Def-- Thanks for the breakdown, most firms won't be that blunt. It does show the overhead. I've been dropping 4-9k/day in commish at IB, lately- and am looking to ramp up velocity and volume--so this topic is certainly of concern. I've got 2 concerns if going higher velocity at IB-- #1) Blue order hang lag--seeing a couple++++ seconds--as an average, and as much as 15-18 seconds-- a complete mess in sub second arbitrage, as we're waiting on your server checks and acknowledgements before a order hits the markets--quite aparrently HDD based checks. I've worked recently with one of your general software guys on this--but to no avail. I've worked heavily with your top level developers in the past...with great results--they're excellent at what they do. #2) Minimum commish --which is quadruple the charge on the same lot charged elseware. It does discourage 100lot API pikers--but for clients who actually do volume, 100lots are part of strategies that are meaningful. --You need a volume credit against the minimum per share charge to make you competative ....and profitable at the same time. Until then...I'll be moving the mass of my automated volume elsewhere--but would rather not. -NBBO
I'd like to hear much more about this restriction. I use a pre-loaded order strategy via the API, where the preloaded live order is "smart" and keeps itself away from the market by using as few changes as possible until it is bumped to strike in the futures markets. I may have to code in some hard limits to, or at least carefully monitor the number of allowable price changes, especially if it's going to result in an ACCOUNT FREEZE unexpectedly, and then what ?? I hope it's not an arbitrarily fluctuating rule, so please clarify. FS
Would you please contact me (either PM or email to help@interactivebrokers.com and include mg101 in the subject line) about the following 2 items: re 1) I need some specifics: account #, when and in which instrument it happened. re 2) Are you having the same problem w/ the unbundled commissions? Thanks.
Sorry to ressurect an old thread - but I am also wondering about US stocks, routed "smart". I am looking into moving a strategy onto the IB API but a 50:1 rule would be a show stopper for me.
I average 400 stock executions/day... and my ratio Order Entry/Change to Execution is about 3 to 1. This is for stocks that generally trade < 100,000 shares/day... And I can see how for high volume stocks it would be higher... say 10 to 1 max. If you are doing anywhere near 50 to 1... Then you are probably spoofing to affect prices or something similar. All INTENT to manipulate markets prices is illegal... Whether there is a specific regulation that applies directly or not... Unless you are the NYSE... Which has a license to steal in perpetuity.
Why not go to the Interactive Brokers website and read all about it under "Software" and "Application Programming".
My messages per second is under 5. But at the end of the day the modification/execution is up to 70:1. Not trying to spoof anything, but on some stocks - if you know your price - there is a real advantage to being toward the front of the order queue. I could probably optimize some orders out, but I don't want to be "on the edge" of 50:1, either.