Search found 1069 matches

by ftobin
Tue Sep 26, 2023 12:45 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 313
Views: 51764

Re: Case study Broker trade executions

comeinvest wrote: Wed Jul 26, 2023 7:33 am Does this only apply at the level of each individual exchange or ECN (NYSE, Island, ...), or are brokers obliged to fill the order at the price of the opening auction? IBKR allows direct routing but can the brokers that don't allow direct routing route the order to a market maker, skipping the opening auction? If yes, it would be not much worth. IBKR charges ca. 0.67 cent commission per market order, which is more than the bid/ask spread at least for stocks with 1c tick size that typically have a 1c spread.
I'm not familiar with IBKR's tools but market makers will make sure you're filled at the opening print if it's in their hands, either by posting it to an exchange, or taking it internally.
by ftobin
Tue Sep 26, 2023 12:41 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 313
Views: 51764

Re: Case study Broker trade executions

ekid wrote: Wed Sep 13, 2023 12:55 pm At 9:32 I sold VDE (entire position- 453 shares, with a fraction) but the high of the day was never quite as high as my price. WSJ listed the high at 129.86- 129.89
WSJ is incorrect. High on 09/11 was 130.01.
by ftobin
Fri Sep 03, 2021 12:32 am
Forum: Investing - Theory, News & General
Topic: WSJ: Members Exchange Urges Regulators to Allow Half-Penny Stock Prices
Replies: 23
Views: 4221

Re: WSJ: Members Exchange Urges Regulators to Allow Half-Penny Stock Prices

Sadly, I except between the broker kickbacks and lucrative market makers deals of ripping off retail customers’ orders (via selective price “improvements”), all the financially interested parties (except retail, who pay the cost in poor execution prices and get no lobbying) will find a way to tank the proposal. Then again, anything that spins as “populist” could well get passed under this administration. BTW, I take great exception the notion that retail orders are getting ripped off. Far and away, they get better handling than any other type of class of order in the market. There's a reason there are "Retail Attestations" exist and allow price improvement systems that no other class of order gets. There is functionally no other ...
by ftobin
Fri Sep 03, 2021 12:23 am
Forum: Investing - Theory, News & General
Topic: WSJ: Members Exchange Urges Regulators to Allow Half-Penny Stock Prices
Replies: 23
Views: 4221

Re: WSJ: Members Exchange Urges Regulators to Allow Half-Penny Stock Prices

sycamore wrote: Wed Sep 01, 2021 4:11 pm
AnEngineer wrote: Wed Sep 01, 2021 7:40 am
sycamore wrote: Tue Aug 31, 2021 7:03 pm

Also, I recently placed a market order and the execution price ended up at $174.8688/share. When I got my transaction confirmation, the price was rounded up to $174.87. So on some level exchanges & brokerages already allow for sub-penny prices.
Isn't this just averaging over all the shares in the trade? That is, some were at 174.87 and others at 174.86.
That might make sense but in my case I only bought one share. Maybe my broker bought that one share in multiple fractional parts? :)
Just sounds like there was market maker providing price improvement. The rounding you see is probably just a 2-digit display issue, probably not the actual price you bought at.
by ftobin
Fri Sep 03, 2021 12:12 am
Forum: Investing - Theory, News & General
Topic: WSJ: Members Exchange Urges Regulators to Allow Half-Penny Stock Prices
Replies: 23
Views: 4221

Re: WSJ: Members Exchange Urges Regulators to Allow Half-Penny Stock Prices

A good question deserves a good answer, and I know you have the background to appreciate it. Let's not conflate banning PFOF which banning market maker internalization. They are separate concepts, and there is no need to tie them together. Your mechanisms talk about the results of prohibiting internalization. If anything, by itself, banning PFOF would put less on exchanges, because market markers wouldn't have to pay for the order flow, and have a larger profit cushion with which to absorb high-alpha trades. Citadel/Virtu would still get the trades because they can provide better price improvement than other market makers. Now they just wouldn't have to pay for the orders too. Also, I think you ignored the fact that 80-90% of orders get im...
by ftobin
Wed Sep 01, 2021 12:21 am
Forum: Investing - Theory, News & General
Topic: WSJ: Members Exchange Urges Regulators to Allow Half-Penny Stock Prices
Replies: 23
Views: 4221

