IB Quote Problems

Originally posted by stevet
Catoosa

As an intraday futures trader - i certainly understand your point about looking two monitors over - i am sure it is more phsycological than real - but if if affects you as it has me in the past - that is a real as it needs to get

but i still don't get why you dont just take a market order when the data on your data supply/charting software had indicated that it is the right time to do it

i dont trade stocks - so i know i am missing something here that someone on the forums has explained to me previously - and it had to do with limit orders - but if you feel you are taking the right trade, why not just take the trade - why do u need the data on the trading platform entry system

and in particular - since i would only be interested in arbitraging with the SPY - would the problem you experience also affect the SPY

and just to conclude - does anyone know if IB experience the same data probs on options such as the OEX
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Stevet: I was watching SPY on my RealTick feed today. Tomorrow I will enter the symbol in IB's TWS and compare to RealTick to see if I get a lag, and if so, how much. I will let you know.

You have a good point about using market orders and I have consider doing just that. I know just as you said: When it is time to get in or out, I hit the bid or offer and just need to get the fill. A market order will for sure get it done.

Thank you for your help,
Catoosa
 
Originally posted by Catoosa

You have a good point about using market orders and I have consider doing just that. I know just as you said: When it is time to get in or out, I hit the bid or offer and just need to get the fill. A market order will for sure get it done.
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Catoosa,
it's not so sure that a market order will get it done. Since IB simulates all market orders into limit orders based on the quotes they have, sometimes it can be difficult to get an order executed even with a market order, especially when there is a big difference between IB's quotes and the real quotes on the market. I would think that an aggressive limit order is more useful when IB's quotes are lagging.
 
PXG

i think this was the point made to me in the past - but surely if a market order is made - even if IB convert it into a limit order - do IB not make the limit order wide enough to ensure a fill - especially if they know there system is not accurate - if they dont do this - the trader and IB are losing out - the trader on his trade and IB on the brokerage fee

and seperate to this - the limit order should be calculated by IB on the data feed they have from the exchanges to themselves - which must be as accurate as any other brokers feed - and the customers feed must be getting screwed up in the feed that eminiates from IB - not what IB are receiving - so therefore IBs limit orders should be representative of the real market prices
 
Stevet,

I am not completely sure, how IB simulates market orders, but I know from my experience, that a market order can take much longer to execute when their quotes are lagging.
From what I remember, I believe the market orders are simulated into limit orders by adding 5 points to best offer for buys and substracting 5 points from best bid for sells (5 points is for futures, for stocks it is $0.5).
So it can happen quite easily that the simulated market order doesn't have wide enough limit to be executed.
As for your other question if IB has accurate data feed on their servers, when customers quotes are lagging, I don't know, but I guess it depends on what the particular problem is. Yes, they simulate the order based on their quotes, not the ones that you receive in your TWS.
In a normal situation, when quotes are ok, IB's market orders are usually very fast, I use them all the time.
 
pxg

i think the key here is that if a market order is converted into a limit order by IB, it must be done with IBs own feed - so it should be correct - and the time to fill may well just be down to getting filled in a queue of orders in a moving market - so although it may be frustrating or not settling to have the same data on IB as on your data/charting software - that actual reality is that if you use a market order or take the extra moment to create a limit order based on you data/charting - you are probably not getting any worse service than via any other brokers platform

this is not meant to be an answer - it is more of a question -since i plan to use IB for index arbitrage and want to understand how they operate and the experience of its users
 
It's been my experience that fills have nothing to do with the quotes IB posts. I always use a limit order outside the spread by looking at Realtick L2. I normally get filled at the best bid/ask (or within a few .01's) no matter what quotes IB shows.
 
macal425

so the key until IB sorts out their problem is to use the data/chart price as the limit order? and just treat the data on IB as occasional luxury that saves some key strokes to create the limit order?
 
Originally posted by stevet
macal425

so the key until IB sorts out their problem is to use the data/chart price as the limit order? and just treat the data on IB as occasional luxury that saves some key strokes to create the limit order?
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I'm not quite sure what you mean.

I use IB as nothing more than an order entry platform, as if it is part of my RT. I don't care what the quotes say on IB. I set my order where I want to get in, or out, and adjust the prices using hot keys, if need be. All the time I am watching L2 on realtick for the 'real' quotes.

It does take a bit more time than a point and click fully integrated platform, but you get used to it.
 
macal425

i think you are agreeing with me! which is great as i have not used IB yet, but I am about to - and whilst i take the point absolutly of others on the forum - that the quotes on the IB platform should be correct and they should get them correct - i still remember the days of phoning an arrogant broker -who ripped off on the fills and on the fees - so as long as the trading platform works as an order entry system - thats a big big plus

but it would still be great to hear if my theory about puttin in a market order is valid - that is even IB changing it to a limit order being fine as they will use their own data feed to create the limit order?
 
Stevet:
Today I compared quote for SPY on RealTick and IB's TWS and found no lag in IB's quotes on SPY. I also compared quotes on MSFT, INTC, and EBAY and found no lag in IB's quotes. The volume was not high today; So, I did not expect to find any lag between quote systems today.

Catoosa
 
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