IB Limit vs Market Orders
- Thread starter saico
- Start date
Interesting post re. simulated market orders vs. limit orders on Globex:
http://www.siliconinvestor.com/stocktalk/msg.gsp?msgid=17041331
"I do think you doing the right thing using Best Direct for order entry and allowing your limit orders to be stored directly on the Globex servers. But using there system or a like system is only half the battle. First, when using market orders when you want in and out immediately there are some mechanics you may need to know that can improve your executions even further and give you an even better edge over the other guys. When you send your "Market Order" to PFG, the order goes to the PFG server and gets simulated by them to act like a market order due to the fact that Globex does not recognize a true market order. The PFG server (or whomever your Best Direct introducing broker is)takes your order and immediately reroutes it to Globex as a marketable limit order that is several points into the price already (collared). If you want to "Market" into a stock in the next few minutes based on some mental trigger based on your system, simply send a pre-made limit order to buy (if your buying) several points higher than the current price or above your trigger price and it will be routed directly to globex without an intermediary simulation by your broker for even faster fills. This of course will work to get out of positions too when mental stops are used.
More importantly and with regards to death spikes,
take this a step further and set your stop losses as stop/limit orders and not as stop orders. If you just set them as a stop order, then your order will still be machine held off of the Globex system since there are no true Globex stop orders. So if you want out of a short at 1480 as a stop loss. Set it as a stop/limit order using 1480/1500 as your inputs. These will be the ones that truly do reside on the Globex servers for fastest execution since thes are allowed directly on their system. In the famous 40 point death slip, the persons had everything going against them on a technical level. The stop order he was using was machine held which as we know is not good, but even worse, it was being sent out in 5 point limit collars. That meant that each time his order was about to get executed (as he got closer to the front of the line) the five point limit would get reached and a cancel would be sent back to IB from Globex and the order would go out again from IB only to get back at the end of the line once again and then be rejected again within 5 points over and over again and each time going to the back of the line until ONLY 40 points were lost. So the solution is to take control of your own order and use the stop/limit to get you at or near the front and to use the widest collar to keep you there instead of the 2-5 point ones used by many brokers. I think the limit is 20 points and be careful when setting it when getting close to a lock/limit area or there will be problems there too.
pasted from a previous post:
If both orders (simulated and non simulated) are placed at the same price, the non simulated one will *always* have a better execution chance because it will *always* be ahead in the queue. This is true even if the simulated order is placed one week before the stop is hit and the non simulated order is placed ten seconds before the stop price is hit. Also realize that I am placing the limit 20 points higher than the stop (or whatever the max is now) so that it will in effect become a simulated market order (which is exactly what the introducing brokers do with regular "stop" orders that get hit). So for people that read this that are using any broker other than IB or PMB for Globex, use a stop limit instead of a Mkt or Stop order on your front end so that your orders are routed directly to Globex instead of reformatted at your broker. The fact is that most people use ordinary broker held Stop orders on their stop losses because they just want out when it is time to get out. Instead they might want to try using a stop limit with a limit set to 20 points higher than the stop price. This will automatically put their order in front of each and every person in world that is using the same price and a broker held stop order regardless of when they put it in and will put them ahead of all IB and PMB customers regardless of what order they choose as long as the same price is used. I personally like being ahead of everyone of these people by default simply because of the type or order I use. To me the advantage is not the limit portion of the order ( I would set it 1000 points above if it was allowed), but the advantage is that this type of order eliminates all quote/data latency issues to and from the order servers and also establishes the order in the Globex queue at the time of placement unlike the other type of order which does not."
http://www.siliconinvestor.com/stocktalk/msg.gsp?msgid=17041331
"I do think you doing the right thing using Best Direct for order entry and allowing your limit orders to be stored directly on the Globex servers. But using there system or a like system is only half the battle. First, when using market orders when you want in and out immediately there are some mechanics you may need to know that can improve your executions even further and give you an even better edge over the other guys. When you send your "Market Order" to PFG, the order goes to the PFG server and gets simulated by them to act like a market order due to the fact that Globex does not recognize a true market order. The PFG server (or whomever your Best Direct introducing broker is)takes your order and immediately reroutes it to Globex as a marketable limit order that is several points into the price already (collared). If you want to "Market" into a stock in the next few minutes based on some mental trigger based on your system, simply send a pre-made limit order to buy (if your buying) several points higher than the current price or above your trigger price and it will be routed directly to globex without an intermediary simulation by your broker for even faster fills. This of course will work to get out of positions too when mental stops are used.
More importantly and with regards to death spikes,
take this a step further and set your stop losses as stop/limit orders and not as stop orders. If you just set them as a stop order, then your order will still be machine held off of the Globex system since there are no true Globex stop orders. So if you want out of a short at 1480 as a stop loss. Set it as a stop/limit order using 1480/1500 as your inputs. These will be the ones that truly do reside on the Globex servers for fastest execution since thes are allowed directly on their system. In the famous 40 point death slip, the persons had everything going against them on a technical level. The stop order he was using was machine held which as we know is not good, but even worse, it was being sent out in 5 point limit collars. That meant that each time his order was about to get executed (as he got closer to the front of the line) the five point limit would get reached and a cancel would be sent back to IB from Globex and the order would go out again from IB only to get back at the end of the line once again and then be rejected again within 5 points over and over again and each time going to the back of the line until ONLY 40 points were lost. So the solution is to take control of your own order and use the stop/limit to get you at or near the front and to use the widest collar to keep you there instead of the 2-5 point ones used by many brokers. I think the limit is 20 points and be careful when setting it when getting close to a lock/limit area or there will be problems there too.
