have to agree with qlai here. arbitech I wonder if the strategies you are trying to trade were modeled with unrealistic assumptions about what kind of fills you can get. If most of your alpha is coming from capturing the spread you are playing the HFT's game and that's unlikely to work out well. I'm just starting out learning about intraday but I'm initially looking for strategies that are profitable with market orders (look for the NBBO crossing my limit, not trades), then I can try to improve execution later. For me, saving 0.002 (or even 0.005) cents/share should be icing on the cake, not the difference between profitable and unprofitable.. because I am not HFT.
also my back test is in question...as you say, may be.... but i use past trades EVERY 15 minutes on past 100 days and my trading target profit is DAILY volatilty (90bp avg) which is far above 15 minutes volat. Honnestly speaking, i was sure that price variation every 15m was far bigger than bid/ask spread given the average bid/ask spread of my traded stocks is 7bp displayed... may be it still crazy to take trades instead of quotes.... but surely, as qlai say, i must be competting with an hft which better execute, as we have same entry points...but the question stay globally, how to get executed as expected given that you sent marketable orders. thank you for your constructive remarks, both, i will let you informed about my new move on ALL IEX. also, if some one is fully automated i am working on a very simple SOR which learn and track hidden liquidity, still on dev...
Unfortunately everything comes down to having good market data which costs an arm and a leg - a true advantage of hft. If you subscribe to full depth feed (ex total view), you will know from the message that match was of a hidden order. What good is your SOR if your data is stale? You will be chasing ghosts.
What l mean is nothing is free ... The broker either sells the order flow to hft or itself internalizes using the same practices as hft. Im talking specifically SMART routes. How else can they survive on such low commission. All I'm saying is hft IS the market, no way to escape it. Accept it as a cost of doing business. One of many. But keep I mind we are at the best freaking time to trade due in part to the same technology that drives hft.
Our equity clients get the choice of SMART or DMA. LSPT, a smart route, is the route of choice for many to take liquidity. It is not a route that goes to NITE or Citadel. It is a white labeled route that is a combination of dark and lite and cost a flat $0.0015. It is very good at finding liquidity and cost half of using NASDAQ and ARCA. However, you may choose any ECN/Exchanges on this list except for the open/close. We route those to the auction where the symbol is listed. https://www.lightspeed.com/pricing/routing-fees/ Bob
Spoke to IB support today. For Manual traders, the commission IB charges itself is the same no matter where you route. The exchange fees for taking liquidity is additional and depends on the venue as expected. There is a way to configure the SMART route to exclude dark pools: