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Split Spread Limit Order

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Hello BBT, new monthly member as of a couple weeks ago and looking forward to the trading challenge. I received any email on split spread orders from InteractiveBrokers so I looked into how to create a hotkey in DAS. Here is a hotkey script for a 500 share limit order at a price that splits the spread, at least, this seems to work in SIM:  ROUTE=SMRTL;Share=500;Price=Ask-Bid*.5+Bid;Price=Round2;TIF=DAY+;BUY=Send;TIF:DAY+

Is it true this order adds liquidity so could potentially avoid ECN fees (depending on route) with a possible credit? With that benefit comes the risk of not having your order filled. I'm still in SIM, and plan to be for at least another couple of months, so I'm not sure what impact this would really have on ECN fees. I'm going to try it in SIM to see how often orders do not get filled. Curious to know if anyone else uses orders similar to this setup? Thanks!

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i've always wondered if this is possible...  the theory seems right about ECN fees but i can't say for sure.  you are technically adding liquidity i believe.  perhaps i'll give it a shot but i definitely want to test in sim for a bit.  

thanks for posting

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I've used this, and another for short orders, in SIM this week. A few of my orders didn't get filled, probably around 2-3 out of 20. When I go live with small share sizes I'll use this type of order half the time, compare fees and post the results.

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Posted (edited)

This is definitely possible live, and I have been using (as well as the more "traditional" buy on the ask + 0.05  / +0.10) 

The script for a limit split spread buy order is as follows; 

Route=Limit;price=bid+ask/2;price=round2;buy=send

Share position is left blank, then you can simply select the desired position within the relevant montage, or alternatively insert a pre-defined value into the script 

You could also adapt the above for limit split spread Sell orders as well

This specific script has been confirmed by DAS 

 

 

Edited by CJ_in_Van

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What is the difference between the 'round2' and 'price' function/variables?

Thanks for the split script!

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