SLYV vs IJS [SPDR vs. iShares S&P 600 Small Cap Value]

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stlutz
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Re: SLYV vs IJS [SPDR vs. iShares S&P 600 Small Cap Value]

Post by stlutz » Fri Oct 05, 2018 10:11 pm

international001 wrote:
Thu Oct 04, 2018 10:11 am
I just bought 90 shares of VIOO on Vanguard
Highest bid was $156.15. I did a limit order at $156.22. It got executed at $156.09. Would that be normal?

I didn't see my trade on https://www.etf.com/VIOO#tradability . Any place where I can see them?

You can register at surveyorapp.trlm.com and look at historical trade-by-trade data.

It looks like your order was executed at the midpoint of the bid-ask spread at the time, which was 156.07/156.11.

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Re: SLYV vs IJS [SPDR vs. iShares S&P 600 Small Cap Value]

Post by Northern Flicker » Sat Oct 06, 2018 12:11 am

Another point I didn’t notice articulated before (perhaps missed) is that if there are many more sellers than buyers for an ETF like VIOV, a market maker can buy up shares of VIOV and redeem them from Vanguard receiving the underlying shares of stocks.

What this means is that (as long as the underlying shares remain liquid) excess sellers can push the price into a discount to NAV only so much before it is profitable for market makers to arbitrage it by buying the ETFs and redeeming for the underlying securities. This is an alternative to arbitraging excess seller’s shares against other SP 600 SCV ETFs if they don’t have enough of the latter in inventory.
Index fund investor since 1987.

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Re: SLYV vs IJS [SPDR vs. iShares S&P 600 Small Cap Value]

Post by jhfenton » Thu Nov 29, 2018 12:35 pm

Doc wrote:
Mon Oct 01, 2018 12:48 pm
vineviz wrote:
Mon Oct 01, 2018 11:31 am
In the example we are discussing (a large order for a highly liquid but infrequently traded ETF), you can be 99% sure that order is going to a either a designated market maker or is being filled internally.
The problem I have is grasping the idea of "highly liquid but infrequently traded".

Thanks for the links. I'll take some time and review them in depth.
There was an interview with a market maker on the podcast Trillions this week. They discuss ETF mechanics, marketing making, and implied liquidity. It's not particularly technical, but it offers some flavor on the process and the competition in the space.

I, of course, thought back to this thread. :beer

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Re: SLYV vs IJS [SPDR vs. iShares S&P 600 Small Cap Value]

Post by Doc » Mon Dec 24, 2018 12:49 pm

Old post, new data.
vineviz wrote:
Sat Sep 29, 2018 5:14 pm
Doc wrote:
Sat Sep 29, 2018 4:34 pm
vineviz wrote:
Sat Sep 29, 2018 3:49 pm
It's true that all open orders must be treated equitably, but there is nothing to prevent my broker from executing my market order at a price that is better than the limit order price that you gave your broker.
Not the issue. Say that I place a market order to buy for 300 shares.

At the time I place the trade the asks are:

100 @ $143
100 @ $144
100 @ $145

My order should execute for 300 @ an average cost or $144 assuming there are no other existing buy orders in the way.
If ETFs could ONLY be traded on the secondary market, that'd be true. In reality, a market maker is likely to step in and provide liquidity such that you get all 300 @ $143.
Doc wrote:
Sat Sep 29, 2018 4:34 pm
Question, can anyone somehow see unfilled market orders? I only see bid/asks with a price.
There's no such thing as an "unfilled market order" for an ETF, at least not while the markets are open.
Bought 400 shares of Vanguard Russell 2000 Value ETF Shares (VTWV). It took me 45 minutes to get execution. I kept moving my bid and number of shares every 10 to 15 minutes. Don't want to ever have to do this again. It was not a market order because the spread was almost $1 most of the time.

The other half of the trade was a sell of 300 IJS also a limit order and it filled in 11 seconds.

I was watching the ticker using Schwab's Streetsmart Edge but making the trades at VBS.
A scientist looks for THE answer to a problem, an engineer looks for AN answer and lawyers ONLY have opinions. Investing is not a science.

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vineviz
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Re: SLYV vs IJS [SPDR vs. iShares S&P 600 Small Cap Value]

Post by vineviz » Mon Dec 24, 2018 1:35 pm

Doc wrote:
Mon Dec 24, 2018 12:49 pm
Old post, new data.
vineviz wrote:
Sat Sep 29, 2018 5:14 pm
Doc wrote:
Sat Sep 29, 2018 4:34 pm
vineviz wrote:
Sat Sep 29, 2018 3:49 pm
It's true that all open orders must be treated equitably, but there is nothing to prevent my broker from executing my market order at a price that is better than the limit order price that you gave your broker.
Not the issue. Say that I place a market order to buy for 300 shares.

