Splain this crepe

it's got to be a combination of latency and data feeds. Optimally, you would want to have data feeds direct from the exchanges - processed by an API. Most third party vendors are going to slow down your feeds as well. There are a ton of funds and traders out there trying not ony to minimize the latency of orders, but also of data feeds as well. You would also want to use an API to minimmize your r/t latency to the exchanges.

There are always people out there trading at the speed of light....at speeds so quick, round trip, that you're going to be at a disadvantage if you're not one of them.

 

I'm certain. It's well known, and has been discussed at length, both here on the IB forum.

 

So let me get this straight.

I send the order, IB delays displaying the quote change for some sub second interval, and I only see the jump ahead when they do send the change. All this in 1/2 second or less.

Well, if thats true, then whoever is doing the jumping must be co located at ARCA or is using an order type that automatically jumps the offer.

Either that or someone has really fast fingers.

 

Sounds like a crazy conspiracy theory. What an agenda!
Perhaps cover your computer with tinfoil?

 

What theory? You mean you think they are NOT out to get you?

 

I saw this before on Island. I believe this is done programmatically. The idea is to use someone else's bid as a short-term price support. Once a front running order is filled, the program enters a sell limit order a few pennies above the purchase price. If the ask moves lower, the program hits the "price support" bid.

 

Sure there are auto generated quotes. If those who are doing it are 50 ms away from the ACRA servers, and your route via IB takes 150 MS to route to ARCA and back before you see your offer in Level 2, then yes you will see their auto generated quote 1st...

 

The phenomenon you are discussing most likely has nothing whatsoever to do with internet latencies.

Both ARCA and INET support advanced order types allowing your order's limit price to be pegged to a positive or negative number of ticks away from either the same side of the market, or the opposite side of the market. The price changes to such orders are done right on INET or ARCA, without any involvement of the internet. This is why you the order pennying you shows up on your display so quickly.

If you were running some automated strategy which involves this type of pennying, it would be far faster to allow each price change to be done automatically by INET or ARCA itself, instead of transmitting each and every price change through the delays imposed by the internet.

 

. . . where every execution requires you to cross your own market to get a fill.

But I guess if you agree to it beforehand, it's all legit.