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Steve2

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Joined: 10/11/2012
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Subject : RE: IB Order Execution When Shares Not Available
Posted : 11/20/2013 8:30 AM
Post #27629 - In reply to #27627

Hi Fred,

Do you mean the "Seek Price Improvement" option on SMART routing? If yes, then I have tried that and it actually resulted in worse slippage although I only tried it for about 3 weeks.

Take a look at the spreadsheet attached to the following post:

http://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=4437&start=91

Look at the MBI table in the Summary worksheet. This table shows the slippage by order size for market orders submitted with the "Seek Price Improvement" option enabled. This was done for 69 orders and the average slippage per share was $(.006039) per share versus a slightly positive slippage when submitting market orders without this option turned on. So, I've discontinued the use of this option.

Caveat: I'm trading liquid stocks (Avg Daily Vol > 1M shares) so you may see different results if you are trading less liquid stocks.

Steve
Deleting message 27629 : RE: IB Order Execution When Shares Not Available


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