At the time I place the trade the asks are:

100 @ $143
100 @ $144
100 @ $145

My order should execute for 300 @ an average cost or $144 assuming there are no other existing buy orders in the way.
If ETFs could ONLY be traded on the secondary market, that'd be true. In reality, a market maker is likely to step in and provide liquidity such that you get all 300 @ $143.
Doc wrote:
Sat Sep 29, 2018 4:34 pm
Question, can anyone somehow see unfilled market orders? I only see bid/asks with a price.
There's no such thing as an "unfilled market order" for an ETF, at least not while the markets are open.
Bought 400 shares of Vanguard Russell 2000 Value ETF Shares (VTWV). It took me 45 minutes to get execution. I kept moving my bid and number of shares every 10 to 15 minutes. Don't want to ever have to do this again. It was not a market order because the spread was almost $1 most of the time.

The other half of the trade was a sell of 300 IJS also a limit order and it filled in 11 seconds.

I was watching the ticker using Schwab's Streetsmart Edge but making the trades at VBS.
I'm not sure what was going on, unless you forgot that markets closed at 1pm today.

A bid/ask spread of $1 on VTWV is unheard of during market hours. The average spread is more like $0.09.
"Far more money has been lost by investors preparing for corrections than has been lost in corrections themselves." ~~ Peter Lynch

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Re: SLYV vs IJS [SPDR vs. iShares S&P 600 Small Cap Value]

Post by Doc » Mon Dec 24, 2018 3:11 pm

vineviz wrote:
Mon Dec 24, 2018 1:35 pm
I'm not sure what was going on, unless you forgot that markets closed at 1pm today.

A bid/ask spread of $1 on VTWV is unheard of during market hours. The average spread is more like $0.09.
Didn't forget. All trades were completed by 11:03 E.

There was virtually no change in the book from when I started looking a 10:00 and like 2 or 3 actual trades until about 10:45 when a trade went through for maybe 1700. After that the activity in the bid/ask picked up with a a new bid or ask maybe every minute or so but still very few trades. (The software I was using highlights every change in the bid or ask with a color coded background so it's very obvious when new bids/asks occur.

I never saw my offers on the book for VTWV and saw the IJS buy only when it filled but then only 11 seconds passed between placing the order and the fill.

I had planned to buy another 200 shares of VTWV later in the week in another account but now I am gun shy. It's one thing to have to wait forever to buy but another matter completely if you need to sell. And someday I will want or need to sell.
A scientist looks for THE answer to a problem, an engineer looks for AN answer and lawyers ONLY have opinions. Investing is not a science.

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Re: SLYV vs IJS [SPDR vs. iShares S&P 600 Small Cap Value]

Post by vineviz » Mon Dec 24, 2018 3:36 pm

Doc wrote:
Mon Dec 24, 2018 3:11 pm
vineviz wrote:
Mon Dec 24, 2018 1:35 pm
I'm not sure what was going on, unless you forgot that markets closed at 1pm today.

A bid/ask spread of $1 on VTWV is unheard of during market hours. The average spread is more like $0.09.
Didn't forget. All trades were completed by 11:03 E.

There was virtually no change in the book from when I started looking a 10:00 and like 2 or 3 actual trades until about 10:45 when a trade went through for maybe 1700. After that the activity in the bid/ask picked up with a a new bid or ask maybe every minute or so but still very few trades. (The software I was using highlights every change in the bid or ask with a color coded background so it's very obvious when new bids/asks occur.

I never saw my offers on the book for VTWV and saw the IJS buy only when it filled but then only 11 seconds passed between placing the order and the fill.

I had planned to buy another 200 shares of VTWV later in the week in another account but now I am gun shy. It's one thing to have to wait forever to buy but another matter completely if you need to sell. And someday I will want or need to sell.
I'll repeat the advice I've given before: using limit orders on ETF transactions is much more likely to hurt you than help you. Unless your broker is completely incompetent, you are NEVER going to get poor execution on a liquid ETF like VTWV or IJS.

Market orders of any size will execute instantly at or below the ask price (for purchases) and at or above the bid price (for sales). And those prices will NEVER be a dollar apart for a VTWV or IJS during regular market hours. Never.

Trying to get execution between the bid and ask is unwise.
"Far more money has been lost by investors preparing for corrections than has been lost in corrections themselves." ~~ Peter Lynch

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Re: SLYV vs IJS [SPDR vs. iShares S&P 600 Small Cap Value]

Post by Doc » Mon Dec 24, 2018 4:42 pm

vineviz wrote:
Mon Dec 24, 2018 3:36 pm
I'll repeat the advice I've given before: using limit orders on ETF transactions is much more likely to hurt you than help you. Unless your broker is completely incompetent, you are NEVER going to get poor execution on a liquid ETF like VTWV or IJS.
I'll look close again on Wednesday. But this morning during trading hours the spread was close to $1. There were only a handful of quotes. And none of them were of sufficient size to fill my order. I don't consider that as liquid. I only wanted to trade a few hundred shares.

