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Direct MessagesDate/Time: Sun, 19 May 2024 16:56:25 +0000
Post From: Sierra Exchange Data Feed - Order routing IB
| [2020-07-28 03:02:57] |
| TeeJay - Posts: 123 |
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Thanks for your answer. Please let me tell you - from an engineer to engineer - why I see issues with some of that. And why I think professional software should do better in some terms. Sierra is really so far ahead of competition in certain places it was the only viable option for me after long research, but sometimes, especially stocks are somehow treated in a not so optimal way, which is no offense, but maybe we can get constructive further. We are not talking about single stocks here but bulk stocks of whole US market and also screens and algorithms running over these stocks on a daily basis. There is no time for having to manually set 1000s of stocks to their dependent home exchanges. This should be possible to be handled better. 1. With using your Sierra exchange feed you already know the home exchange for every stock of the feed, you even have exchange lists with all the stocks that belong to it already, like in associated watch list. So the information is there. So why open them as SMART? 2. There should not be any extensive manual work to do to be able to route stocks to their proper home exchanges. 3. I wrote a personal tool sometime ago (for IB) which daily/nightly accesses NASDAQ FTP where you can download all listed instruments for NASDAQ, and also all other major US exchanges, along with AMEX, ARCA, BATS, NYSE with detailed detailed information about the instruments. These lists are updated daily by NASDAQ on their server and are also done for BATS, NYSE etc on a daily basis. These instruments lists can then be very easily split up into home changes and all the instruments they have listed as home exchange on them. So you get full coverage here. After that a mapping to the proper home exchange is easy, Also the correct price and volume is taken per eschange if it is done this way. With SMART you always see an aggregated view of volume and a sum of transactions across the exchanges. This might be prefereable for some, but not for others. To be honest I don’t know why this is done at all becaue you already have the information which is the "home" stock with your on data feed. And this brings more hassle than beneifts. If I open ATVI for instance I will know this is an aggregeated or cumulated view. But what if I sell on ISLAND (which is NASDAQ in IB terms) or I want to sell on NYSE instead? I would have to mess around with the symbols in the first place right, already when loading them. Trading should be quick and efficient without too much thinking process of backend logics which might be implemented. It would be great if I just can route an order to whatever venue I want because this would make selling way easier, if I sav nothing then it should be sold on it's home exchange where it is listed. This would make life a lot easier and I would be happy to hear your thoughts on this, Thanks, Thomas P.S: "But you are not going to be able to track the true Position information in the chart when you are not using Interactive Brokers smart order routing." This is something that it is completely also out of my focus why it s like that, I told you some tie ago IB is just a brick on my leg I have to carry with me, I dont't know what they do all day long Date Time Of Last Edit: 2020-07-28 03:08:10
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