IB order does not appear in T&S

X

x-or

First I must say that I'm a very happy IB customer.
I've been trading with IB for about a year and had no problem.

I just want to have get some informations about the following problem :
In the T&S, I can't see a trade that I made this morning .

Here is my execution report :
FESX SEP 02;BOT;1;2525.00;07:10:11;20020906;DTB

I had a BUY ORDER / 09:10:11 / executed @2525
(IB have a 2 hours shift in their execution reports)

Here is the Tenfore T&S around this time :

06.09.02 09:10:02 2523.0000 22 TRA EURE
06.09.02 09:10:02 2522.0000 70 Bid
06.09.02 09:10:02 2523.0000 13 Ask
06.09.02 09:10:04 2523.0000 9 TRA EURE
06.09.02 09:10:04 2523.0000 5 Ask
06.09.02 09:10:06 2523.0000 6 TRA EURE
06.09.02 09:10:06 2522.0000 119 Bid
06.09.02 09:10:06 2524.0000 100 Ask
06.09.02 09:10:08 2524.0000 10 TRA EURE
06.09.02 09:10:08 2523.0000 30 Bid
06.09.02 09:10:08 2524.0000 90 Ask
06.09.02 09:10:10 2524.0000 90 TRA EURE
06.09.02 09:10:10 2524.0000 2 Bid
06.09.02 09:10:10 2525.0000 27 Ask
06.09.02 09:10:12 2524.0000 82 TRA EURE
06.09.02 09:10:12 2522.0000 79 Bid
06.09.02 09:10:12 2524.0000 1 Ask
06.09.02 09:10:14 2524.0000 18 TRA EURE
06.09.02 09:10:14 2524.0000 38 Bid
06.09.02 09:10:14 2525.0000 47 Ask
06.09.02 09:10:16 2524.0000 59 TRA EURE
06.09.02 09:10:16 2524.0000 79 Bid
06.09.02 09:10:16 2525.0000 52 Ask
06.09.02 09:10:18 2525.0000 43 Ask
06.09.02 09:10:20 2524.0000 100 TRA EURE

I don't see any trade executed @2525.

I just agree about one thing : the ASK was 2525 at this time. And I sent a BUY LIMIT @2526 (covering short).

Nothing wrong being executed @2525 but I should see my trade !
If not, I should have been executed @2524.

Could someone explain this ?

Note that it is the 1st time that I use a "real" data feed so that I can check this kind of things.
But sometimes in the past, I've had some doubts about the "correct" execution of my trades.

I sent an email to IB about this and I'm waiting for an answer.
 
hi,

don't know why your trade does not appear (maybe IB matched
against you, maybe), but you would be filled @25 anyway -
never @24, because DTB continous trading is not auction
like, i.e. two market orders will never hit each other,
they will hit both sides of the book.

regards
 
There are always some ticks missing with every data vendor. You need original data from EUREX, if you want to check your trades. Otherwise it´s just a waste of time.
 
Thank you both for your answers.

Saschabr, I hope that you're wrong when you say that IB matched against me. They don't have to. I'm supposed to have a direct access to EUREX.

What i experienced before is some stops being touched without seeing the price in TWS quotes.
I didn't care too much because of the "snapshot" IB quotes.
But with a reliable date feed, I hoped to see everything.

So, it would seem that i still miss some ticks with Tenfore...

I'm going to check this with my next trades.

I let you know what. And I let you know too the IB answer too.
 
x-or,

I can attest that IB didn't match against you. (to bad we don't do that, could have had a nice fill at 26 :) ). Your order was executed on Eurex for certain. Based upon your comments of the market being 24@25 and by sending in a limit order at 26, the fill seems accurate.

def
 
I greatly appreciate your answer.

The conclusion (as FX-Trader said) seems to be that i can't see every trade even with a good data vendor.

As I use my own app for charting/trading (based on IB's API & quotes) and have been trading succesfully with it for a while now, I don't see any additionnal value to use another data feed.

Finally, when I compare my own T&S (based on IB "snapshot" quotes) and the Tenfore T&S, it seems that I don't miss a lot.

x-or
 
I can't speak for tenfore but I would guess its the exchange that may not be sending out all of the data - I'm guessing here - and your supplier is providing what they are given. For Eurex IB's API's get the feed directly from the exchange. You're stops would be based upon that feed - whether or not it shows up in the TWS.

With that said, I'm not really familiar with how Eurex diseminates quotes/traders. I've got to run out now but tomorrow I'll explain a few things about OM (which HK and a few other exchanges use for derivatives).
 
I have seen missing ticks with many different data vendors, including CQG and TS6 (data from S&P Comstock). Data vendors offer a realtime data stream used for charting. The corresponding raw data may be called "Time&Sales" (or whatever). But the real stuff are T&S recorded and stored by the exchange which you sometimes can get for free (CME Globex ?) or you can buy them (Eurex).
 
I had a phone call with a nice guy at Tenfore this morning.
He explained me that Eurex exchange do something that is called 'neting' : they group every trades occuring in a 2 seconds interval and let them appear in one line.
That would explain why sometimes I don't see the line where my lonely contract should have been executed in the T&S. It appears like executed with some others (trade volume >1).

Example:
09.09.02 09:10:40 2609.00 2 TRA EURE
09.09.02 09:10:42 2611.00 36 TRA EURE
09.09.02 09:10:45 2611.00 32 TRA EURE <-- my trade (1 contract) is executed in there
09.09.02 09:10:48 2611.00 55 TRA EURE
09.09.02 09:10:50 2612.00 46 TRA EURE

I won't be surprised that with such a system (Def's guess is probably right) some datas are lost.
 
Thanks for confirming the info. With an exchange like Eurex where there can be hundreds of fills every second, it seems to makes sense to bundle the data in order to save throughput and conserve CPU.
 
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