Re: WSJ: Members Exchange Urges Regulators to Allow Half-Penny Stock Prices

That PFOF ban would be great for the market and the retail customers, making the spreads way way tighter than they are now and the markets much for efficient, all-in trading costs lower, etc. I'm curious how you think the mechanics of a PFOF ban would decrease spreads. Over half of all notional traded is currently done at 1-penny spreads, the minimum. Yes, there is "selective" price improvement, but market makers provide PI on generally 80-90% of retail flow coming to them, often >25% of the spread. This is a significantly better price than the client could achieve in the market. PI is a 605 metric on how market makers compete for flow, and it's a highly-competitive, low-margin business. If you want tighter spreads, simply advoca...
by ftobin
Tue Aug 31, 2021 8:15 pm
Forum: Investing - Theory, News & General
Topic: WSJ: Members Exchange Urges Regulators to Allow Half-Penny Stock Prices
Replies: 23
Views: 4221

Re: WSJ: Members Exchange Urges Regulators to Allow Half-Penny Stock Prices

livesoft wrote: Tue Aug 31, 2021 7:13 pm While many trades occur to the nearest ten-thousandth of a dollar or hundredth of a cent, right now retail investors cannot submit limit orders at sub-penny prices. Retail investors can submit to the nearest $0.01 though.
No-one cannot submit limit orders at sub-penny prices (above $1). The thousands-of-a-dollar situation is because your broker is deciding to give you price improvement at their discretion. However, there is the concept of midpoint peg orders -- there's no reason that brokers couldn't offer it. Except the big reason of payment for order flow.
by ftobin
Sun Jan 24, 2021 11:28 am
Forum: Investing - Theory, News & General
Topic: Vanguard 2-factor authentication becoming mandatory and available for non-US
Replies: 104
Views: 26315

Re: Vanguard 2-factor authentication becoming mandatory and available for non-US

I have read using google voice was great security. If that is the case, why would companies block their use? If the security is so good, one would think companies would embrace google voice. Yes, GV is more secure. However, companies don't know it's GV -- they just know it's not registered as a mobile number, and so it gets lumped in with the ban. Bureaucracies, particularly in finance, like Vanguard, will tend to go for simple answers will take the easy decision to just ban them to get less risk or complication. Finance is always the worst at security. Remember all the sites that would block your browser from autofilling passwords or allow you to paste into the password field? Completely anti-security measures. Also, Vanguard's passwords ...
by ftobin
Fri Jan 22, 2021 8:44 pm
Forum: Investing - Theory, News & General
Topic: Vanguard 2-factor authentication becoming mandatory and available for non-US
Replies: 104
Views: 26315

Re: Vanguard 2-factor authentication becoming mandatory and available for non-US

stocknoob4111 wrote: Fri Jan 22, 2021 8:36 pmI was using my Google Voice number until now but in the last few days it has just stopped working or works intermittently, not sure what happened.
Ugh, I really hope they haven't disabled support for GV. Banks will sometimes block it because of concerns of people fraud from VOIP. Ally and Venmo block GV. It's really hit and miss.
by ftobin
Tue May 05, 2020 10:20 pm
Forum: Investing - Theory, News & General
Topic: Vanguard 2-factor authentication becoming mandatory and available for non-US
Replies: 104
Views: 26315

Re: Vanguard 2-factor authentication becoming mandatory and available for non-US

I consider accessing a financial institution via their app to be *more* secure than using their website, especially on an iPhone. You can't get phished, the OS guarantees all communications are encrypted, no risk of rogue browser extensions stealing data. There are other nuanced considerations. For example, I use a password manager for every account I have. Using Firefox's built-in password manager, I'm guaranteed I only submit the password to the correct site. Using a password manager with mobile apps generally requires a cumbersome and insecure process of using an independent password manger to copy a password to the clipboard and then paste into the app. Any app can read from the clipboard during this time. On Android there are keyboard...
by ftobin
Sun May 03, 2020 2:08 am
Forum: Investing - Theory, News & General
Topic: Vanguard 2-factor authentication becoming mandatory and available for non-US
Replies: 104
Views: 26315