I will not comment on the broker's competence. But I thought it very strange that none of my limit orders showed up in the book for the entire 45 minutes that I was fussing with it. Not on the book itself or as an executed trade. The IJS trade was a different storey. The fact that VBS does not to my knowledge, provide access to trading tools like our other brokers do mau be relevant. Even if I rarely use these tools the fact that they aren't available may say something about about the "long term" experience with in house brokerage services.

I think Vanguard Brokerage Services is just approaching its ten year anniversary. Maybe they don't have good access to secondary markets yet.
Malvern, Pa.-based VBS is expected to begin its own trade processing by the middle of the year, with some visible changes, such as new account numbers for clients, showing up by the end of May.
Investment News Dec 30, 2008 https://www.investmentnews.com/article/ ... self-clear
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Re: SLYV vs IJS [SPDR vs. iShares S&P 600 Small Cap Value]

Post by Chip » Tue Dec 25, 2018 10:35 am

I just went through this entire thread; very helpful. I missed it during the initial discussion.

Would it be accurate to say the following about ETFs with significant market cap (of the underlying securities)?
  • Level 2 quotes are useless in predicting how an order will execute. Or maybe just useless, period.
  • The only important information is the current bid/ask, regardless of posted size.
  • Only use market orders or marketable limit orders.
  • With either order type there is always the possibility that the market will move against you in the few seconds it takes to place a trade. This may result in it appearing that you received a "bad fill". But the only way to verify this would be to use time & sales info from something like the site that stlutz linked.
  • To ensure execution, marketable limit orders on buys should be placed above the current ask. Sells below current bid (though limit orders aren't ever necessary on sells). This helps ensure execution if the market moves away from you. You won't be hurt if the market doesn't move -- you will still get best price even though your limit price isn't at the NBBO.
I did a large volume of TLH trading yesterday in SCHF, IEFA, SCHR & BSV. Spreads were .01 on all of them, which I don't recall seeing before with SCHF. I was also surprised at the tight spread because the trades were after the European markets had closed. IEFA was interesting -- the spread stayed at .01 but the price was moving extremely rapidly - 2-3c every time I refreshed the price. I used marketable limit orders at the ask for most of the buys and received a slightly better price than my limit on most orders.

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Re: SLYV vs IJS [SPDR vs. iShares S&P 600 Small Cap Value]

Post by vineviz » Tue Dec 25, 2018 12:51 pm

Chip wrote:
Tue Dec 25, 2018 10:35 am
I just went through this entire thread; very helpful. I missed it during the initial discussion.

Would it be accurate to say the following about ETFs with significant market cap (of the underlying securities)?
  • Level 2 quotes are useless in predicting how an order will execute. Or maybe just useless, period.
  • The only important information is the current bid/ask, regardless of posted size.
  • Only use market orders or marketable limit orders.
  • With either order type there is always the possibility that the market will move against you in the few seconds it takes to place a trade. This may result in it appearing that you received a "bad fill". But the only way to verify this would be to use time & sales info from something like the site that stlutz linked.
  • To ensure execution, marketable limit orders on buys should be placed above the current ask. Sells below current bid (though limit orders aren't ever necessary on sells). This helps ensure execution if the market moves away from you. You won't be hurt if the market doesn't move -- you will still get best price even though your limit price isn't at the NBBO.
I think this is a very fair summary.
"Far more money has been lost by investors preparing for corrections than has been lost in corrections themselves." ~~ Peter Lynch

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Re: SLYV vs IJS [SPDR vs. iShares S&P 600 Small Cap Value]

Post by Doc » Wed Dec 26, 2018 12:57 pm

Doc wrote:
Mon Dec 24, 2018 4:42 pm
vineviz wrote: ↑Mon Dec 24, 2018 2:36 pm
I'll repeat the advice I've given before: using limit orders on ETF transactions is much more likely to hurt you than help you. Unless your broker is completely incompetent, you are NEVER going to get poor execution on a liquid ETF like VTWV or IJS.
I'll look close again on Wednesday. But this morning during trading hours the spread was close to $1. There were only a handful of quotes. And none of them were of sufficient size to fill my order. I don't consider that as liquid. I only wanted to trade a few hundred shares.
Bought another 100 shares of VTWV today. The book was still showing only a handful of bid/asks but the spread was only about 30 bps and the bid/ask prices were changing every few seconds unlike on Monday when they were hardly changing at all. The bid was a marketable limit order. It filled immediately at a better price than the ask.

I made several other market order trades on what I consider liquid ETFs and they also filled immediately within the spread. (These had 10's of bid/asks on the book unlike only the handful for VTWV.)

I don't understand what was going on Monday.
A scientist looks for THE answer to a problem, an engineer looks for AN answer and lawyers ONLY have opinions. Investing is not a science.

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