We have a buy signal on SAA (ProShares Ultra SmallCap600 ARCX) today. When I tried to place an order with Interactive Brokers, they cancelled it due insufficient liquidity for the size of my order. (~US$19000). So, I looked up the fundamentals etc, and indeed SAA has low liquidity (~5000 per day) & a market cap of only ~US$22M. It seems to me that with these numbers, SAA is not really a tradable instrument (marginal at best). I decided not to place the SAA trade (I could have split the order to get past the IB rules) and instead placed my order for TNA, then next highest ranked of today’s buy signals. Am I missing something here?
(I also checked one of the income simulations I have run, and SAA was one of the most traded stocks over the 10 year simulation. I will be removing it from the simulation list & running the sim again)
Another odd thing is the rankings on the App are different from those shown on the B/C search
eg TNA has 3rd ranking on the App (9.77) and 5th (6.13) on B/C
and there are other examples which is confusing
Philip, I’ll get David and/or Gary to come back to your concerns on SAA liquidity & MarketCap next week after they do some investigation.
Wakefield, try changing your Scan Type to Ranking then back to Advanced in the Scan Profiles panel on the right of BC. Your BC should definitely match what you are seeing in APP:
Philip,
Your concerns are certainly valid.
We decided at the time of releasing SPA3 Income to include it in the universe despite the relatively low historical liquidity on the basis that it is an equities ETF and the market maker can create liquidity from index constituents and the futures market.
However, your experience with IB is some proof that this is not necessarily the case. Counter proof is that the SAA trade for the SPA3 Income Public Portfolio was filled in a single parcel, unlike SOXL which was filled in 5 smaller parcels.
Going forward, it is unlikely that IB will support trades in SAA of US$19K and larger. The action is to remove it from your Universe in your Trading Plan and indeed take the next ETF in the list of ranking.
Those with smaller SPA3 Income portfolios and hence smaller position sizes can still include SAA in their Universe.
Ok , fixed, thanks Karl
Okay, thanks Gary. I will do that.