Re: Vanguard 2-factor authentication becoming mandatory and available for non-US

dmcmahon wrote: Sun May 03, 2020 12:51 am Fidelity too
Unfortunately, for Fidelity, if you enable app TOTP 2FA, you have to use it on each login. If you simply use SMS-based 2FA, you can choose to enter it only when logging in from new devices. While I strongly prefer TOTP 2FA, I don't want to have to enter it all the time. Poor (lack of) design decision on their part, IMO.
by ftobin
Fri May 01, 2020 10:45 pm
Forum: Investing - Theory, News & General
Topic: Vanguard 2-factor authentication becoming mandatory and available for non-US
Replies: 104
Views: 26315

Re: Vanguard 2-factor authentication becoming mandatory and available for non-US

IndexCore wrote: Fri May 01, 2020 8:33 pm At some point I plan to figure out what went wrong for me with Google Voice and Interactive Brokers.
Venmo also has this problem, and Facebook did too at one point. From what I've noticed, these providers are using a service that classify GV numbers as landlines, which would suggest they can't receive SMS.
by ftobin
Sun Mar 15, 2020 12:13 am
Forum: Investing - Theory, News & General
Topic: Have any of you ever bought VIX calls/puts?
Replies: 20
Views: 1399

Re: Have any of you ever bought VIX calls/puts?

Crushtheturtle wrote: Sat Mar 14, 2020 6:31 pm Playing with Options is playing with fire.
VIX options is juggling the fire. Different rules than other underlyings.

Understand what you are doing.
I love your metaphor!
by ftobin
Fri Feb 14, 2020 10:15 pm
Forum: Investing - Theory, News & General
Topic: Fidelity lets clients now trade fractional shares of stocks and ETFs
Replies: 209
Views: 27020

Re: Fidelity lets clients now trade fractional shares of stocks and ETFs

ChrisBenn wrote: Fri Feb 14, 2020 4:14 pm I find M1's implementation pretty reasonable - a trade at a target time window - after open. I think it was 10:30 central?.
That's great if brokers can keep cost down and provide that functionality. Generally there is much more liquidity near at EOD, so there's more liquidity to hedge with during that time (fractional shares necessitate that the broker act as the counterparty, and they'll hedge it away).
by ftobin
Fri Feb 14, 2020 12:00 pm
Forum: Investing - Theory, News & General
Topic: Fidelity lets clients now trade fractional shares of stocks and ETFs
Replies: 209
Views: 27020

Re: Fidelity lets clients now trade fractional shares of stocks and ETFs

I think I asked earlier in the thread, but how would folks expect this to work? Would they limit it to Market or Limit on Open (MOO or LOO) or Market or Limit on Close (MOC or LOC) orders? Would they give you a choice between the two? Or would you be able to specify a time for your order? Would they limit automatic investment to the most liquid ETFs where there would never be a risk of a failed opening or closing auction or where they could pool purchases (as with dividend reinvestments)? There are enough complications to consider with automatic ETF investments to make me believe it will be a while. I certainly wouldn't expect to see it from a major brokerage this year. I can pretty much guarantee they'd be MOC or VWAP orders, for a slew o...
by ftobin
Fri Jan 10, 2020 12:17 am
Forum: Investing - Theory, News & General
Topic: Why don’t ETF shares ever split to reduce price?
Replies: 29
Views: 4300

Re: Why don’t ETF shares ever split to reduce price?

Gleevec wrote: Thu Jan 09, 2020 10:29 pm I disagree, if you split your ETFs to be cheaper, you retain your institutional buyers
This is not true. The smaller spreads in bps, lower minimum increment in bps, and lower trading costs (share-based fees) encourage trading at higher dollars.
by ftobin
Thu Jan 09, 2020 9:26 pm
Forum: Investing - Theory, News & General
Topic: Why don’t ETF shares ever split to reduce price?
Replies: 29
Views: 4300

Re: Why don’t ETF shares ever split to reduce price?

