Certain algos will post in lit and dark venues at the same time. If they get done in the dark [where you are not], they will cancel on lit, but on some exchanges, still report on lit as a trade.
Blame dark pools -- the land of anti-price discovery.
IB - Futures order handling, loss of FIFO priority
- Thread starter atrocious
- Start date
Certain algos will post in lit and dark venues at the same time. If they get done in the dark [where you are not], they will cancel on lit, but on some exchanges, still report on lit as a trade.
Blame dark pools -- the land of anti-price discovery.
I'm reluctant to resurrect a thread that's over three years old, but my issue is similar.
I entered a Eurodollar (GE) futures spread GTC order last week and I expected it to get filled today based on the prices shown on my intraday spread chart. It's possible my order didn't get filled simply because I have lower priority than the larger number of resting orders.
So I contacted IB support today in an online chat and they told me that my GTC limit order is cancelled when the Globex session is inactive, then resubmitted when Globex opens up again. At first, this didn't concern me since I shouldn't care about the backoffice mechanics as long as my order remains in force. But afterwards it occurred to me that I may be losing my time priority, and that is a big deal with the large bid/ask sizes on GE spreads.
Any insights from IB staff or IB customers will be appreciated.
I entered a Eurodollar (GE) futures spread GTC order last week and I expected it to get filled today based on the prices shown on my intraday spread chart. It's possible my order didn't get filled simply because I have lower priority than the larger number of resting orders.
So I contacted IB support today in an online chat and they told me that my GTC limit order is cancelled when the Globex session is inactive, then resubmitted when Globex opens up again. At first, this didn't concern me since I shouldn't care about the backoffice mechanics as long as my order remains in force. But afterwards it occurred to me that I may be losing my time priority, and that is a big deal with the large bid/ask sizes on GE spreads.
Any insights from IB staff or IB customers will be appreciated.
My GTC limit order was finally filled. In IB, there is a menu option to review the audit trail which contains a lot of detailed information about the execution of an order. I noticed there is a date/timestamp for when I initially placed the order (there are other timestamps, as well). So it's good to see that this information is preserved. If this field is recognized by the exchange, then my FIFO time priority will be recognized regardless of how IB handles the GTC order during its lifetime.