getting filled at an old bid/offer

L

loufah

This has happened to me a couple times in the past few months, and since I use IB (where there's no on-screen log of every change you make to an order) and I'm usually juggling several orders at once, I thought I was just hallucinating, but last week I saw it in real-time. I tried to sell a put for .60. Saw the order was sitting at CBOE. I replaced it with an order for .70. Status was green, showing it got successfully replaced. A minute or so later, it got filled at PHLX for .60. (To add insult to injury, a screen dump I took a few seconds later showed PHLX's offer was now up to .85).

Is this legit? Can PHLX fill an order for 2 minutes after it's been submitted even if it's been cancel-replaced?
 
I presume you were using smart routing, you can route to the exchange of your choice if you pay $1.95 instead of $1 commission. Are you sure tws said your order was at cboe? I can't see how it would say the order was at cboe and then you get fill from phlx. I used to cancel when orders got sent to the phlx before the cancel fee came in. Luckily most of my orders have been going to the ISE lately.
 
I think if you are going to get that granular, you need a platform that shows the size at each exchange. RT does that. I find it very useful, as I can see my offer get added or deleted. Also I'd think seriously about paying the extra $.95 and directing your order to iSE. Still, they should be able to reconstruct your trade and you may be entitled to an improvement.
 
Quote from just21:

Are you sure tws said your order was at cboe? I can't see how it would say the order was at cboe and then you get fill from phlx.
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happens to me all the time. if you use SMART and your sitting limit order suddenly becomes marketable at another venue, TWS will resend your order there...

as for it modifying your limit price (if i understand you correctly), you should really contact cust support...
 
Quote from loufah:

This has happened to me a couple times in the past few months, and since I use IB (where there's no on-screen log of every change you make to an order) and I'm usually juggling several orders at once, I thought I was just hallucinating, but last week I saw it in real-time. I tried to sell a put for .60. Saw the order was sitting at CBOE. I replaced it with an order for .70. Status was green, showing it got successfully replaced. A minute or so later, it got filled at PHLX for .60. (To add insult to injury, a screen dump I took a few seconds later showed PHLX's offer was now up to .85).

Is this legit? Can PHLX fill an order for 2 minutes after it's been submitted even if it's been cancel-replaced?
More...

PHLX does it all the time ...
 
Metoox is right that PHLX does it all the time and PSE is getting the same way. Phlx almost always holds the order for two minutes prior to execution. Have your TWS set up so that all exchanges show the contract you're trading. Either use direct routing or don't bother with the trade if its going to PHLX. IMO
 
Thanks for the replies. Yes, I was using SMART routing, and I do look at the exchange that TWS is showing (and if it's PHLX, I start a 120 second timer in another window so I know when it's safe to change or cancel the order). In this case, it showed CBOE up until I got the fill at PHLX. But maybe CBOE was just where the order was "parked", and all the exchanges are allowed to fill it if they want. (I once thought of suggesting to IB that they offer a route called any-exchange-but-PHLX.)

From now on, I'll either cancel an order completely rather than change it (same cancellation fee), or use directed orders (though at $1.95 per contract plus cancellation fee, it's beginning to look like thinkorswim or globalfinancialservices might be cheaper - has anyone tried either of them?)
 
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