Trading Large Amounts Relative to Daily Volume – Strategy

Investing / Others
1

Assuming you want to buy (or sell) a 6/7 figure worth of stocks. eg. SPIA on SIX with a cheap swiss broker.
What would be the best or near best strategy if you account for simplicity and do not want to overpay fees/spread etc?

Volume and spread on a typical trading day:

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The spread and volume are relative low.

Avoid start/end of the day and just buy/sell with market order? will the market maker provide an ‘acceptable’ spread?

Check the book depth and/or use limit order?

Spread buy/sell in multiple transactions inside the day or in a multi day period?

More like a theoretical question. For the near future at least…:slight_smile:

2

You can do direct NAV trading with IB and their block trading desk.

emeablockdesk@interactivebrokers.com

Starting at 100K.

You basically trade directly with the etf issuer at NAV, no spreads.

Fee is 1.5x the normal trading fee.

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3

Interesting…
What about “normal Swiss” broker. e.g. Swissquote / Saxo/ PF etc?
IB seems too far away for my “sleeping well at night” mentality.

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4

Sold on SIX a low 6 figures worth of a stocks ETF (SPICHA) and another one of a bonds ETF (CHCORP) this week.

Went with limit orders at mid price between bid and ask, after 15:30 so that the US market was open (maybe overkill, there seems to also be some volume at the end of the morning).

SPICHA went very smoothly and was executed in one lot within minutes.
CHCORP was executed in two separate lots and took a few hours to execute (but was executed within the day).

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5

Was it a fixed mid, or dynamic mid? (Fixed mid might mean it executed only because the price went higher, so not necessarily a great execution?)

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Fixed.

Edit: @nabalzbhf wouldn’t a dynamic one be equivalent to a market order, which is what I wanted to avoid by having the sale occur at a price I was happy with and not occur at all if the price went down [significantly] from it?

7

The issue with market order is that you eat into the book at it matches everything available, at least an alg mid price order only absorb the market making liquidity.

Anyway unless you’re trading something like real estate funds, if there’s a market maker in the venue you’ll be mostly fine.

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8

This. For ETFs a lot of people are not aware of the job of the market maker and the immense liquidity that they provide.

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9

It feels like a service for institutional account holders. Would it be possible to use it as an individual account holder as well?

10

Yes you can do this as an individual as well. You can just shoot them an e-mail and they can arrange something. Haven’t done it myself, but I have read from others that have done it.

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11

Thanks! It’s for a large ETF block on NYSE Arca. I thought about using Arrival Price on IBKR to control the pace via a risk-aversion/urgency setting and a max % of ADV.

I’m afraid my block is big (half of today’s ADV) so I could maybe pair Arrival Price with a call to the Block Desk to also explore a basket/NAV price alongside it?

I imagine that the algo and the desk aren’t mutually exclusive, you can run one as a fallback while the desk explores the other, no?

12

For US equity it’s min 10k shares for block trading. So really depends on which ETF you’re trading :slight_smile:

(for other markets it’s notional value)

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13

Oh well. That 10k would be in the 7 figures.
Absolutely not the kind of amount I am comfortable trading in one go :grimacing: