Hey guys, I have been looking into HFT and had a quick question about placing hidden orders on Interactive Brokers. If I place a HIDDEN order to buy/sell on the OPEN...are any high frequency trades / algorithms able to see/find my order? Any help would be greatly appreciated. Thanks
In theory no but there were some signs that some ECNs were selling that information indirectly to HFTs a while back. IIRC Bodek and Nanex exposed that when it came out. But usually, hidden will be hidden
I suspect he means an ordinary hidden limit order manually placed on (after) the open. And for OP: It depends, there are "look forward" orders that fish hidden liquidity (single share FOK orders to see if they get filled or not)...but you'd have to be inside the spread to get hit with one. They wouldn't see it if you were just resting an order under the bid to buy or above the ask to sell. But the luxury of hiding will come at the expense of queue position... More to the point, unless you're trading size that can affect liquidity, why would you want to hide your order?
Seriously...If you have a limit order in place, why does it need to be hidden? If it is a limit order, that means you have a conviction on that target/stop. So why freak if it is touched but not filled? Does that shake your faith in that trade? Why should it? You felt the order would be filled at that price. If it gets touched but not filled because the order is "visible", then maybe reconsider your limit price? Weird, man.
I see this type of fishing all the time. Usually 3, 4, 5 share orders pinging. Once an order like that hits, my fill slows down.
A sitting LMT is pretty horrible IMO. Better use some algo or route to IEX or just go with MKT. Once it gets routed to the dirty exchanges, your price will be traded around.
I'm sorry but I would have to disagree. A market order sent to IEX, which has very little limit orders and liquidity, will likely be re-routed out to an exchange that has liquidity which has the highest cost for taking liquidity of $0.0035/share. On another note, I hate market orders. I'd rather just pay the offer or set my price. Most of our clients like our LSPT route at $0.0015/share that finds liquidity across lite pools or our LSPD Dark Assault that hits dark only. I just do not like market orders and in effect lose control of my limits. https://www.lightspeed.com/pricing/routing-fees/
Market orders depend on liquidity, obviously with any meaningful spread, I would not go with MKT. There are routers from Credit Suisse, Jefferies (and others not often available to retail) that combine lit and dark pools, those would probably be best in most scenarios where speed isn't the number 1 priority and liquidity is limited. Putting a sizeable limit order during an illiquid period means that you'd only get filled when the price significantly goes in favor of you as your size would already be factored in. A dark order would make much more sense. Personally, with IEX, I've had great results, with both market and limit. I've compared IEX to IB's smart router (usually routed to ARCA, NASDAQ) and IEX is better 95% of the time. That's good enough for me, even if I don't understand their inner workings. I don't mind paying more to get filled and at a better price.
95% is a massive outperformance. As I understand it, IB does not sell order flow, so price execution should be IB's primary objective - especially as IB disclose price improvement compared to the competition. That IB has decided to move to IEX also goes to show that IB endorse and welcome IEX. Bare that in mind, I do not understand why the IB SMART router wouldn't rout to IEX more often, if your experience is correct. What would be IB's incentive not to let the IB smart router place orders on IEX - speed of execution?