Finding your order on T&S

TGregg

TGregg

Howdy,

Today I covered a short from yesterday at close. Bought 2 contracts at 999 at 8:09:57 (per IB). But, on my time & sales window in TS7.1, I don't see the trade. I see one contract at 999, and 5 at 999. No other trades at 999 at 8:09:57 (there are a couple more 1s at 8:09:59 though).

So this makes me curious. Does IB bundle all it's similiar orders together (ie if I'm buying two at 999 and Joe Sixpack is buying 3, then IB sends a Buy order to Globex for 5)? Or, does Globex bundle em together? As in imagine two buy orders, one for 2 contracts one for 3 at 999, and somebody hits the bid for 5. Does that report as a 5 contract trade, or as a 2 and a 3?
 
Like most broker's quote feeds, IB lumps prints of identical prices together when the quote rate exceeds a certain threshold. So, in a slow market you will probably see your individual print, but in a faster one it may get lumped together with other prints at the same price.
 
Quote from stevebec:

IB lumps prints of identical prices together when the quote rate exceeds a certain threshold.
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Thanks Steve. But it wasn't IB's data feed, rather TradeStation's. And it wasn't a fast market by any means.
 
T,

I have seen that and always assumed that the first was a receipt for a transaction on my account with my broker and the second, displayed by CME, is my order being executed against the records of CME mixed in with everyone else at that certain time and price.

Something like that was explained to me one morning when I had IB break a trade with Nasdaq. Might not have this right.

Geo.
 
That's the conclusion I've come to, Geo. I suspect that Globex reports on the buyer of liquidity's trade size, rather than the providers.

I think it would be too much trouble for IB to consolidate orders on their side.
 
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