Gleevec wrote: Thu Jan 09, 2020 8:32 am Thanks for all the replies. I am just surprised because if the goal is to have a lot of buyers of your ETF product, for a given ER having a lower per share price is a huge advantage in the market it would seem.
The goal is not to have a lot of buyers, but to have a lot of AUM. AUM is gotten from appealing to big players, not retail clients purchasing only a few thousand dollars.
by ftobin
Wed Jan 08, 2020 4:04 pm
Forum: Investing - Theory, News & General
Topic: Why don’t ETF shares ever split to reduce price?
Replies: 29
Views: 4300

Re: Why don’t ETF shares ever split to reduce price?

fallingeggs wrote: Wed Jan 08, 2020 11:05 am Leveraged ETFs split and reverse-split all the time!
Leveraged ETFs appeal to different clients than most ETFs, mainly to intra-day traders who might need smaller increments to hedge with.
by ftobin
Wed Jan 08, 2020 1:51 am
Forum: Investing - Theory, News & General
Topic: Why don’t ETF shares ever split to reduce price?
Replies: 29
Views: 4300

Re: Why don’t ETF shares ever split to reduce price?

3504PIR wrote: Wed Jan 08, 2020 12:43 am And as you seem to mention, fractional purchases are now the norm rather than the exception.
This is highly untrue. There are no fractional purchases, just fractional ownership. Transactions only work in whole shares. What bookkeeping brokers do to allow you to own fractional shares is one thing, but trading only occurs in integers.
by ftobin
Wed Jan 08, 2020 12:24 am
Forum: Investing - Theory, News & General
Topic: Why don’t ETF shares ever split to reduce price?
Replies: 29
Views: 4300

Re: Why don’t ETF shares ever split to reduce price?

Purchasing higher-dollar ETFs is more efficient because the spread is a smaller percentage of the price (among other things I won't get into).

Consider the extreme example of a $1/share stock. The minimum spread, $0.01, is 1% of the stock's price. It's assumed that on average you pay half the spread when transacting, so you'd be paying 0.5% of the stock to purchase it. For a $100/share stock, the minimum spread is 0.01% of the price, so you're paying 0.005% of the stock price to purchase it.
by ftobin
Sat Jan 04, 2020 3:38 am
Forum: Investing - Theory, News & General
Topic: Do you prefer etfs or mutual funds?
Replies: 271
Views: 18735

Re: Vanguard phasing out regular mutual fund shares?

S_Track wrote: Thu Jan 02, 2020 8:55 pm Would you be able to give me an example in simple terms of what you mean by not guaranteeing a NAV execution. Say I place a order for ETF Fund X...? Won't I be close even if I uses a Market order or what am I missing? Thanks
"guaranteeing a NAV execution" has a fairly precise meaning. "close" is certainly not "guaranteeing".

I'll just link something Rick Ferri's wrote a while ago: Solving The Bond ETF Discount Problem .
by ftobin
Thu Jan 02, 2020 2:31 pm
Forum: Investing - Theory, News & General
Topic: Vanguard Continues to Lower the Cost of Investing with Expansion of Commission-Free Platform Beyond ETF
Replies: 71
Views: 6652

Re: Vanguard Continues to Lower the Cost of Investing with Expansion of Commission-Free Platform Beyond ETF

jhfenton wrote: Thu Jan 02, 2020 10:04 am I saw that too and just commented on it in the other thread. I don't think there's a way to make money on the midpoint trades
There is a way to make money if you're getting better-than-midpoint executions, but you and Vanguard would eventually get slapped, as the executing broker would not be happy.
by ftobin
Thu Jan 02, 2020 3:05 am
Forum: Investing - Theory, News & General
Topic: Do you prefer etfs or mutual funds?
Replies: 271
Views: 18735

Re: Vanguard phasing out regular mutual fund shares?

I do not have any experience with ETF's but curious if we have the same problem with mutual funds? When I place an order for a mutual fund in the morning I have no idea what the closing price will be when its executed. Is this similar? Thanks The problem does not exist for mutual funds: while you do not know the price, you cannot overpay, because you are guaranteed fund calculated NAV (though sometimes calculating NAV can be problematic for illiquids, but that's another story). With ETFs you are never guaranteed such a NAV execution (though some venues have considered having a closing-NAV based execution; I don't think they gained traction). For index funds you've effectively you've done the equivalent of participating in the closing cross...
by ftobin
Tue Dec 31, 2019 10:33 pm
Forum: Investing - Theory, News & General
Topic: Do you prefer etfs or mutual funds?
Replies: 271
Views: 18735

Re: Vanguard phasing out regular mutual fund shares?

