Search found 1014 matches

by ftobin
Thu Mar 29, 2018 4:26 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

From a brief discussion with a broker once, I suspect some of this comes down to how a brokerage interprets the regulations. And I suppose that includes how aggressive or conservative they want to be. This is really what it comes down to. Regulations limit the amount of leeway the broker is allowed...
by ftobin
Tue Mar 27, 2018 7:48 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

2. Order would be accepted and executed at some amount between 78.21 and 78.22 (say 78.218 or 78.22) and then I would be informed that there were insufficient funds and I would get a margin call even though this was not a margin account. I forget the details (Series 7 knowledge is fleeting), but I ...
by ftobin
Sun Mar 25, 2018 12:23 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

I think the disadvantage would be that you would pay the full spread more often than not. So I guess you think that price improvement is less likely with a marketable limit order than with a market order. I only tried marketable limit orders a couple of times because I suspected this might be true....
by ftobin
Sun Mar 25, 2018 11:13 am
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

Conclusion: A market order to sell does not always give you a poor execution. 99.999% of the time market orders will always give you the same price a marketable limit. The broker's systems are largely going to treat them the same. The market order only becomes a problem if the bid disappears due to...
by ftobin
Sun Mar 25, 2018 11:10 am
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

TDA reinvested my SPTM in my HSA 2 minutes before the close 3/22/2018 when it was never above $33 and my fill price was $33.25??? SPTM was between $32.85-$32.90 best I can tell at that time frame. TDA probably sent your order, along with all clients who had re-investment for the security, as one bi...
by ftobin
Sun Feb 18, 2018 3:19 am
Forum: Investing - Theory, News & General
Topic: Fellow TDA bogleheads [TDA dropping Vanguard ETFs from commission-free list]
Replies: 549
Views: 60959

Re: Fellow TDA bogleheads [TDA dropping Vanguard ETFs from commission-free list]

I routinely have limit orders in these SPDR ETFs go unfilled even though I see hundreds and thousands of shares traded at exactly my limit price. It is rather annoying. That was very rarely the case with Vanguard ETFs. I see and why is this happening? Probably a combination of two things: Your brok...
by ftobin
Sat Jan 20, 2018 5:05 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

Open market has many more participants than a handful of internalizers typical retail broker brokers exclusively route order to. When I last looked into it, I saw some brokers using just one internalizer or market maker. I don't know how much price competition happen in those scenarios. If you want...
by ftobin
Sat Jan 20, 2018 4:00 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

Well, one big problem is if your broker sell your order to a internalizer rather than to route it to a public exchange, your order won't be part of the exchange order book shown in that level 2 quote. The internalizer/market maker who bought your order from the broker have the legal obligation to e...
by ftobin
Sat Jan 20, 2018 3:57 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

Thanks Ftobin. Yes, it makes sense that brokers with their own inventory can always sell to clients. But I am thinking specifically of thinly traded securities. For example, I place limit order of 10,000 shares for $30, with stock currently at $31. A pair of transactions takes place at $30 and I do...
by ftobin
Sat Jan 20, 2018 3:50 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

If you have a buy order with Fidelity, they cannot buy at a price equal or lower than your price without giving you the shares. But they can certainly sell to you, which is generally to your benefit. In your story, your limit orders at $30 would executed anyways if the stock was at $29. Could this ...
by ftobin
Sat Jan 20, 2018 6:29 am
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

Can brokers keep inventory for themselves and earn by selling to their own clients? Is this legal? For example, since Fidelity can obviously see its own entire limit order book, if it sees that there's a huge demand for XXX at $30, currently trading at $31. If the stock goes down to $29, can Fideli...
by ftobin
Fri Jan 19, 2018 2:09 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

I guess then my concern would be that my order isn't given to a market maker. If your order is requires someone to pay a fee to access liquidity (which is true for the opening/closing crosses), your broker is going to send it to a market maker since they don't want to pay the fee themselves. I don'...
by ftobin
Fri Jan 19, 2018 2:04 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

