开云体育

I have a question about the cheapest way to get orders filled. Suppose that you had a trading strategy that wanted to make trades in hundreds of U.S. stocks each day via TWS, and you planned to hold each position for 1-2 days. You do not need your orders to execute right away, but you hope that each order can execute within roughly 1-2 hours of placing the order. If not all of them fill, that's ok, but you'd like most of them to fill. Each order will be for a small number of shares (a few hundred).

What order type on TWS would have the lowest transaction costs for doing this? My first thought was to use limit orders, since they would capture half the bid/ask spread, and also collect the exchange rebate for providing liquidity (rather than pay a fee for taking liquidity). But then of course I would pay the price of adverse selection, and I would also need to re-submit my limit orders when the price moved away from me. My next thought was to use midpoint orders, which would presumably collect the exchange rebate some fraction of the time and be hit by a little adverse selection some fraction of the time.

But I am overwhelmed by all the different types of midpoint orders: "Pegged-to-Midpoint Orders", "IBKR ATS Pegged-to-Midpoint", "MidPrice Algo Orders"

Can anyone explain the differences to me, and give your thoughts on which is best for my needs? And is it better to use SMART routing, or to direct orders to IBKR ATS or other exchanges? I know that this is a big question, and there is probably no simple answer, but I am curious to gather whatever wisdom you all have on this topic.

[Moderator note]
This post is not strictly related to the use of TWS API, but I assume there is quite some interest in the topic and insight from practitioners would be welcome. I might lock the topic at some point, though, should the discussion meander too far away from TWS API.
[Moderator note end]