I still believe what I was first told about IB. That is that they are making money on the order flow. If your fills are 1 tick worse than they otherwise would be, your commission is now $17.30. That's a big difference.
tymjnr are you talking about limit of market orders - surely ib dont hold market orders - and of course limit orders get held in a queue as they fall behind market orders in priority how did you know if the quotes you had on J Trader or on your data supplier ? how could you tell which was the most up to date - i have done a lot of research into quote delivery, and whilst for sure the globex quote to J trader should be the more up date, i have never found one occasion when they did not match the quotes from either of my quote suppliers - who is your broker by the way?
stevet: âare you talking about limit of market orders - surely ib dont hold market ordersâ¦â Iâve had excessive slippage with both order types relative to my experiences with my current broker. Market orders are almost certainly instantly transmitted by IB. âlimit orders get held in a queue as they fall behind market orders in priorityâ Although there seems to be an ongoing debate about what types of orders are accepted by Globex and how those orders are handled, I believe that market orders of any variety are not accepted by Globex. That does not include specially constructed order types that effectively mimic a market order. That said, itâs FIFO. First In First Out. âhow could you tell which was the most up to date...â In extreme cases, which I am referring to, it is obvious which feed is behind. In other mild cases, I can see, much as you can, that CQG is buffering a great deal of data and is falling behind. There are periods, though, when I believe that J-Trader is the one dropping off a bit. trader777: ââ¦they (IB) are making money on the order flow. â Absolutely no idea about that but Iâm sure def is gonna be one pissed of forum member when he stumbles onto that sentence. Just meant in good fun, def. I respect your contributions and viewpoints.
Yeah have to agree there. I take the quotes from IB and pump them into a few of custom apps, one of which is a charting package. It works well as a backup chart source. The only order that I'm aware that IB holds on its server is the stop order, so that must be what tymjr is referring to. From Lori O'Connor VP Interactive Brokers on 1/25/1999 via Email
personally i dont know why anyone would worry too much about the emini quote anyway, as i only trade off the main contract and use that for my trading decisions, although i would not trade if the emini was contrary to the main contract, but it always comes back into line pretty quick
Those who use volume as part of their trading decisions will use the emini quotes because there's real volume data available. In addition, since Globex is electronic all the trade data is being transmitted and there are valid bid/ask sizes and depending on the broker some degree of market depth data. There are no market or straight stop orders on Globex. There's an order preprocessor that converts them to limit-based orders. So there's no queuing preference to market orders because there aren't any. However, if a broker keeps the orders on their computers pending the limit or stop price being hit before firing the orders to Globex, then it's reasonable to assume that you could miss some fills because your orders would queue up behind those already in the Globex system.
Archangel I personally dont use volume since i trade intraday trends and enter on the back of the main contract - i want to already be in a trade before volume causes the volume guys to jump in, although when i see them come in, i would add to my positition on a pull back when a test of a lower resistance has provided support However, I dont see the validity of emini volume, since it has already happened and a lot can change when you put your order in - but more importantly, no one who moves the market is looking at emini volume If i enter a market order, which means i am prepared to take the price given me in order of the fills, how would my order become a limit order - or what is the definition of a limit order that starts as a market order.
Volume is volume - it's as applicable to certain futures analytics/trading as it is to equities. But whether a given trader sees its validity or chooses to use it or it's applicable to the particular trader's timeframe or style is an individual thing like most of trading - just as in equity trading. I wasn't referring merely to looking at an instantaneous volume surge to key a trade entry but rather of using the volume information in certain volume adjusted analytics to identify divergences, etc. For some just scalping a few ticks at a time or trading on very short timeframes maybe none of the analytics are important - don't know, scalping was never of interest to me. As far as "no one who moves the market is looking at emini volume" - where did you get that idea? In February, the S&P emini volume was 5.34 million contracts vs. 1.67 million full-size contracts. That puts the emini volume at about 64% of the pit contract volume on a proportional basis (i.e., 5 eminis per full contract) and the ratio is increasing - not bad for something no one bothers looking at. Also, the fungibility of the eminis and the full contracts and the electronic execution of the eminis has an increasing number of institutional and private trading firms splitting their volume between the two. As far as market orders - there is no such thing as a Globex market order. If you enter an order tagged as market via your broker, the Globex order preprocessor converts it to a limit order based on the latest price and certain logic - something like this: If your market buy order hits the Globex front end when the latest price is 1100, it might convert it to a limit buy order with a price of 1090 (or whatever, it's based on the specific price collar parameters currently being used so it could be 1095 or 1085) and then it adds that limit order to the system's order queue. The fact that you originally transmitted it as a market order doesn't give it any higher priority than if you'd entered a limit buy order for 1090 in the first place.
You probably meant something like an entry price of 1110 instead of 1090 which would be below the market and not filled as a market order. I believe IB uses 2%, so in the above example a market order would be converted to 1100 x 1.02 = a limit order to buy @ 1122 (or better).
Tripack - I think you've got the direction backwards. If you enter a market buy order, your intent is to buy now. So if the current price is 1100, then if the preprocessor applied a 10 point collar it would put your order through as a limit order at 1090. You'd want a market buy order to be converted to a below the market limit order. You'd be filled at the best price available at or above 1090. If it was converted to a limit order of 1110 when the current price was 1100, you wouldn't get an immediate fill.