costs more is if it is an API order. Then there is a surcharge. Do you manually place orders or do you use an API to place them?
Must be API - how could 0.002 cents/share be prohibitive for manual trading? Correct me if I'm wrong but I don't think that any strategy with such thin profit margin could be executed by hand.
hi cruise, i am never manual...all api. auctions, havae you said the magic word? i have been trading open auction since 6 years!!!! i loved it cause fees were not a problem given huge volatility around open.. i just drop open auction strategy recently because gap has been reduced too much... less money to eat, may be lower volatility in 2017....didnt made a penny in 2016-2017 just covered fix and broker fees...before i made really good. i drop it recently cause too much missed orders during the auction, and hedging after is the hell as bid ask spread just after open is not manageable. i also noticed that less and less big imabalance at open occured. big orders became aware of us and now send tere orders after market open...i think this is the true problem... then as you, i investigated intraday (2 years modelling) and now started to put on production... i reach 0.002 only after 2 weeks of trading, i am restarting with intraday with lower volume, around 30k shares a day... - i have a very very low round trip for intraday, 1.5 roundtrip per stock per day...so its clearly not hft, but as soon as you put an order even tiny, they game you. market data feed is not the issue, the most important is the routing, i realized. for hidden orders what i noticed is: - if the bid ask is bigger than JUST a tick size, what ever the stock is, its gamed by fucking hfts: so no choice to send anything else than hidden. but even with hidden they sniff the order book and detect our hiddens either by oddloting either by using post-only orders (nasdaq) or Alo orders (nyse). if i am penny jumped, i dont play their game and let my order as is, until the orderflow doesnt turn against me. - now i am going to retry iex next week. the ideas below in fact is to use their order router, better than smart, as described in beathft...(i read that book: nothing inside crazy except the comment the author made on the website) - also, there is a promising order type in IEX where they claim to modify your order if they feel hft are here with their quote crumbling indicator. the idea, is to let iex working your order and cancel it if price become out of scope...you see what i mean... i have been thinking to lightspeed but didnt change from ib because with auction, fees were not so an issue. now, i am checking new brokers....
I don't understand your obsession with hft. IEX is one of the most expensive venues. There's lots of controversy about what they are doing. Good marketing, questionable practices. Search TABB forum for some articles. The only people who should be complaining about hfts are people running low latency strategies. You are getting adverse selected on a multi-day swing strategy by a penny or two? I have no reason to defend hft, but don't expect fair treatment from wall street hft or not. You will have to pay to someone if you want to play. No SOR will save you.
my obssesion is simple: my model as every stat arb, bets on high diversification level. so, at the end of the day, if i missed 4 trades on moore than 80, it can comes that my pnl is few hundreds usd negative instead of few hundreds positive. this is very true on low volatility days which has been the case for almost all 2017. the fact is that on majority of missed trades, i miss them because i am penny jumped, oddloted or gamed in a such a way that only hft filled at the price i sent my missed orders (which were marketable orders). - so you are going to tell me hit them all, but if i hit them all i let on the table half of the return of the strat....despite my roundtrip per stock is just 1.5 per day on average (buy/sell). - i trade a lot of mid liquid cause they bring big alpha, and when you hit inside medium spread even for tiny qty 10kusd, the liquidity at the bid/ask which was much bigger, disappear and decay. i have a lot of example where i had been forced to cancel manually, partially filled order, then waiting for the price to come back an acceptable level, before resending the remainings at the target price. and i have a lot of example, where i let that partially order still leaving and never being able to catch it after....they track the order id or something like that. -its sure, iex is expensive cause they dont give rebate, but by the past i have been using iex just after open, and i remember to have received crazy good fill. - may be as you claim, the are just other craps.
My view on this is that every serious shop has been forced to become an hft of sorts unless they don't care about execution quality. Your MM is hft. Your broker is hft. How do you know your arb strategy is not competing with another same/similar strategy run by a hft shop? They may be doing same thing only better executed. Just because your strategy is sensitive to latency/fills doesn't make hft the bad guys. Hfts are just escape goats. Technology changes. Markets change. Strategies change. Part of circle of life.