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IB interactivebrokers.com - how is your experience?

  • #21
  • Jan 28, 2011 5:13am Jan 28, 2011 5:13am
A3 - as I understand it, if you trade FX you're trading only with IB's ECN, if you're trading Futures it's direct access into the CME market as I understand it. May I ask if you've traded the full CME FX futures with IB, or were you posting about the volume on e-Mini and e-Micros (which I believe are much lower)?

Max
  • #22
  • Edited 9:42am Jan 28, 2011 9:21am | Edited 9:42am
Apocalypto - are you speaking from direct personal experience of trading say both EURUSD and 6E futures on IB?

I ask (and the reason I asked this question) because although IB is a big broker, but you're still trading in a small part of the FX market with their ECN, compared to trading with the whole Futures market.

As I write (15.15 Friday 28th GMT), 6E is trading an average of 100 full contracts on each of the first 5 levels on each side of the market (obviously much smaller at the inside levels). As these contracts are VERY approximately worth about US$100K each, the spot FX equivalent would be to trade an average of 100 full lots at each of the first 5 levels. I'm looking at the IB demo IdealPro BookTrader (like a Level 2 for their IdealPro ECN), and it's showing a fraction of that volume - am I missing something?

Max
  • #23
  • Jan 28, 2011 9:43am Jan 28, 2011 9:43am
Marketdata on IB Demo is totally useless, its delayed and not showing the whole book by far. IB clients get a papertrading account - thats more like a real demo account with live marketdata.
  • #24
  • Jan 28, 2011 9:49am Jan 28, 2011 9:49am
Quoting maxr
Apocalypto - are you speaking from direct personal experience of trading say both EURUSD and 6E futures on IB?

I ask (and the reason I asked this question) because although IB is a big broker, but you're still trading in a small part of the FX market with their ECN, compared to trading with the whole Futures market.

As I write (15.15 Friday 28th GMT), 6E is trading an average of 100 full contracts on each of the first 5 levels on each side of the market (obviously much smaller at the inside levels). As these contracts are VERY approximately...
hi Max,

I was really referring to daily FX EU vol vs daily vol though the fx futs.

but on the figures you have posted yes there's more depth if it has 100 a level by 5 levels both sides vs eu that when i just looked had 42Mil on the bid and 41mil on the ask. that's 420 on the bid and 410 on the ask in 100K lots so a touch better! I'm no expert on reading depth on FX book to futs, or if you can compare directly like that, so can't say to much more than that at the moment. just wating saw a few snaps up to 56mil on the ask so not sure if you can make a direct comparison as I don't have 6E data on to compare.. any other member got more info here?


Thanks for your reply.
  • #25
  • Jan 28, 2011 9:56am Jan 28, 2011 9:56am
You can watch CME futures data live here (with depth):

http://datasuite.cmegroup.com/EFXweb/index.html

You have to divide the number of contracts by 8 to get to the spot-equivalent in millions. If there are 40 contracts on the bid it means its 5 mil - since the euro futures contract is worth 125K Euro.
  • #26
  • Jan 28, 2011 11:46am Jan 28, 2011 11:46am
Thanks Shrike and Apocalypto - I get it now, that's very helpful. I assumed an IB papertrading account is the same as the Demo account. Sounds like it's quite different, and the Demo account isn't even really a 'practise' account, it's just to show you round the platform?

Max
  • #27
  • Jan 28, 2011 1:08pm Jan 28, 2011 1:08pm
Quoting >Apocalypto<
eu that when i just looked had 42Mil on the bid and 41mil on the ask. that's 420 on the bid and 410 on the ask in 100K lots so a touch better!
IB's ECN, as is the case with most, has a target level of liquidity that it maintains. When, as is generally the case, customer order flow is not sufficient, they go to their contracted banks to get the rest. During London and NY, IB tends to maintain around 35; it's a bit higher right now due to the move in progress. In the 17:15 - 02:00 (EST) time frame, it's usually around 20.

