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Flash Boys - IEX

DeepValuePlay

By DeepValuePlay
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DeepValuePlay Newbie

DeepValuePlay

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Posted

I just finished reading Flash Boys for the first time.

I was always aware I am being taken advantage by HFT but now understand it much better.

I wasn't aware up until now that there is an exchange (IEX) that is supposedly fair.

 

I noticed that through Interactive Brokers I am able to direct my trades to IEX and was wondering if that makes sense?

 

I know this topic has come up in the past but it has been a few years and would love to hear your thoughts. If I can have my orders execute better that would be great.

 

Thanks!

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muscleman Newbie

muscleman

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Posted

I just finished reading Flash Boys for the first time.

I was always aware I am being taken advantage by HFT but now understand it much better.

I wasn't aware up until now that there is an exchange (IEX) that is supposedly fair.

 

I noticed that through Interactive Brokers I am able to direct my trades to IEX and was wondering if that makes sense?

 

I know this topic has come up in the past but it has been a few years and would love to hear your thoughts. If I can have my orders execute better that would be great.

 

Thanks!

 

 

I had the same doubts when I read that book two years ago. However, what I later found was that price fill seems to be consistently worse in IB when I try to be aggressive and buy close to ask. So directing the order to IEX only would obviously make the fill price even worse than letting them look at all exchanges for your fill.

 

This is puzzling to me as it seems in direct contradictory to the book’s finding. On the other hand, I also don’t understand why Citadel pays Fidelity and TD a lot of money each year to get their order flow, and at the same time give them better fills than IB.

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muscleman Newbie

muscleman

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muscleman - I thought the whole point at IEX is that it routs the order to other exchanges simultaneously so HFT can't react.

Also - how do you know Fidelity and TD have better fills than IB?

 

My own experience in many trades over the past year. I have accounts in all three brokers for individual, IRA and my mother’s. Earlier this month for example, MSON was at 17.50 bid, 17.75 ask. Very slow moving stock and low volume. I paced buy order at 17.70. TD and Fido both filled me at 17.67. IB no fill. I raised buy order to 17.75 and IB filled me right there.

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muscleman Newbie

muscleman

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I read the previous discussion - not much info regarding should I now use IEX. Also the discussion is 3+ years old.. so much could have changed since.

 

my recommendation is that you do what I am doing. Have an account in different brokers as well as IB and place orders almost at the same time in these brokers and see yourself. For IB place half order with smart and half with IEX. Try for a year and see.

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Liberty Newbie

Liberty

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I read the previous discussion - not much info regarding should I now use IEX. Also the discussion is 3+ years old.. so much could have changed since.

 

I just like linking related threads so that people who stumble here first and want more can easily find the other.

 

As for IEX, I'm on IB and I know that IEX is in the mix used by their trade execution algo, and I trust it to use it when it's most beneficial.

 

How many trades are you doing that you think it's worth trying to micro-manage which exchange you're trading on rather than just trust IB to use what's best for you (IB is one of the ones that isn't selling trades to HFTs, afaik)?

 

Seems like unless you have trading many millions frequently or are a day trader, the effort to do this might either provide returns too small to measure or might actually be counter-productive (ie. you restrict trades to IEX, but maybe some other exchange had a better price at the time that wasn't being spoofed).

 

The simplest way is probably just to decide on the price you are ready to pay, put in a GTC limit order, and just let it fill or not whenever...

 

I'm glad IEX exists and more traffic is going to it, but as a retail investor, I'm not really in a position to move the needle with my volume, so I'll let that to the big whales...

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DeepValuePlay Newbie

DeepValuePlay

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Liberty, I appreciate the input.

I am not big enough to matter to anyone but if there is an easy fix that would let me earn an extra 0.1% on my orders that adds up and I don't mind earning it.

If it is very difficult to implement or no one really knows how then I'll revert back to my usual habits.

 

I was hoping to learn from the community, that's all.

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KCLarkin Newbie

KCLarkin

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I noticed that through Interactive Brokers I am able to direct my trades to IEX and was wondering if that makes sense?

 

The whole point of IEX is to allow institutions to make large trades by preventing HFTs from front-running them.

 

Since you are a retail investor, there is no benefit to you. IB uses very sophisticated algorithms to get you the best price -- trust them to route you to the best exchange. If you start making large trades, you can use some of their more advanced algos to limit your market impact, but smart routing is probably your best bet.

 

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