If fetching live market depth level 2 tick by tick data for a stock, does setting SMART for the exchange provide THE cheapest rate available in the market or should one consider querying all the exchanges at the same time and find the cheapest available price because SMART doesn't always provide the cheapest price available?
I have the following assumptions:
- For orders, SMART means either the best rate available (in case of market order) OR the fastest execution available (in case of Limit order) which may not be the cheapest available at that moment. So, IBKR algorithm for SMART may work it's best depending on the order type.
But for tickbytick request, does something like above apply or SMART is simply the cheapest available price available and there are no other options because this is just a data request and not an order. If there are other ways SMART works for providing tick by tick data, please explain.
Thanks,