So the size you see is not the size of the "market" in spot forex. It is, in the futures, since that is coming from the exchange. You can check the futures against different brokers, and see the same numbers, with the only differences coming from differences in refresh latency between the brokers.
  • #28
  • Jan 28, 2011 1:13pm Jan 28, 2011 1:13pm
Quoting maxr
the Demo account isn't even really a 'practise' account, it's just to show you round the platform?
That correct, but it is fully API enabled for testing. I believe that they deliberately make the Demo's shown prices more volatile than a real market, so that API testing will throw more events in any period of clock time.
  • #29
  • Jan 28, 2011 7:28pm Jan 28, 2011 7:28pm
Quoting OldQuant
IB's ECN, as is the case with most, has a target level of liquidity that it maintains....
thanks for the info OQ, have nice weekend.
  • #30
  • Jan 29, 2011 6:31am Jan 29, 2011 6:31am
OldQuant said:

Quote
That correct, but it is fully API enabled for testing.
...so if I wanted to check integration of say the Ninja Trader order system with IB before I opened an account, I can do it with the IB Demo.

It appears that with IB you can trade across all asset classes by opening a single account. I wonder if the IB Papertrader system (rather than the Demo) would give a reasonable approximation of how IB spot FX compares to IB FX futures for my purposes? Does their Papertrader system attempt to simulate real market fills, or does it e.g. just fill you immediately at the displayed inside Ask on a Buy Market order? Their site appears to suggest that Papertrader might simulate real market slippage etc., but I don't think it says so outright.

Max
  • #31
  • Jan 29, 2011 11:27pm Jan 29, 2011 11:27pm
Quoting maxr
...so if I wanted to check integration of say the Ninja Trader order system with IB before I opened an account, I can do it with the IB Demo...

It appears that with IB you can trade across all asset classes by opening a single account. I wonder if the IB Papertrader system (rather than the Demo) would give a reasonable approximation of how IB spot FX compares to IB FX futures for my purposes?
The Demo platform would allow that. I'm sure that there would be port settings, etc, that you would have to deal with, but if you are successful with the Demo, all those settings would be identical in the real account. For integration of such things, I would also suggest you look at the forums (I don't think you have to have an account to do so) and also the listings of third party software and consulting services also on the website. Also, most likely, you would want to use the "Gateway" rather than the Trader Work Station (TWS). It communicates with the API with a much smaller Java footprint, and has noticable reduction in latency.

The "Simulated Trading" and actual platforms will fill exactly the same, except as I'll mention below. Bids and offers arrive in the API with a "can auto execute" flag. If that is set true, then, unless there is latency in a fast market, and your order is at or below the present size, that is the price you will get in the ST platform.

In the real platform, most of the time, you will actually get a deci or two better than the shown price, because the shown price is always pushed out by (in E/U, G/U, or any other pair where the magnitude of the two is the same) half ticks. The real ECN's market is no worse, and very often inside, the shown price.

In other words, if the price shown to you is autoexecutable, there is no slippage up to the size, except for that which might be caused by latency in a fast market.

Addendum:
I just Googled "ninja trader interactive brokers" and found this first hit: http://www.ninjatrader.com/Connectio...nnection-Guide

Doesn't look any different than attaching a home-grown API application; my guess is that Ninja has essentially done the API programming for you. If that's the case, you'd be pretty much home free: the API connections are rock solid (at least the Win32 Microsoft language flavors are). IB itself is very stable, but has an Achilles Heel: if internet connectivity is lost, TWS or Gateway will try to log back in, and will succeed, except that they use Java-managed sockets. Once those sockets are closed by the Java runtime, due to an extended outage (around 120 seconds, I think), TWS has to be closed and reopened. That's Java for you.
  • #32
  • Jan 29, 2011 11:52pm Jan 29, 2011 11:52pm
Following up on your concerns about slippage, here's 15 seconds of the offer side during the busiest time of the FOMC run-up in E/U on the 26th. This graph is 15 seconds. There were 121 offer changes in that time, and the only time you could have been badly slipped was right around ::28, and that would have been for maybe 2 ticks.

