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Subject:  An Execution Rant Date:  1/7/2013  1:25 PM
Author:  globalist2013 Number:  34608 of 36394

The ASK at ET was 75 x 61. At ZD, the same. At IB, 75.050 x 61. [That’s ‘Price and Size’ for those not familiar with the notation.] To execute through IB on a single, I’d have to pay up $0.50 cents in price, but my commish would be $5.00 to $5.05 cheaper. So I tried to execute through IB.

Almost immediately, IB put me at the head of the BID queue on the quote line. But the underlying desk backed away and ceded to the next desk in the queue, which was asking 76.250 x 275. Clearly, the first desk didn’t deem it worth their trouble to fill me, even though doing so would even up their book.

When a desk jumps a price, sometimes the market really has moved. So I refreshed at ET and ZD. Nope, the same 75 offer as before was there, with the same size of 61, and the same min-purchase of 1.

So I canceled at IB. Immediately, the first desk stepped back into the market and repeated their original quote of 75.050 x 61. Rather than play games with them, I wrote the order through ZD (where I had some idle cash and was also holding a single of an earlier maturity). There was a lag in getting a fill. But it was at the listed price. Meanwhile, at IB, the offer size dropped by 1. So it can be assumed that the lot at IB, at ET, and ZD was the same lot, with the desk actually holding the inventory varying its price and willingness to execute according to who knows what criteria.

I don’t hate IB. (The fill on my order with them Friday was immediate.) But I do hate some of the underlying desks they are linked with that screw around with prices and sizes, and it's a situation I've running to before at IB, whereas at ET and ZD, "What you see is what you get".

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