Workable Goblin wrote: Tue Dec 31, 2019 1:52 pm But I see several methods of defining reasonable prices in most circumstances looking at previous executions and/or the actual value of the underlying assets the ETF holds.
Not outside of market hours, which is what I was originally responding to.

I don't see much value in responding any more. You may take my advice or leave it.
by ftobin
Tue Dec 31, 2019 12:51 pm
Forum: Investing - Theory, News & General
Topic: Do you prefer etfs or mutual funds?
Replies: 271
Views: 18735

Re: Vanguard phasing out regular mutual fund shares?

Johnnie wrote: Tue Dec 31, 2019 12:10 pm I once posted a thread asking whether ETFs actually owned the shares, or were they just "contracts" with counterparties that mimic owning shares. The term is "synthetic" I learned there. Everyone insisted the ETFs, really do own the shares, but late in the thread someone pointed to some that are indeed "synthetic."
I think you're thinking of ETNs, which are Exchange Trades Notes, and only a contract with the provider.

ETFs are the same structure as mutual funds underneath. I might be mistaken, but I think they actually classify as mutual funds, just additionally able to be traded on exchanges.
by ftobin
Tue Dec 31, 2019 12:08 pm
Forum: Investing - Theory, News & General
Topic: Do you prefer etfs or mutual funds?
Replies: 271
Views: 18735

Re: Vanguard phasing out regular mutual fund shares?

My understanding is that trading out of market hours is bad because prices tend to go wonky at market open due to the time it takes for trading to get started and all of the various after-hours actions that have taken place. But if you use a limit order to set a rationally set price above which you will not buy then it seems to me that this problem is greatly reduced or erased, certainly for someone who is planning on holding for ten or twenty years and doesn't need the best possible price from their holdings the way an active trader would. How did you "rationally" set this limit order price? You have no reference points that are valid outside of market hours. As a retail trader, your reference points should be the prevailing mar...
by ftobin
Mon Dec 30, 2019 11:57 pm
Forum: Investing - Theory, News & General
Topic: Do you prefer etfs or mutual funds?
Replies: 271
Views: 18735

Re: Vanguard phasing out regular mutual fund shares?

What you're saying doesn't make any sense to me. I place an order to buy a share of an ETF at less than NAV. By definition I won't buy any shares of that ETF unless they're being offered for less than NAV. How could I regret that? Especially given I'm a Boglehead who's going to be holding onto that share for ten or twenty years anyway? My initial response was to someone saying they were placing orders outside of market hours. I said that was ill-advised. You had said, in response to me: I imagine that’s what the limit order is for? My point was that having your order be a limit order is irrelevant to the concept of the ill-advisement of placing outside of market hours. You have no idea of the market conditions your order will execute in, e...
by ftobin
Sun Dec 29, 2019 10:51 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 313
Views: 51764

Re: Case study Broker trade executions

Startled Cat wrote: Sun Dec 29, 2019 4:33 pm but neither can I think of any incentive to give one type of order more price improvement than the other.
Market makers can play shenanigans so that the limit order is less likely to execute, and become posted, therefore earning them a rebate instead of having to pay PI.
by ftobin
Sun Dec 29, 2019 10:46 pm
Forum: Investing - Theory, News & General
Topic: Do you prefer etfs or mutual funds?
Replies: 271
Views: 18735

Re: Vanguard phasing out regular mutual fund shares?

I imagine that’s what the limit order is for? If you set the limit at NAV or recent trading values I can’t see why you should have much regret over how much you paid. Limit order or not is irrevelant. In general, non-marketable limit order posted at the inside, especially from retail clients, get run over and execute at poor PWP 10 prices (Price Weighted Participation 10%) , almost by definition. A market order will actually generally do better because of price improvement provided by the broker (of course, sent during market hours). No trader who wants to make money does it with irregard to current trading conditions. You said you posted outside of market hours, so it'd become a DAY order the next session. You have no idea what the openin...
by ftobin
Sun Dec 29, 2019 2:46 pm
Forum: Investing - Theory, News & General
Topic: Do you prefer etfs or mutual funds?
Replies: 271
Views: 18735

Re: Vanguard phasing out regular mutual fund shares?