Why? More buying than offers. The opposite happened in those 'gaps'. They're not outages, just more offered size than buyers ready to take it all for a second or so. For example, here are the offer sizes shown during the 'gap' following ::19.440

13:17 19.440 6,100,000
13:17 19.487 3,360,000
13:17 20.050 3,200,000
13:17 20.409 3,000,000
13:17 20.659 2,000,000
13:17 20.690 2,000,000
13:17 20.706 14,500,000
13:17 20.722 4,500,000
13:17 20.737 3,000,000

The punchline is that unless you're trading an announcement "by hand," or have more than 200 ms or so to the server, you don't generally have to worry about slippage. And, in my experience, you never have to worry about outage on their servers' side.
Attached Image (click to enlarge)
Click to Enlarge Name: FOMCflow.jpg Size: 54 KB
  • #33
  • Jan 30, 2011 4:21am Jan 30, 2011 4:21am
Thanks again OldQuant, that's very helpful. Looking for a good broker for FX has been a real eye opener - every FX site is loaded with horror stories of real, imaginary, or 'well-that's-what-it-looks-like' skulduggery on the part of brokers. The forums are also stuffed with what appears to be real personal experience but turns out to be 'some guy told me' or 'everybody knows' - so please excuse me asking if opinions are based on real experience and hard facts - they obviously are for you and apocalypto.

The published stats on how few FX traders make 'a profit' with each broker (for most it's 20-30%, except Oanda, which pays interest on dormant accounts...) may explain why so much of the comment on forums from traders, wannabee traders, ex-traders , and never-were-traders is negative about most 'market maker' brokers - there appears to be more disaffection than with stock traders. However, it's hard to see how trading with liquidity provided solely by the broker can ever produce a high % of contented bunnies, whether the liquidity provider plays by the rules or not. Could part of the problem be that it's very hard to set up any trading model to allow people to contentedly and profitably trade FX with a few $00's or even a few $000's?

I've heard more positive things about Interactive Brokers and their ECN system (assuming one's trading >$25K?) than about any other broker I can set up a Sterling account with (in some cases that just means that nobody seems to have much info on them). Negatives seem to mostly be about average service and impenetrable account paperwork, but I think I can live with that - the positives appear to be low market spreads, low commission rates, and good liquidity.

I think one useful exercise for FX trading students like myself on the edge of starting trading for real is to compare the cost of trading with a high spread 'commission only' broker, with the cost of trading on a market spread + commission model, and then ask yourself if you can afford the former. Various posts by people who have done that suggest that it can easily make the difference between being modestly profitable and not, and my own modest back of an envelope calculations appear to confirm that .

Max
  • #34
  • Jan 30, 2011 11:27am Jan 30, 2011 11:27am
Quoting maxr
one useful exercise for FX trading students like myself on the edge of starting trading for real is to compare the cost of trading with a high spread 'commission only' broker, with the cost of trading on a market spread + commission model, and then ask yourself if you can afford the former. Various posts by people who have done that suggest that it can easily make the difference between being modestly profitable and not, and my own modest back of an envelope calculations appear to confirm that .
The root demarcation in the spread-only v commission issue is average trade size. For example, given IB's minimum commission of 2.5 deci, 100M EUR prices today a couple pennies over $2.60 (2.5*E/U rate*100000), but 1000 EUR prices at $2.50 (I think, maybe it is $2.60 also).

Beyond that demarcation, the next issue is not relative cost at all; it's really platform stability. There is lots of anecdotal evidence that suggests that MM providers routinely go offline in fast markets. Maybe that's due to their servers being swamped (the kind of redundant capacity that a firm like IB has to build in because of their equities and futures businesses is expensive!) or maybe it's because they're protecting themselves, but either way, if a customer is trapped on the wrong side of the market in an announcement or surprise, and can't get out, the cost can be huge compared to the relative costs of commission v additional spread from a MM. As you can see from that 15 seconds I posted, an IB customer might not have gotten the price he'd hope to get at the instant he clicked, but at least he could have gotten out.
  • #35
  • Jan 30, 2011 2:21pm Jan 30, 2011 2:21pm
Yes - I've been watching a trading room 1-3 times a week for short periods, in which traders use a specialised piece of news execution software to trade only news reports as they happen. The standard recommendation is to use limit entry orders, but when traders ignore that or forget, they not infrequently get filled long 'at market' late, and near the top of the spike. Most of them are using MT4 accounts with 'market maker' brokers. Because the chances of gettting filled on a news report with these accounts is not high, this software lets you duplicate the entry with 4 accounts at once - and the result seems to be 0-4 fills. Many traders report messages coming back like 'order rejected' or 'server not available', or requotes. The saving grace with this kit when used as recommended is that many unsuccessful trades are 'no trade' (when the variation from consensus isn't enough to trigger a trade) rather than 'stopped out', so some traders have figured how to make money with it. However it does demonstrate that regular 'market maker' style brokers have a number of options to stop you taking money out of their pocket, including, as you say, turning their servers off and/or trapping traders on the wrong side.