AON orders are not required to be displayed, so chances are your limit price won’t show up in public quotes, and only your broker or the broker it was sent to know about it. There's an even stronger statement: AON orders cannot be displayed (though you might see a principal order representing part ...
by ftobin
Thu Jan 18, 2018 10:45 am
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

And there's only one listing exchange for a security? For the securities you'd most likely be trading, yes. I guess then my concern would be that my order isn't given to a market maker. If your order is requires someone to pay a fee to access liquidity (which is true for the opening/closing crosses...
by ftobin
Wed Jan 17, 2018 10:05 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

Interactive Brokers has an order type called split spread which apparently execute at the mid of bid/ask. Anyone tried it? All they're doing is passing on a mid-point peg order to the market maker, who re-sends it to an exchange as a midpoint peg. It's not really IB that's providing the order facil...
by ftobin
Wed Jan 17, 2018 5:41 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

VSS for example, is "NYSE Arca" according to https://institutional.vanguard.com/VGApp/iip/site/institutional/investments/productoverview?fundId=3184 but I don't know if that means it's included or excluded from the NYSE cross. Probably just old literature. All market makers are going to execute you...
by ftobin
Tue Nov 28, 2017 11:20 pm
Forum: Investing - Theory, News & General
Topic: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?
Replies: 156
Views: 18695

Re: Vanguard to launch US 'smart beta' ETFs - Will this board burn down?

Just wondering -- who takes the other side of the trade on factor funds and why are they so dumb? Oh, I guess it's us market index fund investors... Larry Swedroe mentions research showing that hedge funds looking for home runs go for high-volatility due to their compensation mechanics: http://www....
by ftobin
Tue Nov 07, 2017 5:57 pm
Forum: Investing - Theory, News & General
Topic: Vanguard Total Corporate Bond ETF listing announced
Replies: 8
Views: 1363

Vanguard Total Corporate Bond ETF listing announced

Effective Thursday, November 9, 2017, Nasdaq will list the following ETF:
Vanguard Total Corporate Bond ETF (Ticker: VTC)
http://www.nasdaqtrader.com/TraderNews. ... TA2017-202
by ftobin
Tue Oct 17, 2017 1:21 pm
Forum: Investing - Theory, News & General
Topic: Fellow TDA bogleheads [TDA dropping Vanguard ETFs from commission-free list]
Replies: 549
Views: 60959

Re: Fellow TDA bogleheads [TDA dropping Vanguard ETFs from commission-free list]

The only thing I'll say is that don't underestimate the cost of paying wider spreads or trading in illiquid ETFs that might not be tracking NAV well. Liquidity costs are harder for your average customer to calculate, which is likely part of the reason why they can make this move -- the cost is less ...
by ftobin
Fri Sep 22, 2017 8:13 am
Forum: Investing - Theory, News & General
Topic: Vanguard upgraded my accounts - angry [Brokerage Services]
Replies: 159
Views: 25612

Re: Vanguard upgraded my accounts - angry [Brokerage Services]

I have a vague recollection that some people that are employed in the brokerage industry and maybe their spouses cannot have a brokerage account at another firm. Mutual fund only accounts are excluded. Maybe someone can confirm. That's true for me. Brokerage accounts are only allowed at certain bro...
by ftobin
Sun Jul 02, 2017 12:49 am
Forum: Investing - Theory, News & General
Topic: Vanguard upgraded my accounts - angry [Brokerage Services]
Replies: 159
Views: 25612

Re: Vanguard upgraded my accounts - angry [Brokerage Services]

I'm curious if they ask questions like if you're a registered rep when you convert. Ordinarily, when a brokerage account is opened, there are a bunch of regulatory questions that don't apply to a mutual fund account. Are these asked when converting?
by ftobin
Thu Jun 29, 2017 8:41 pm
Forum: Investing - Theory, News & General
Topic: Vanguard upgraded my accounts - angry [Brokerage Services]
Replies: 159
Views: 25612