I put limit orders in on the weekend. They are good for up to 60 days I believe. My objective is to buy x shares of an etf as long as it's not greater than y price (so I don't get whacked if there is a temporary jump in price.) I don't watch it during the day although I do get an email from vanguard when the order fills. If you are trying to time the purchase hour by hour, than vanguard is not the platform for you. Your timing approach is generally not advised. Ideally one trades in the mid to late half of the day, when liquidity is stable. Orders placed outside of market hours could execute during illiquid times at (future-looking) poor prices. Background: 15 years of market making and buy-side order flow analysis. My ideal non-informed t...
by ftobin
Wed Nov 20, 2019 2:22 am
Forum: Investing - Theory, News & General
Topic: What "Exactly" Does Selling Order Flow Mean?
Replies: 31
Views: 4020

Re: What "Exactly" Does Selling Order Flow Mean?

AlohaJoe wrote: Tue Nov 19, 2019 11:23 pm
fallingeggs wrote: Tue Nov 19, 2019 9:49 pm It’s one of those things that are tiny for any individual investor (the profit given up is pennies on a trade, so who’s going to raise a big stink?)
There is no profit given up at all. All brokers are required by SEC regulation to adhere to NBBO -- National Best Bid and Offer.
If a market maker is paying for flow, that's money it can't use for price improvement on orders.
by ftobin
Fri Nov 08, 2019 10:33 pm
Forum: Investing - Theory, News & General
Topic: [Deleted] [Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund]
Replies: 652
Views: 85801

Re: (NEW) WisdomTree 90/60 U.S. Balanced Fund

Any broker would love to take your non-marketable limit order. They just send your order to an exchange, and pick up the rebate when it fills. There is absolutely no risk on their part.

One reason why some brokers don't want to take marketable orders in certain instruments is because they will generally need to provide price improvement for marketable order. There's a greater chance of them getting gamed and losing money if they're having to provide that improvement in those instruments. In contrast, a broker is not going to get gamed from you trading SPY in retail-sized amounts.
by ftobin
Tue Oct 15, 2019 3:15 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 313
Views: 51764

Re: Case study Broker trade executions

If you're setting your buy limit price at the prevailing bid (or sell at the offer), it's not the broker who is getting you the fill. Your order will have just been posted on an exchange. Your order just sits there. To get your execution, someone selling is crossing the spread to sell.

And more than likely, if you post at the bid, and you end up getting filled, it's because the market is moving down, and what you executed at is the new offer. In other words, you bought high, and the market is now low.

In general, it's highly to your advantage to buy at the current offer, due to the price improvement you'll get.
by ftobin
Tue Sep 10, 2019 2:56 pm
Forum: Investing - Theory, News & General
Topic: New Vanguard Security Code Requirement [2FA: Two-factor authentication]
Replies: 204
Views: 28434

Re: New Vanguard Security Code Requirement [2FA: Two-factor authentication]

ThereAreNoGurus wrote: Mon Sep 09, 2019 10:44 pm These things just reinforce the notion that maybe Vanguard's security options are a bit behind the competition's.
It can be costly for the provider to support people losing their 2FA method and needing a way to get back in, especially in such a highly regulated industry. If Vanguard was innovative, however, they could have more stringent restrictions on actions taken while logged in with the "backup" method, like no bank transfers.
by ftobin
Fri May 17, 2019 1:01 am
Forum: Investing - Theory, News & General
Topic: Will ETFs Replace Traditional Funds
Replies: 87
Views: 6505

Re: Will ETFs Replace Traditional Funds

You want it for free, which is totally understandable! (Well, you can get it for free at M1Finance so maybe it is more like "I want it free at the brokerage I'm already using!" which is also understandable; though by not switching to M1Finance we're all sending a signal to Vanguard & Fidelity that we don't really care about it that much.) My point is that there is absolutely zero technical reason ETFs can't do all that today -- because it is already being done today. It is just that brokerages have realised they can create another revenue stream and are charging money for it right now. It isn't some fundamental difference between ETFs and mutual funds, though. Thanks for the clarification. While it's not a "fundamental&q...
by ftobin
Thu May 16, 2019 11:24 pm
Forum: Investing - Theory, News & General
Topic: Will ETFs Replace Traditional Funds
Replies: 87
Views: 6505

Re: Will ETFs Replace Traditional Funds

AlohaJoe wrote: Thu May 16, 2019 9:44 pm
ftobin wrote: Thu May 16, 2019 6:51 pmIf brokerages came up with better tools to transact ETFs in dollars, handling all the partial-share complexities, this would be a boon.
Brokerages don't need to "come up" with anything. They all have this and they all offer it to customers.
Fidelity doesn't allow fractional share purchases, never mind denominating the request in dollars: "Quantity must be a positive whole number" (I have to specify shares). TD Ameritrade is the same, not letting me enter fractional share buys (request is still in shares).

