Has anyone had experience trading 3Million shares/month+ of NYSE and NASDAQ stocks with Interactive Brokers? I would like to know about any problems that may consistently come up. Limited leverage is the only issue I'm seeing so far, but is expected with a retail broker. At that volume level, commission is 0.0015 with ecn credit/debits passed through. Are there any surprise costs that I should be aware of? Thanks
The only real issue you'll face is the messaging limit of 50 messages/sec. I have found that 25/sec is more realistic. This may not sound like a problem, but with many orders going off at once around e.g. Fed announcements, you need to be program for it. My experience is that IB will disconnect you if you push the limit for just a few seconds. IB do from time to time change the back-end in a way that will confuse or break your software. Doesn't happen often, but it does. I auto trade against IB every day and rarely have problems (other than self-inflicted ones)
You misunderstood IB's commission structure. For 3 mllillion shares 300,000 @ .0035per share 2,700,000 @ .002per share ------------- 3,000,000 comes out to .00215per share Also remember there is a 70 cents minimum per order. So if you buy 100 shares, it doesn't cost .0035 per share= $0.35, it will cost you $0.70 for that 100 share order, which is double the commision, and this gets even worse when you go to the next tier .002. So realistically for 3million shares you will be paying about .003 per share. And if you want to send orders through API you cannot use Unbundled pricing. API orders cost alot more per share with a $1.00-$1.30 minimum per order. You might want to consider Efficient Executions, with them 3million shares costs you .00137per share and the minimum per order is only 10 cents.