Re: Vanguard upgraded my accounts - angry

If our accounts were converted/upgraded, we would be forced to move our holdings to one of the approved brokers. We explained this to Vanguard some years ago, when they first offered the upgrade, and they backed off. We have no button on our screen, or emails encouraging us to convert, as some upth...
by ftobin
Sun Jun 04, 2017 8:07 pm
Forum: Investing - Theory, News & General
Topic: "Beware Fake Stock News"
Replies: 15
Views: 2773

Re: "Beware Fake Stock News"

Boglegrappler wrote:It's too obvious to educated investors that they aren't real companies.
Just picking out LBIO, I think institutions definitely were buying. They owned 60% of LBIO.
Image
by ftobin
Sun Jun 04, 2017 7:44 pm
Forum: Investing - Theory, News & General
Topic: Schwab .03% SP500
Replies: 31
Views: 2765

Re: Schwab .03% SP500

livesoft wrote:6. Something else ...?
6. Where does the income from securities lending go? We're starting to get to the point where this should be noted more significantly, as a significant differentiator between index fund providers.
by ftobin
Sat May 27, 2017 3:16 pm
Forum: Investing - Theory, News & General
Topic: Why are capital gains taxed lower than div/interest?
Replies: 20
Views: 2098

Re: Why are capital gains taxed lower than div/interest?

Dale_G wrote:A crappy investment with no real return, but the taxman wants their due.

I think the point a few people are making is that real return or not, nominal returns are taxed. Capital gains vs dividends is the focus -- I think inflation is a red herring in the discussion.
by ftobin
Thu May 25, 2017 12:52 pm
Forum: Investing - Theory, News & General
Topic: BlackRock, Vanguard Mull Pressuring Exxon to Disclose Climate Risks
Replies: 33
Views: 2564

Re: BlackRock, Vanguard Mull Pressuring Exxon to Disclose Climate Risks

Active management can sell companies if they don't like their governance. Passive management has to vote in favor of improved governance and sustainability. I would actually prefer it if passive management was truly passive on these issues and abstained, letting active investors drive the discussio...
by ftobin
Wed May 17, 2017 9:25 am
Forum: Investing - Theory, News & General
Topic: BofA HSA dropping Vanguard Funds
Replies: 65
Views: 10646

Re: BofA HSA dropping Vanguard Funds

Don't know if there was a typo, but this post says that ER of BDOKX used to be 1.2%! h https://www.bogleheads.org/forum/viewtopic.php?t=162233 I've been willing to attribute the underpermance to the higher ER. now that it is lower I expect the performance to improve. Perhaps that was the gross expe...
by ftobin
Tue May 16, 2017 10:54 pm
Forum: Investing - Theory, News & General
Topic: BofA HSA dropping Vanguard Funds
Replies: 65
Views: 10646

Re: BofA HSA dropping Vanguard Funds

Available investments and the current ERs include WFSPX, S&P 500 index, ER 0.04% BDOKX, Total international index, ER 0.11% IUTIX, Treasury index, ER 0.2% Expense ratios are not enough to look at. BDOKX, Blackrock's "Total International", has underperformed Vanguard's Total International (VTIAX) by...
by ftobin
Mon May 01, 2017 11:19 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

1. market orders and marketable limit orders 100-9999 shares are subject to regulatory price protection I think you're confusing reporting 605/606 (best-ex) and price protection. Best-ex means the market maker will give you a good price when sending an order to them. Price protection means that you...
by ftobin
Mon May 01, 2017 5:09 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

zeugmite wrote:To clarify, when you calculate inside size, are you aggregating across all venues?
Yes. I don't claim you'll get the that amount at the inside (many quotes are effectively dups of others), but it gives an idea of how likely the market maker will internalize vs route your order.
by ftobin
Mon Apr 24, 2017 6:20 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

