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IBKR Lite?
¿ªÔÆÌåÓýand - i know its a bit of a crazy idea, but it didnt cross your mind that there is no such thing as "no commissions"..? they always get their share, either as a commission or a slightly
worse fill price. On 5/21/21 9:06 AM, Patrick C wrote:
I haven't had the chance to test yet or switch my account over. Anyone here hook up to the API with IBKR Lite? I just recently went bust, and I'm going to take a break for a little bit from trading, but my gears are still turning and looking at everything I've been doing all these years. One of the first things I want to change coming back is to drop commissions, and get that drag out of my PL curve.? |
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Lets actually continue this topic..this might turn into a good thread actually.. the original question was "Does IBKR Lite allow API access?" And the answer was no, and Goose4All said there is no such thing as "no commissions".?
So I agree. But my next question is.. how would I get orders to an exchange with out using a broker or paying a commission? Would I have to become my own Broker-Dealer and then buy up an inventory of lets say, E-mini's and just trade them within my own dark pool?? Maybe I am flawed in thinking the Hedge Funds are just normal traders with a workforce of programmers, fancy database collectors, and fancy market modelers all under their employment.. If I had just even a team of 10 people working under me, 3 programmers, 3 people modeling, 3 people collecting information and 1 person overseeing trading... I could only imagine the jump from being a single person doing all of that. I'd imagine it would be huge. And I also imagine, Bridgewater doesnt pay commissions on its trades.? Anyone have any actual experience in this realm? Like I said, this could be an interesting topic instead of the usual "something isnt working LOL" Also I've got a program script that tracks "fill status" if anyone is interesting in checking it out to learn from it for their own programs.?? |
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I'm pretty sure that you cannot be an exchange member if you do not have a proper license. If you are small - becoming a member would be much more expensive than paying a fee. You can probably do some OTC deals without (or with minimal fee), but you still would need a counterparty that would accept a trade from you (look up "counterparty risk") On Fri, May 21, 2021 at 6:39 PM Patrick C <zenfiretrading@...> wrote: Lets actually continue this topic..this might turn into a good thread actually.. the original question was "Does IBKR Lite allow API access?" And the answer was no, and Goose4All said there is no such thing as "no commissions".? --
SI: ?+386-30-315-640 |
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Yes, commissions are pretty high. Everywhere. IBKR probably provides the best commissions rates. In forex I am certain of it. Effective commissions rates fo winners is 20%+ or more I think with IBKR. On the other hand, with those who don't charge commission, I hear they cheat the buyer seller by selling the supply/demand requests to third parties. So maybe they turn out to be more than 20%. Its interesting how brokers have almost zero risk. They win from losers and from winners. Only way you can lower your commission is by making better algorithms maybe. The only rule I have seen that may suspend or charge you more is if your cancel to completed transactions go over a certain amount. I can't answer your specific question. On Fri, May 21, 2021, 9:06 AM Patrick C <zenfiretrading@...> wrote: I haven't had the chance to test yet or switch my account over. Anyone here hook up to the API with IBKR Lite? I just recently went bust, and I'm going to take a break for a little bit from trading, but my gears are still turning and looking at everything I've been doing all these years. One of the first things I want to change coming back is to drop commissions, and get that drag out of my PL curve.? |
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Really, they sell to citadel too? I thought they don't. Or maybe pro order flow doesn't get sold? Some brokers(?) allow you to directly place orders to exchange apparently. Think HFT. IBKR is not that. Not sure which ones but apparently exist. They may or may not have a lower effective rate of commission. What most people don't realize is that effective commission rate is much higher than posted rates when it comes to a winning strategy. On Fri, May 21, 2021, 9:57 AM Patrick C <zenfiretrading@...> wrote: I tried to delete the message but guess I cant delete the whole thread. I called IB, they said no API support and the order flow is routed to Citadel. That's all I needed to hear LOL |
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IB is actually both - you can direct your order to some venue or choose to get routed via SMART - then you can be filled anywhere. If you are setting a limit price - do you care where you get executed? (you can be routed to some major exchange and your counterparty could be citadel anyway) On Fri, May 21, 2021 at 7:53 PM Bruce B <bruceb444@...> wrote:
