No. of Recommendations: 5
Does anyone know if orders made using MidPrice algo add liquidity in terms of the tier-based commission structure?
I've made basket orders recently using IB Pro and fixed price option, $0.005/share.
Commissions (1-way) overall seem to be around 0.08% and I'm wondering if that can be further reduced using tiered pricing.
But a lot depends on whether the orders add liquidity or remove liquidity, and those details are not that familiar to me.
As I understand, a market order would remove liquidity because it is immediately executable.
A MidPrice order attempts to execute at the midpoint of the NBBO (national best bid and offer) and so I would think it adds liquidity.
But not sure about that. Also depends partly on what exchange the order would go to.
I'm attempting to simulate FolioFN window trading, at least some version of it.
Today I traded in two "windows" using midprice algo. Generally the orders were <1% DDV but some were a couple percent.
The 16 or so orders took up to something like an hour to fully execute, with a couple stragglers.
From what I could tell, execution prices looked decent, at least nothing jumped out as sketchy.
Mark