Thanks, that's what I was looking for. Any suggestions on less liquid securities? Just price your order 0.10% through or so. If your order is >$5000 and your trade size is >5x the inside size, consider breaking your order up into multiple pieces. Expect to pay some slippage with larger orders, and ...
by ftobin
Mon Apr 24, 2017 2:55 am
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

Should any of this change anything in the way I place orders? Don't worry about where your order is getting routed. The market maker arena is hyper-competitive and you're going to get a good fill as a retail user as long as your security is moderately liquid. Depending on the broker you may even ge...
by ftobin
Sat Apr 22, 2017 1:51 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe says "Goodbye."
Replies: 336
Views: 47700

Re: Larry Swedroe says "Goodby."

Larry, thank you for all the time you put into this forum. It definitely affected my investing, and allowed me to understand new ways to look at strategies. I'm glad you were around when I started taking control of my investments and understanding them. Consistent voices like your stand out. I hope ...
by ftobin
Tue Mar 28, 2017 1:00 am
Forum: Investing - Theory, News & General
Topic: Bogle Interview CNN - Sat.
Replies: 71
Views: 6741

Re: John Bogle interview: is "deep risk" growing?

Mr. Bogle definitely earns my respect. He is brilliant yet humble, and able to broach controversial subjects in a clear but non-inflamed manner.
by ftobin
Thu Mar 02, 2017 5:21 pm
Forum: Investing - Theory, News & General
Topic: BofA HSA dropping Vanguard Funds
Replies: 65
Views: 10646

Re: BofA HSA dropping Vanguard Funds

Shouldn't you compare it to returns on cashlike holdings, otherwise the difference is mostly due to change in allocation? Yes, it's not apples-to-apples, but since I don't want any apples in my HSA, but oranges instead (more aggressive holdings), it's still something to point out. If you want apple...
by ftobin
Thu Mar 02, 2017 4:58 pm
Forum: Investing - Theory, News & General
Topic: Costs vs diversification in mutual funds - which is more important?
Replies: 21
Views: 1994

Re: Costs vs diversification in mutual funds - which is more important?

Just as you shouldn't double your exposure to your employer by investing heavily (or at all) in them, if you are part of a small country you are effectively doubling down by investing in it. Expect feast or famine.
by ftobin
Thu Mar 02, 2017 12:36 pm
Forum: Investing - Theory, News & General
Topic: BofA HSA dropping Vanguard Funds
Replies: 65
Views: 10646

Re: BofA HSA dropping Vanguard Funds

I believe it. You need $5000 or more in the deposit account to avoid all monthly fees. Personally, I think it's a waste to try to avoid the fees. I think they came to around $60/year for me, but if you have invested that $5000 you'll likely come out better, given that a $5000 total bond ETF holding...
by ftobin
Sat Feb 25, 2017 9:48 pm
Forum: Investing - Theory, News & General
Topic: BofA HSA dropping Vanguard Funds
Replies: 65
Views: 10646

Re: BofA HSA dropping Vanguard Funds

Vanguard's Total International fund VGTSX has outperformed the new Blackrock fund BDOKX by about 0.5% for the past 1, 3, and 5 years, so one might think it's due the small-cap exposure instead of just Large-Mid. However, even the Vanguard FTSE ex-US fund VFWIX, which has similar cap exposures, has b...
by ftobin
Wed Jan 18, 2017 1:35 pm
Forum: Investing - Theory, News & General
Topic: An index isn't an index isn't an index...
Replies: 23
Views: 3335

Re: An index isn't an index isn't an index...