pasted from a previous post:
If both orders (simulated and non simulated) are placed at the same price, the non simulated one will *always* have a better execution chance because it will *always* be ahead in the queue. This is true even if the simulated order is placed one week before the stop is hit and the non simulated order is placed ten seconds before the stop price is hit. Also realize that I am placing the limit 20 points higher than the stop (or whatever the max is now) so that it will in effect become a simulated market order (which is exactly what the introducing brokers do with regular "stop" orders that get hit). So for people that read this that are using any broker other than IB or PMB for Globex, use a stop limit instead of a Mkt or Stop order on your front end so that your orders are routed directly to Globex instead of reformatted at your broker. The fact is that most people use ordinary broker held Stop orders on their stop losses because they just want out when it is time to get out. Instead they might want to try using a stop limit with a limit set to 20 points higher than the stop price. This will automatically put their order in front of each and every person in world that is using the same price and a broker held stop order regardless of when they put it in and will put them ahead of all IB and PMB customers regardless of what order they choose as long as the same price is used. I personally like being ahead of everyone of these people by default simply because of the type or order I use. To me the advantage is not the limit portion of the order ( I would set it 1000 points above if it was allowed), but the advantage is that this type of order eliminates all quote/data latency issues to and from the order servers and also establishes the order in the Globex queue at the time of placement unlike the other type of order which does not."
You must enter a stop limit order with IB If you want the order to reside on the Globex server for after hours trading. No big deal...Simply put the limit part of your order further away from your actual stop price This way your stop will be a market when triggered. During Trading hours however, I always thought they were held on globex . Gotta check this one out...
Nick
IB holds stop orders on their servers until the stop price is hit then IB sends a simulated market order to Globex. This can cause a problem if the IB servers are down, busy or the market is fast. Also, IB allows different preferences in their software for triggering a stop order.
However, stop limit orders are sent immediately to Globex and reside on the Globex system.
I only use stop limit orders after having some problems with IB and thier stop order process. Once, Globex sent IB some erroneous price quotes triggering my stop and many others even though the market never traded at the stop price. Neither Globex nor IB would bust those trades and us traders had to accept being kicked out of the market. Naturally, the market made a big move in my direction right after that.
Wally
However, stop limit orders are sent immediately to Globex and reside on the Globex system.
I only use stop limit orders after having some problems with IB and thier stop order process. Once, Globex sent IB some erroneous price quotes triggering my stop and many others even though the market never traded at the stop price. Neither Globex nor IB would bust those trades and us traders had to accept being kicked out of the market. Naturally, the market made a big move in my direction right after that.
Wally
If the IB servers are down then whether your order is still active or not depends on what order you used. If you used "native" orders like Limit and Stop-Limit for the ES on Globex, then these are held at the exchange and they would still be active even if IB servers went down or not.
From IB's website:
=============
US Futures Stop Order and Stop-Limit Order Handling Rules
Please note the following rules for stop orders and stop-limit orders on the US futures exchanges.
CBOT (A/C/E)
Stop Orders: Stop orders are native to A/C/E and can be placed at anytime during trading hours.
Stop-Limit Orders: Stop-Limit orders are not supported by A/C/E. Interactive Brokers provides customers with simulated stop-limit orders. Simulated Stop-Limit orders can be placed at anytime during trading hours.
CME (GLOBEX)
Stop Orders: Stop orders are not supported by GLOBEX. Interactive Brokers provides customers with simulated stop orders. Simulated stop orders will only trigger during regular trading hours unless configured by the customer. Regular trading hours are from 9:30 a.m. to 4:00 p.m. New York time. In order to be able to place stop orders outside of regular trading hours, go to the TWS, select Configure >> Order >> Stop Trigger Method. Under âGLOBEX Orders Time Restrictionâ you may choose to allow stop orders to trigger outside of regular trading hours.
Stop-Limit Orders: Stop-Limit orders are native to GLOBEX and can be placed at anytime during trading hours. Please note the following restrictions placed by GLOBEX.
For Sell Stop-Limit Orders, the limit price must be <= stop price (aux. price)
For Buy Stop-Limit Orders, the limit price must be >= stop price (aux. price)
========
nitro
From IB's website:
=============
US Futures Stop Order and Stop-Limit Order Handling Rules
Please note the following rules for stop orders and stop-limit orders on the US futures exchanges.
CBOT (A/C/E)
Stop Orders: Stop orders are native to A/C/E and can be placed at anytime during trading hours.
Stop-Limit Orders: Stop-Limit orders are not supported by A/C/E. Interactive Brokers provides customers with simulated stop-limit orders. Simulated Stop-Limit orders can be placed at anytime during trading hours.
CME (GLOBEX)
Stop Orders: Stop orders are not supported by GLOBEX. Interactive Brokers provides customers with simulated stop orders. Simulated stop orders will only trigger during regular trading hours unless configured by the customer. Regular trading hours are from 9:30 a.m. to 4:00 p.m. New York time. In order to be able to place stop orders outside of regular trading hours, go to the TWS, select Configure >> Order >> Stop Trigger Method. Under âGLOBEX Orders Time Restrictionâ you may choose to allow stop orders to trigger outside of regular trading hours.
Stop-Limit Orders: Stop-Limit orders are native to GLOBEX and can be placed at anytime during trading hours. Please note the following restrictions placed by GLOBEX.
For Sell Stop-Limit Orders, the limit price must be <= stop price (aux. price)
For Buy Stop-Limit Orders, the limit price must be >= stop price (aux. price)
========
nitro