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SI: ?+386-30-315-640 |
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No, directed route is not that. Directed route is a term made by IB and all those transactions still goes through IB and then to that exact exchange. What I said earlier is some allow to directly place order to exchange via exchange API maybe instead of broker. Also, here is why this is important: IB itself, citadel, or others who have access to order flow may buy your position or sell you while knowing the full tape information and hence saturating the market to effect your decision of setting a limit price. So really, is a limit price really the best limit price or one was manipulated to think it is? What if the buy or sell speed slope was much slower or faster but that info is not provided? So many ifs here. IB forex market is totally its own and so manipulations happens. But then again it happens at all brokers. Some do it with decimal places some do it with order flow selling. This is why order flow selling is a talking point. IB interestingly list d its own stock on an exchange that charged much lower rates while back and asked everyone else to jump on to the high precision low commission exchange but no one else did. Maybe it was a bait but they failed and came back to NYSE or whoever they are with now. On Fri, May 21, 2021, 2:10 PM §¡§Ý§Ö§Ü§ã§Ñ§ß§Õ§â §¹§Ö§â§ß§Ú§Ü§à§Ó <me@...> wrote:
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You must be a broker-dealer integrated technically and contractually with the financial trading and clearing infrastructure to join an exchange. E.g. per NYSE Website, "Membership is available to registered and new U.S. based broker-dealers who obtain a Self Regulatory Organization (SRO) and have an established connection to a clearing firm. Individual investors are not eligible."
I would speculate Bridgewater hardly qualifies. That said, they sure must have special arrangements with brokers, market-makers and whatnot to help them optimize their trading and holding costs. |
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Nick
¿ªÔÆÌåÓýI would submit you're looking at it backwards. By definition you have identified numerous unprofitable trading systems since in real life commissions exist. You need to find a strategy that works given unavoidable overhead
- commissions and slippage being primary costs. On 5/21/2021 4:00 PM, Patrick C wrote:
Its been wild now I can back test 15 years of data in 30 seconds.. how many good trading systems I have discovered that produce beautiful PL curves... but get absolutely destroyed by commissions and makes me think, that's the edge. Getting rid of all the fees and commissions |
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On Fri, May 21, 2021 at 06:38 PM, Patrick C wrote:
And I also imagine, Bridgewater doesnt pay commissions on its trades.?You imagine wrong.? Lets just say that firms at the Bridgewater level have their teams of programmers figure in commissions, slippage, execution, etc into their trading routing decisions.?? It's much more complicated though.? Models at that level generally output an idea ("Go long $5b worth of Gold in Fund1, Go Short $1.7B worth of Gold in Fund2") with a confidence interval which then get sent to an engine that determines the delta per account based on it's current gold holdings.? Then aggregates it across all of the accounts to determine they need to add $2.7B worth of gold exposure net.? Then an engine looks at all the possible ways to buy gold (/GC, GLD, physical, IAU, Mining stocks, other metals, ...) and their correlations to the desired position combined with their trading limits (Futures contract limits, max % ownership of companies before reporting, ...), average daily volumes, predictions of how much can be executed before causing an intolerable amount of market movement, and trading fees/slippage..? to come up with the predicted optimal list of trades..? Which get sent to trading, multiple times per day, global 24hr clock, multiple regions, which trades as best they can, though not always in full..? Executions get proportioned back to the appropriate fund, and the cycle continues continuously..?? When you're spending north of $250m on staff and developers every year, free commissions aren't the primary focus but are definitely included in the model.?? There is a whole system of "soft dollars" which is a sort of accounting shell game..? but that's a topic for another day. -P |
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Nick
Blame the market not. From yourself only results appear.
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On 5/23/2021 7:39 AM, Patrick C wrote:
Woah! Jedi master take me under your wing! That was the coolest paragraph I've read in a long time! |
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