I get the impression that CRSP indexes are designed to a large amount of funds to be invested in them without hurting the index. The more extreme the index (small caps, value-ness), the narrow the available securities and the impact of trading them is higher. The other indexes were designed before t...
by ftobin
Sat Dec 31, 2016 5:35 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

If a client submits a limit order for an odd lot that does not execute, how do they even know why it didn't execute? Many clients have tools that help surveil this activity. It's not that difficult to do historically. If we had technical issues and had problems routing to the market, we would run t...
by ftobin
Sat Dec 31, 2016 3:14 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

Also, odd-lot limit orders are not required to be displayed by market makers in their quotes on exchanges - see SEC Rule 604 . So, your odd-lot limit order (below 100 shares) might never be routed outside the market maker. In practicality, though, they're going to post an oddlot and try to get a re...
by ftobin
Sat Dec 31, 2016 2:12 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

I was thinking that one form of comparison would be to look at dividend reinvestments for the same ETF. I've noticed that Vanguard consistently fills automatic dividend reinvestment of its own ETFs (i.e. Vanguard ETFs) at better prices than other brokers. Vanguard themselves are not filling the ord...
by ftobin
Fri Dec 30, 2016 11:38 am
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

The new nickel pilot is taking US equities back in the wrong direction, but I don't hear the internalizers complaining about that. There are 3 test groups and there is a lot more than just nickel increment quoting going on with the ticket size pilot -- I don't recommend painting with a broad brush....
by ftobin
Thu Dec 29, 2016 5:44 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

@ftobin, thanks. So can I then say that the idea to break up an oddlot >100 shares order (103, 246, 318, e.g.) into at least two orders of a round-lot and a separate sub-100 share oddlot makes some kind of sense? I believe mixed lots (> 100 shares) are broken down into round and odd lots. But there...
by ftobin
Thu Dec 29, 2016 5:34 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

matto wrote:Just so nobody accuses me of picking on equities, the following are much worse:

1. Municipal bonds
2. Forex
3. Corporate bonds
Very, very much true. Equities in the US, in general, have a very efficient market compared to other asset classes.
by ftobin
Thu Dec 29, 2016 5:22 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

But because the rules (Reg NMS) are terrible, there are a million loopholes. I agree with almost everything you wrote, but I'd disagree here. The rules aren't perfect, but I worked pre- and post-RegNMS, and I think it added a lot of sanity to the market. Personally, I think not allowing people to t...
by ftobin
Thu Dec 29, 2016 5:10 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

[update: matto posted while I was writing, and his post looks better than mine.] @ftobin, thanks for chiming in. Would you mind giving some specific examples of what you just stated when you have time please? That might help clarify terms ilke "passive", "aggressive", "protected", and "trade through...
by ftobin
Thu Dec 29, 2016 1:27 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 246
Views: 27262

Re: Case study Broker trade executions

Passive oddlot orders are not protected quotes. A broker doing a poor job will trade through them.

An aggressive oddlot order (crossing the spread) will generally receive favorable executions from the broker taking the other side, since they are presumed to have little short-term predictive quality.
by ftobin
Tue Sep 27, 2016 10:53 pm
Forum: Investing - Theory, News & General
Topic: "Uncle Sam Pays Almost Twice The Yield On Treasurys--If You Know Where To Look
Replies: 85
Views: 13933

Re: "Uncle Sam Pays Almost Twice The Yield On Treasurys--If You Know Where To Look

I've been buying $10K/year since I started working seven years ago, and will continue to do so for as long as Treasuries yield much less than EE bonds held to maturity. That's exactly my line of thought. I work on the premise that the market would price EE bonds much higher than what we can buy the...
by ftobin
Mon Aug 29, 2016 12:26 am
Forum: Investing - Theory, News & General
Topic: Fidelity competing harder w/Vanguard
Replies: 92
Views: 11551

Re: Fidelity competing harder w/Vanguard

My guess is that Fidelity reimburses the fund so that (expenses - security lending - reimbursement = stated er). So while listed in the annual reports, each dollar of security lending revenue is one less dollar Fidelity sends to the fund in reimbursements. Maybe when gross and net expenses are the ...