IB's BEST market orders

Discussion in 'IB Technical Issues' started by o10maximus, Feb 15, 2002.

  1. How much slippage did you get? What stock was it? What time
    of day? I always use limit orders so don't know how much
    slippage would be normal for an IB Best execution market order.
    But it would be interesting to know how much slippage you had.

    Traded BRCM between 9:30 - 11:30.
    Slippage .03-.05 below the best bid on shorts and .03 - .04 above the best ask on longs. I didn't look over time/sales. Most of the trades were short, so that may acocunt for it. thks
    #11     Feb 16, 2002
  2. vikana

    vikana Moderator

    I've had very poor experience with IB best routing on nasdaq. On tusday or wednesday i routed a best market order for AMAT. I got filled 15 cents away from best bid/ask at the time I place the order. That' s just not right.

    I'll probably stop using best and revert to limits for nasdaq.
    #12     Feb 16, 2002

  3. As I read this thread (not just your post, Vikana), I can't help but wonder why you all are using market orders all the time? When you place a market order, you are giving a license to have money taken from you.

    On the Nasdaq, you can get some significant slippage if you happen to enter your order when others do. For example, a stock is 40.10 / 40.20, with 500 shares on each. You're thinking of buying the .20, when a 1000 share offer comes in at 40.14. So you go in with a market order to buy 1000. Of course, others do too, and maybe they are faster. So the .14 offer and the .20 behind are taken out by others. By the time your order hits, the offer might be .35. So you get your fill -- +1000 ABCD @ 40.35.

    On the NYSE, it gets even more fun.... [boring example deleted]


    If you want to be aggressive, then bid through the offer. But market orders are just for throwing your money away. If you really want to do that, do this: Figure out how many shares you traded that much, and send me oh.. maybe 3 cents for each.

    Example: if you normally trade 20,000 shares per day, and there are 20 business days that month, send me 20,000 * 20 * 0.03 = $12,000.
    #13     Feb 16, 2002
  4. The only reason I tried market orders with IB was b/c a trusted (past tense) source told me they were very good fills; maybe he meant fast?

    Another problem I've encounter with TWS:
    I wasn't able to trade via the rapid order panel, the error said "Your account isn't allowed/setup to trade this stock".
    The stock trades fine via the standard method thouhg. Is there a way to activate this thing or does it not work in general?
    #14     Feb 16, 2002
  5. Yannis


    I've been trading futures, stocks and options through IB for a year now and have used all of their order types - and have been very happy. For futures, my experience with IB is superior to my experience with PFG. In trading stocks and options, I was getting similar performance from The Executioner, an RTIII based direct order platform owned by Terranova. However, IB's prices are substantially lower, unless you get above about 1500 shares and trade quite often.
    #15     Feb 16, 2002
  6. Could be. Maybe they were previously routed through some market maker, like NITE. (Knight's CEO, Kenny Pasternak, once said that "quality execution" didn't necessarily mean the best price. He went on to say that retail investors ("common folk") would rather see a quote and be able to execute their entire size at that price. I.e., he maintains we'd all rather see 25 spreads like 1/4 - 1/2, and buy our 5000 shares at 1/2, rather than 500 shares at .35, 1000 at .39, 1000 at .45, and the rest at .50. But I digress..)

    Hmm.. I can't say that I've heard that one. I thought I remembered reading here on ET somewhere a few weeks back of some problems with the rapid order thing. (I personally have not used it.) Anyone else seen this?
    #16     Feb 16, 2002
  7. BRCM usually has fills all over the place. Don't know why. The
    bid/ask can jump 5 cents + in a micro-flash if the stock isn't
    running. Maybe you are getting filled right when the bid/ask
    is hopping up or down since you are using market orders?
    #17     Feb 17, 2002
  8. Handing your market order to a specialist would kind of like be
    handing your head to Ali. He was one heck of a fighter in his
    time wasn't he? He used to play with people's heads, just
    like specialist's like to do...

    #18     Feb 17, 2002
  9. Jeez, getting a fill on AMAT for 15 cents away from the current
    market is worse than trying to get a decent fill on NYSE! The
    Best feature must bounce your order around untill someone
    takes your shares at a humongously bumped up price!

    #19     Feb 17, 2002
  10. vikana

    vikana Moderator


    for me it's a matter of being practical (or at least trying to). My system generates portfolio orders, often between 5 to 10 at a time. It's simply difficult (at least for me) to enter limits on 10 stocks and try manage getting in or out. At the NYSE market orders virtually always fill within 5 cents of the expected price, so that's ok. On the NYSE I simply do better with 10 market orders than trying to manage 10 limits (I've tried both, and my fill stats indicate market orders work best for my style).

    I've just added large cap nasdaq stocks to the portfolio. I will have to either remove nasdaq again or handle those separately with limits. Haven't decided if nasdaq is even worth it at this point. Since I get better fill on a 1M/day stock on the NYSE than AMAT via best, it's not clear that I'll bother with nasdaq much longer
    #20     Feb 17, 2002