I want to be able to say "I want to buy $500" of VTI and have it done with me not even present during market hours.
by ftobin
Thu May 16, 2019 6:51 pm
Forum: Investing - Theory, News & General
Topic: Will ETFs Replace Traditional Funds
Replies: 87
Views: 6505

Re: Will ETFs Replace Traditional Funds

Now if they can just come up with a trivial way at the brokerage to execute a "Market on Close" order that simulates a daily mutual fund purchase and the convenience advantage of the mutual fund goes away and no would really care. Actually, I would recommend that the way to go is not market-on-close orders, but full-day VWAP orders. The more you spread the demand over time, the less impact you'll have. Brokers could aggregate and net demand from their client-base as well, making the process more efficient. This is also often similar to how dividends are re-invested. As other posters have noted, a key feature of working with mutual funds is that you transact in dollars instead of shares. If brokerages came up with better tools to ...
by ftobin
Wed Mar 27, 2019 7:11 am
Forum: Investing - Theory, News & General
Topic: American Funds readily available with no loads
Replies: 30
Views: 3165

Re: American Funds readily available with no loads

Can you help explain why all of your posts are about promoting this fund provider?
by ftobin
Wed Mar 20, 2019 1:23 pm
Forum: Investing - Theory, News & General
Topic: Vanguard ETFs, Are fractional shares allowed?
Replies: 29
Views: 10938

Re: Vanguard ETFs, Are fractional shares allowed?

TropikThunder wrote: Wed Mar 20, 2019 1:06 pm I am thinking more of the mechanics of how the actual trade is processed on the exchange. Since you buy ETFs on the market from other sellers, not from a mutual fund company, I just wonder how they end up transacting the fractional shares. If I want $200 of VTI, that’s about a share and a half. How do they enter a buy order for half of a share?
Fractional shares are never traded on an exchange. The fraction is managed by the booking process of a broker. Think of the broker as holding 3 shares of something, but collectively owned by 3 brokerage clients. That's why it only occurs with dividends -- a bunch of clients all get dividends at the same time, and the brokerage goes out and buys on their behalf, splitting the proceeds.
by ftobin
Mon Mar 11, 2019 11:47 pm
Forum: Investing - Theory, News & General
Topic: Large Lump Sum ($1M) into an ETF at Once
Replies: 37
Views: 4360

Re: Large Lump Sum ($1M) into an ETF at Once

BrandonBogle wrote: Mon Mar 11, 2019 10:14 pm Does Fidelity offer an option to buy such as this if you are concerned about having many lots for the purchase (and potentially a price change between them) vs. one?
Never, ever use AON orders. Pretty much the most game-able order you can enter.
by ftobin
Thu Feb 14, 2019 1:07 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 313
Views: 51764

Re: Case study Broker trade executions

livesoft wrote: Thu Feb 14, 2019 10:24 am I submitted a limit order to sell VSS this morning in a Vanguard account. It was executed at 101.33 which is reflected in the chart above. But the "Day's Range" at finance.yahoo.com shows high so far was 101.29. (And yes, Vanguard says the trade executed at the time shown on the chart.)
Morningstar.com, Vanguard.com, and TDAmeritrade have the Day's high as 101.33.
Often times calculations will ignore oddlots. Was your execution >= 100 shares?
by ftobin
Sun Feb 10, 2019 5:32 am
Forum: Investing - Theory, News & General
Topic: Tax efficient and FDIC insured
Replies: 11
Views: 1473

Re: Tax efficient and FDIC insured

While not technically FDIC insured, savings bonds are have effectively the same amount of protection, and are tax efficient in that the they are tax-deferred until redemption.
by ftobin
Thu Jan 10, 2019 8:00 pm
Forum: Investing - Theory, News & General
Topic: [Vanguard to stop accepting purchases in Leveraged or Inverse mutual funds]
Replies: 145
Views: 14234

Re: [Vanguard to stop accepting purchases in Leveraged or Inverse mutual funds]

alex_686 wrote: Thu Jan 10, 2019 2:00 pm Some exchanges pay for order flow. But that is the exchange, not the market maker. The market makers don't have have that power, all they can do is widen the bid/ask spread to handle their expenses.

