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IB peg to bid or offer
- Thread starter rosy2
- Start date
Relative OrdersDescription
A Relative Order allows a customer to enter a more aggressive price than the current market price, and have the entered price stay within a fixed interval to the market, should prices deteriorate.
For a buy order, the customer enters an offset amount which is added to the best bid price and submitted for order handling. During the next 5 seconds, if the best bid moves above the submitted bid, than we will match the best bid (additionally, if the changed best bid is on an exchange where we did not submit the order, and the exchange is not SuperSoes, Soes, or SelectNet, we will add the relative increment to the new best bid). After 5 seconds, if the order has not been filled and the market moves above the best bid of 5 seconds prior, a new price is submitted for order handling by adding the offset to the new best bid price. If after 5 seconds, the order has not been filled and the best bid of 5 seconds prior stays the same or moves down, the submitted price is not changed.
For a sell order, the customer enters an offset amount which is subtracted from the best offer price and submitted for order handling. During the next 5 seconds, if the best offer moves below the submitted offer, then we will match the best offer (additionally, if the changed best offer is on an exchange where we did not submit the order, and the exchange is not SuperSoes, Soes, or SelectNet, we will subtract the relative increment from the new best offer). After 5 seconds, if the order has not been filled and the market moves below the best offer of 5 seconds prior, a new price is submitted for order handling by subtracting the offset from the new best offer price. If after 5 seconds, the order has not been filed and the best offer of 5 seconds prior stays the same or moves up, the submitted price is not changed.
A customer may also enter an optional limit with the Relative Order. This prevents a Relative Order from executing at a price which is inferior to the limit. Refer to the examples below.
A Relative Order allows a customer to enter a more aggressive price than the current market price, and have the entered price stay within a fixed interval to the market, should prices deteriorate.
For a buy order, the customer enters an offset amount which is added to the best bid price and submitted for order handling. During the next 5 seconds, if the best bid moves above the submitted bid, than we will match the best bid (additionally, if the changed best bid is on an exchange where we did not submit the order, and the exchange is not SuperSoes, Soes, or SelectNet, we will add the relative increment to the new best bid). After 5 seconds, if the order has not been filled and the market moves above the best bid of 5 seconds prior, a new price is submitted for order handling by adding the offset to the new best bid price. If after 5 seconds, the order has not been filled and the best bid of 5 seconds prior stays the same or moves down, the submitted price is not changed.
For a sell order, the customer enters an offset amount which is subtracted from the best offer price and submitted for order handling. During the next 5 seconds, if the best offer moves below the submitted offer, then we will match the best offer (additionally, if the changed best offer is on an exchange where we did not submit the order, and the exchange is not SuperSoes, Soes, or SelectNet, we will subtract the relative increment from the new best offer). After 5 seconds, if the order has not been filled and the market moves below the best offer of 5 seconds prior, a new price is submitted for order handling by subtracting the offset from the new best offer price. If after 5 seconds, the order has not been filed and the best offer of 5 seconds prior stays the same or moves up, the submitted price is not changed.
A customer may also enter an optional limit with the Relative Order. This prevents a Relative Order from executing at a price which is inferior to the limit. Refer to the examples below.
thanks. is there any size requirement the IB customer can demand.
for example, if I enter a relative order with offset 1 tick in a security with a current quote of 10 at 20, 100 on each side. can a savvy trader (whose intention is to sell) just enter a bid of 18 for 1 then my relative order goes to 19 and the savvy trader sells to me saving himself 9 ticks.
for example, if I enter a relative order with offset 1 tick in a security with a current quote of 10 at 20, 100 on each side. can a savvy trader (whose intention is to sell) just enter a bid of 18 for 1 then my relative order goes to 19 and the savvy trader sells to me saving himself 9 ticks.
Quote from rosy2:
thanks. is there any size requirement the IB customer can demand.
for example, if I enter a relative order with offset 1 tick in a security with a current quote of 10 at 20, 100 on each side. can a savvy trader (whose intention is to sell) just enter a bid of 18 for 1 then my relative order goes to 19 and the savvy trader sells to me saving himself 9 ticks.
You can set a limit on your relative order. In this case suppose your limit was 15, and the guy bid 18. Your order would move to 15.
Quote from rosy2:
anyone know if you can peg a buy to the best bid or offer to the best ask in IB (not including myown order).
So if XYZ is 60 at 70 my buy order is at 60 and my sell is at 70. If the bid (other than mine) changes to 55 (or 65) then my buy order adjusts to 55 (or 65). Same for sells.
Note that suppose you have an active IB buy relative order. If the bid changes from 60 to 55, your relative order does not adjust in price. An IB relative order will always go up in price if it is a buy, never down. At least that has been my experience.
Quote from sprstpd:
Note that suppose you have an active IB buy relative order. If the bid changes from 60 to 55, your relative order does not adjust in price. An IB relative order will always go up in price if it is a buy, never down. At least that has been my experience.
yeah, it looks that way. do you know if anyone has gotten filled at a better price than their limit? Other firms can definitely manipulate it to there advantage
Quote from rosy2:
yeah, it looks that way. do you know if anyone has gotten filled at a better price than their limit? Other firms can definitely manipulate it to there advantage
I have gotten filled better than my limit a high percentage of the time. It just depends on what you are trading and how liquid it is, etc.
IB's relative orders are very useful, but they are not pegged orders.
A pegged order moves both up and down, remaining a fixed distance from either the bid or the ask. IB's relative orders only move up for a buy, and only move down for a sell.
ARCA and INET both offer pegged orders. I asked IB years ago to make these pegged orders available, but I was never able to get any explanation for their not doing so.
A pegged order moves both up and down, remaining a fixed distance from either the bid or the ask. IB's relative orders only move up for a buy, and only move down for a sell.
ARCA and INET both offer pegged orders. I asked IB years ago to make these pegged orders available, but I was never able to get any explanation for their not doing so.
Quote from jimrockford:
ARCA and INET both offer pegged orders. I asked IB years ago to make these pegged orders available, but I was never able to get any explanation for their not doing so.
Do these type of orders somehow cost more than than others? That is the only reason I can think of that IB would not offer them.