IB, Globex and Limit / Stop Orders

This is true, positive slippage can also occur when there is a delay in execution. But as a professional trader, one has to ask the question: who wants this uncertainty in their life? With a stop order native on Globex, 99 times out of a 100 you will be filled at that exact price. Your risk is firmly pre-determined.

Even if the delay is only milliseconds, it also doesn't get around the problem of having your order ranked at the bottom of the priority list as far as Globex is concerned when filling it. Nor can it alleviate the risk that IB datafeed problems at the 'wrong' time can really mess you up ...with an unexecuted order.

I stand by my comments that the way IB handles stop orders is a major negative for the futures trader. They should fix it ASAP!
 
Carl,

You can use OCA orders with the API.
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This isn't anywhere in the API documentation that I can see. I am using the OpenOrder method and don't see a flag or setting for OCO/OCA orders.

I'm assuming that I have to program that distinction within my program -- so my program will cancel one order once the other side is executed.

I'd like to bypass the entire IB Java-entry system but I don't think it is possible. It would probably save a few milliseconds.
 
Originally posted by aphexcoil
This isn't anywhere in the API documentation that I can see. I am using the OpenOrder method and don't see a flag or setting for OCO/OCA orders.
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I'm not sure which API you are using. For example, I use the C++ sockets version. I use the placeOrder() call and one of the parameters for this call is an Order. The definition of the Order class includes a CString ocaGroup. If I modify this field before sending in my order, then the order will go in with that OCA identifier.

If I send two orders in with the same OCA identifier, they operate as if they were manually entered with the same OCA identifier. Namely, when one gets cancelled, the other does too. When one gets filled, the other one decrements its number of shares according to the number of shares filled.

Carl
 
hi all,

stop limit orders for the s+p eminis now rest at globex (status green). "regular" stops still rest at IB servers. confirmed by helpdesk. bulletin should be on the way shortly (also confirmed by helpdesk :-)).


moonriver
 
Doesn't Globex support resident stop orders? In a fast market, it could blow right past your stop-limit order.

Otherwise, I feel better having my program keep track of the market and placing a market order when the stop gets reached.
 
Originally posted by aphexcoil
Doesn't Globex support resident stop orders? In a fast market, it could blow right past your stop-limit order.

Otherwise, I feel better having my program keep track of the market and placing a market order when the stop gets reached.
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Your stop price and the limit price don't have to be the same - so just set the stop price to the price you want it to activate on, and set the limit price a few points higher or lower so you essentially end up with a market order (a regular stop) that resides on globex.
 
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