Max
  • #36
  • Edited 2:53pm Jan 30, 2011 2:34pm | Edited 2:53pm
By chance does anyone here trades E-Micro currency futures with Interactive Brokers? From what I can make out their flat rate works out to about US$1.70 round trip on currency futures.

With the tight spreads on CME Globex and the US$1.70 round trip (vs ~US$5 for the OTC FX market), it sounds very tempting to use for scalping.


@QQ : Has it been tested that the IB gateway has a noticeable reduction in latency compared to TWS or is it more anecdotal evidence?
We're all stories in the end. Just try to make it a good one.
  • #37
  • Jan 30, 2011 2:53pm Jan 30, 2011 2:53pm
Quoting Traderji
By chance does anyone here trades E-Micro currency futures with Interactive Brokers? From what I can make out their flat rate works out to about US$1.70 round trip on currency futures.

With the tight spreads on CME Globex and the US$1.70 round trip (vs ~US$5 for the OTC FX market), it sounds very tempting to use for scalping. Anyone have thoughts on the pro/cons of spot fx VS currency futures?
spot fx is tighter than fx e-micro futures ...
  • #38
  • Jan 30, 2011 11:39pm Jan 30, 2011 11:39pm
Quoting Traderji
Has it been tested that the IB gateway has a noticeable reduction in latency compared to TWS or is it more anecdotal evidence?
Tested, but on inbound tickPrice and tickSize events only. Basically, Gateway and TWS ran on two machines on the network with system clocks within 1 ms (always are, via tcp/ip comp sequence packets), and then re-running with who-runs-which reversed.

Inbound tick data is not stamped by IB (to save bandwidth, I think), so the app that owns the API tickPrice and tickSize events puts on the timestamps just upstream from the events. Overall, Gateway stamps 60+ ms earlier than TWS.

This stands to reason: TWS does a lot of IO, and Java programmers don't tend to program a lot of messaging or event yields, and the runtime doesn't play nicely with Windows in many ways. A few ms here and a few ms there, and pretty soon you're talking real time.
  • #39
  • Edited 11:54am Jan 31, 2011 7:28am | Edited 11:54am
Perhaps this question should rightly go in the Platforms section, but since we have expertise on IB right here...

I've just been playing with IB Trader Workstation - how is it when you get used to it please? I'm looking to trade only 3-4 pairs on intraday swings with manual entries. I'm unlikely to be doing very quick scalping, but I'd like to be able to quickly and easily set up attached OCO orders entries with an initial stop and multiple targets, then tighten or trail the stop, adjust the targets, and if neccesarily bail the whole trade, without burrowing around in an Open Orders window or leaving orphaned orders (unless that's unavoidable due to bad timing). TradeStation's 'Matrix' ladder style order window pretty much does all I need, although even that could be more user friendly. Does TWS have something that will do this adequately once I get used to it, or would Ninja Trader make setting and adjusting OCOs a lot easier?

I feel I'm getting somewhere again now, thanks to you guys - it's easy to get bogged down with prospective brokers and platforms and lose sight of actually getting down to trading.

Max
  • #40
  • Jan 31, 2011 11:58am Jan 31, 2011 11:58am
I only tried their demo so far, and I can't say I was hillarious about it, their platform is bad! but they are a ECN, so I think they are probably good if you can use their crappy software, however it is possible to run another software through their "API" but seem difficult, the minimum deposit for a new acount is,,,, please sit down! 10000! I think there are a lot better Brokers out there
Bulls are stupid Animals!especially when Im short!
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