Where are you getting this from? I used to do operational stuff and this seems way off base - but it has been a few years.
Market makers pay for order flow. Source: thirteen years of algo work for a market maker.
by ftobin
Thu Jan 10, 2019 12:40 am
Forum: Investing - Theory, News & General
Topic: [Vanguard to stop accepting purchases in Leveraged or Inverse mutual funds]
Replies: 145
Views: 14234

Re: [Vanguard to stop accepting purchases in Leveraged or Inverse mutual funds]

One reason why a low-cost platform like Vanguard might want to ban trading in certain products is because they need to send the orders to a market maker for handling. That market maker doesn't want to handle toxic flow because it costs them money, and part of their agreement with Vanguard is likely that in order to provide good price improvement, the flow coming in needs to be retail-ish. The inverse/leveraged products are the opposite of being retail. This is not the answers, for a couple of reasons. First, all trades flow through market makers. For illiquid things this mean a large bid/ask spread. This is born by the investor, not the broker. Next, the broker must make reasonable efforts for best execution. If the spread is large, it is ...
by ftobin
Wed Jan 09, 2019 12:15 pm
Forum: Investing - Theory, News & General
Topic: [Vanguard to stop accepting purchases in Leveraged or Inverse mutual funds]
Replies: 145
Views: 14234

Re: [Vanguard to stop accepting purchases in Leveraged or Inverse mutual funds]

One reason why a low-cost platform like Vanguard might want to ban trading in certain products is because they need to send the orders to a market maker for handling. That market maker doesn't want to handle toxic flow because it costs them money, and part of their agreement with Vanguard is likely that in order to provide good price improvement, the flow coming in needs to be retail-ish. The inverse/leveraged products are the opposite of being retail.
by ftobin
Thu Jan 03, 2019 7:56 pm
Forum: Investing - Theory, News & General
Topic: Case study Broker trade executions
Replies: 313
Views: 51764

Re: Case study Broker trade executions

vineviz wrote: Thu Jan 03, 2019 7:30 pm If you're a retail investor, you're always paying the prevailing spread.
Generally not. Usually the broker is going to give significant price improvement. There is extreme competition at this level. Many times when I've bought an oddlot I've paid the bid price.
by ftobin
Thu Jan 03, 2019 11:22 am
Forum: Investing - Theory, News & General
Topic: Vanguard To Liquidate Convertible Securities Fund
Replies: 25
Views: 3113

Re: Vanguard To Liquidate Convertible Securities Fund

Beliavsky wrote: Thu Jan 03, 2019 10:59 am If investors should own the market portfolio, why should convertibles or preferred stocks be excluded from that? I don't see why common stocks and corporate bonds are inherently superior to convertibles or preferred stocks.
I think you'll see the difficulty once you start trying to put convertibles into "risk on" or "risk off" buckets.
by ftobin
Sat Nov 03, 2018 4:16 am
Forum: Investing - Theory, News & General
Topic: Vanguard to offer non-Vanguard ETFs commission-free
Replies: 245
Views: 32055

Re: Vanguard to offer non-Vanguard ETFs commission-free

walletless wrote: Sat Nov 03, 2018 12:57 am Somehow I've never paid such a fee when trading vanguard ETF in vanguard.com
Sellers pay the fee.
by ftobin
Wed Sep 12, 2018 9:32 pm
Forum: Investing - Theory, News & General
Topic: Robinhood Is Making Millions Selling Out Their Millennial Customers To High-Frequency Traders
Replies: 20
Views: 8154

Re: Robinhood Is Making Millions Selling Out Their Millennial Customers To High-Frequency Traders

cheezit wrote: Wed Sep 12, 2018 12:25 pm IMO the jist of the article is that Robinhood is getting a premium for order flow from HFT firms that is so large compared to what the firms give other brokers that the most plausible explanation is info leakage to enable frontrunning.
If they are allowing information leakage they would likely be violating securities regulations. They are probably being payed more than other brokers because their users/toolset likely make the trades less capable of timing the market well.