Interactive Brokers reabtes for limit orders arca

Discussion in 'Order Execution' started by mats, Jun 3, 2008.

  1. mats


    which setting on TWS should i use for following order:
    when i send limit order to arca i want rebates for adding liquidity (0.0025 NYSE). Order must not be routed out to other ECN/exchange because in that case i must pay fees for routing out. I already use unbundled fee structure for stocks.
  2. vikana

    vikana Moderator

    you need to set the route to ARCA, you'll get the rebate if you get hit.

    I don't think you can set a "dont route out" flag via TWS.
  3. mats


    thanks for answer,
    do you know if there might be another ECN on TWS like for example Inet or Bats where it will be possible to put a liquidity flag; i just want the rebates and I do not want that the ECN will route out my orders.
  4. Have you found that a significant percentage of your arca orders are getting sent away somewhere?
  5. On Anvil and Laser you can set Arca's to route or not. So it's an IB issue, not an Arca issue.

    The cost of paying for a route out is worth it if you get a better fill. Most the time when your orders gets routed, you'll find that it was because another venue was offering an improved price.

    Also, if you want your rebates, you shouldn't be sending marketable limit orders. Only marketable limit orders (and market orders) are routed out; I would imagine if you're trying to specifically add liquidity that less than 1% of the time would you submit an order expecting a rebate and find that the market quickly traded through it and you're actually taking liquidity... unless you trade BIDU.
  6. You may also want to think about routing to ISE.

    you get a bigger rebate.

    On the otherside of the coin for some stocks the fill is not as good. Really depends on the stock though. I use both Arca and ISE for rebates and find that ISE works pretty well for stocks doing over 3M per day in volume.

    Best to you
  7. Even on the stocks that trade 3M shares per day, you'll notice they fill ISE last. Sometimes ISE holds a price level up after NYSE NSDQ ARCA EDGE and BATS are filled, almost as if no one can see it. Suffice to say, going ISE effectively puts you last in line in thick stocks - in thin stocks, you risk (or make very likely) a trade through. It may be tempting to think "well I'd get filled anyway, might as well get the higher rebate..." however if when posting your order and you're so extremely confident that you will get filled, even considering the detrimental effects of being last to get filled owing to your venue choice (ISE), than perhaps you'd make more money bidding a few pennies lower or offering a few pennies higher on a venue that does more volume.
  8. vikana

    vikana Moderator

    That's definitely the case. IB/TWS makes it very expensive to route anywhere but SMART via the API for instance. Combined with the recent changes in minimum commissions, it's enough that if you think you can get a decent amount of rebates from ARCA (and other ECNs), you should consider a different broker.
  9. If you direct route an order through IB, to ARCA or anywhere else, IB flags the order to prevent the destination from routing the order elsewhere.

    If you want to collect rebates, you must first go into the website's account management page and select the unbundled commissions schedule, since the default bundled commission schedule shields the customer from both rebates and fees paid and charged by ARCA and other destinations.
  10. Anybody knows of a broker that dosen't charge for cancelling orders on ARCA? IB charges 0.12$ per cancel/modify for API orders.
    #10     Jun 7, 2008