IB Quote Problems
- Thread starter Htrader
- Start date
The past few days I have been seeing that quote problem raising its ugly head again.
For example QQQ 25.27 x 25.23 . During some times of the day, I'm see this on almost every stock. This is with the SMART contract.
This is very annoying because I click on the bid and ask to create my orders.
Furthermore, I believe it is affecting the SMART order routing. Because when these quotes are messed up, it takes much longer for my limit orders to be executed even if above the Best Ask.
In the example above QQQ 25.27 x 25.23, I put in a buy order at 25.28 and it took like 15 seconds, even though the market was really trading at 25.23, plus I got a worst price once it did execute. Very annoying. I also tried a SMART market order, and it also took a long time (15 sec) to execute, at a bad price.
Does anyone remember this happening with BEST_ECN? That is what I used before they removed it. I don't remember having these problems with BEST_ECN.
I haven't had the patience to stare at the L2 while this is happening to find out which MMs or ECNs are causing this problem. I'm wondering if some bogus MM quotes are screwing things up.
IB needs to get smarter about their SMART quotes and routing..
Fleance
For example QQQ 25.27 x 25.23 . During some times of the day, I'm see this on almost every stock. This is with the SMART contract.
This is very annoying because I click on the bid and ask to create my orders.
Furthermore, I believe it is affecting the SMART order routing. Because when these quotes are messed up, it takes much longer for my limit orders to be executed even if above the Best Ask.
In the example above QQQ 25.27 x 25.23, I put in a buy order at 25.28 and it took like 15 seconds, even though the market was really trading at 25.23, plus I got a worst price once it did execute. Very annoying. I also tried a SMART market order, and it also took a long time (15 sec) to execute, at a bad price.
Does anyone remember this happening with BEST_ECN? That is what I used before they removed it. I don't remember having these problems with BEST_ECN.
I haven't had the patience to stare at the L2 while this is happening to find out which MMs or ECNs are causing this problem. I'm wondering if some bogus MM quotes are screwing things up.
IB needs to get smarter about their SMART quotes and routing..
Fleance
I also had quote problems in the past couple of days.
I believe, yesterday they were caused by Instinet, today by Arca.
It does affect SMART routing, because I placed a buy market order yesterday in a very liquid stock, and it didn't execute for 30 seconds, so I cancelled it, and a placed a new limit order. I assume, the problem was caused by the incorrect ask in SMART quotes, and since IB simulates market orders into limit orders, the order couldn't execute.
I find it very frustrating to even notify IB about the bad quotes. I contacted IB by chat yesterday, I explained the quote problem to ibhelp2, but he/she wasn't willing to talk to me any further until I upgrade my TWS to the newest version (I have 768.5). I prefer not to upgrade with every new version right away (in June, there were 4 new versions!).
This morning I was assigned to ibhelp5, and I got no response whatsoever (I had the chat window open for 3 hours). So I gave up.
IB should really make ibhelp more efficient.
Crossed bid/ask can be for real, especially with heavily, multi-ECN traded tickers such as QQQ, or can be a result of a delayed quote feed from one or more of the exchanges. Unfortunately, which scenario plays out on a given day is hard to tell.
SMART routing is anything but. Avoid it like a plague.
I actually have had great success with smart routing. I have been getting excellant fills from TMBR when I know that I wouldn't have gotten the same filles from the NYSE specialists. They have been easy trades. Thanks TMBR.