IB Quote Problems

[stevet]

Catoosa

Thanks for checking, but i guess the problem on IB is because of either the extra number of changes in data on a fast move, causing problems technically for IB or their computer systems getting overloaded with orders in fast moving markets, and those same computers prioritising the order processing over the data delivery or a combination of both

At any rate thanks for checking - and of course it would be great if you can watch out when we have a fast moving market

Have a good weekend

 

[nixodian]

Originally posted by stevet
could someone help me out on this point

when messages on here indicate people are having problems with their IB quotes

- do they mean that the quotes on their trading platform do not match their data vendor supplier?

- and if so

- why does this matter

- since if they put in an order to buy or sell - the order should just get filled if they have chosen market or get filled or not if they have chosen limit

- the fill or not fill is surely dependent on what is actually available on the exchange, not what is shown on the trading platform

i dont have an IB platform so may be missing the point here - but I am thinking of joining them - but I would always trade off my data delivery service - not the data on IB

-----------
because for many nasdaq stocks they fill your order from their own inventory, so you get filled @ the quote you see. often the quotes will be way off and your fill will be way off, making trading impossible, though if you like bingo dabbling then it may be fine

 

[stevet]

nixodian

"because for many nasdaq stocks they fill your order from their own inventory"

do you mean by this that you believe IB sell you stock they are holding themselves and do this directly, so that they are giving you a worse price than they same stock - if you had bought it on a exchange

.

 

[FX-Trader]

because for many nasdaq stocks they fill your order from their own inventory

Are you sure ?

If they show a delayed price that is below market price then what ? Wouldn´t be a good deal for IB in this case.

 

[CarlErikson]

Hello,

First off, I'm not sure if the problem I'm experiencing is a quote problem or a routing problem. I wasn't sure where to post my question - hopefully this is an appropriate place.

During pre-market trading, if the BTRADE ECN is on the inside bid or ask, I'd say 90% of the time I cannot take that bid or ask. For example, last Friday I was trying to short some SEPR during pre-market trading. Note that during pre-market trading, you are allowed to short without an uptick for NASDAQ securities. There was a bid on the BTRADE ECN at 20.20. Using BEST execution, I tried to short 100 shares at the limit price of 20.20. What happened was that a 100 share offer appeared to show up on BTRADE, but it was priced at 20.49. I expected my order to be filled immediately at 20.20 but when the order went green (active) and I wasn't filled, I cancelled my order. When I cancelled the order, the offer at 20.49 disappeared at the same time. I tried shorting through BEST execution and directly through the BTRADE ECN. Each time I submitted a short order at 20.20. Each time I was not filled and a 100 share offer appeared at 20.49. When I cancelled my order, this offer disappeared. From my perspective, it appeared that my 100 share order was going through, but the price at which it was going in at was being modified. In other words, the row for SEPR looked like this before my order went in:

SEPR BEST Stock (NMS) 10 20.20 20.63 5

When my order went in, the row for SEPR looked like:

SEPR BEST Stock (NMS) 10 20.20 20.49 1

When I cancelled my order, the SEPR row would revert back to its original form.

I contacted IB via telephone and discussed the problem with an IB representative, but by the time he understood what I was talking about, the 20.20 bid had disappeared. Note that I saw several prints go by at 20.20 in the Last Price column on the TWS. Therefore, it seemed as if the 20.20 bid really existed and it was getting taken by someone else but for some reason I could not get filled at that price.

This SEPR example is not the only time this has happened. This has happened to me about 10 times in the past month during pre-market trading. There are sometimes where what I am trying to take is an offer and I'll see my bid go in to the BTRADE ECN but at a modified price and I won't get a fill. I just wanted to note this because I don't believe this problem has to do with the uptick rule at all.

One time I contacted IB via chat and someone there traced my order to the BTRADE ECN and he said that my order was going into the BTRADE ECN at the limit price I specified. However, according to the BTRADE ECN quotes coming, it appeared that the price of my limit order was being modified just as in the SEPR example above. The IB representative started getting upset at me and asking me if I had any proof that the price of my limit order was being modified and all I could tell him was that it appeared that a 100 share order went in to BTRADE but at a modified price. When I cancelled my order, that same 100 share order was immediately cancelled. After the representative became more belligerent, I ended the chat.

If this customer representative was correct and he actually called into BTRADE to determine what price my limit order was going in at (he claimed to have done this), then the only other thing I can think of is that the BTRADE quotes are incorrect. That there really didn't exist an offer or bid that I could get filled at. But this seems to contradict my experience of seeing prints go by on the Last Price column that corresponded to the price of the BTRADE best bid or ask.

All I know is that BTRADE ECN routing in pre-market trading is essentially worthless since I never get filled. And when I try to tell IB about this problem, it is like I am talking to a brick wall. Furthermore, if the BTRADE ECN happens to be the best bid or offer, then all of the BEST execution orders get routed there and just sit there and they never get filled. IB should just eliminate the BTRADE ECN from its routing options if it does not fill orders.

Am I hallucinating? Has anybody else had this problem?

Thanks,
Carl

 

[alanm]

Originally posted by CarlErikson
(on BTRADE) Note that during pre-market trading, you are allowed to short without an uptick for NASDAQ securities. There was a bid on the BTRADE ECN at 20.20. Using BEST execution, I tried to short 100 shares at the limit price of 20.20. What happened was that a 100 share offer appeared to show up on BTRADE, but it was priced at 20.49.

Are you certain that this is BTrade's policy? Is there something in writing somewhere that says this?

What you are describing looks like the standard "mark-up" that occurs for short sales, either to the previous day's closing price (Island, Instinet) or using the uptick rule for the last trade on that ECN (REDIBook). However, this is my experience with listed stocks, not NASDAQ. That's why I ask where the rule is written.

I contacted IB via telephone and discussed the problem with an IB representative, but by the time he understood what I was talking about, the 20.20 bid had disappeared...

The existence of a bid there (or not) should not affect what happens to your order. Perhaps this added to the c/s person's confusion.

There are sometimes where what I am trying to take is an offer and I'll see my bid go in to the BTRADE ECN but at a modified price and I won't get a fill.

This, of course, makes no sense at all, unless maybe BTRADE thinks that it sees a lower offer out there and is marking down your bid to avoid crossing it? Is this supposed to happen in the pre-market? If so, that could also explain what's happening with the short-sales (that it thinks there is a 20.48 bid out there, and is marking you up to 20.49 to avoid a cross).

The IB representative started getting upset at me and asking me if I had any proof that the price of my limit order was being modified and all I could tell him was that it appeared that a 100 share order went in to BTRADE but at a modified price. When I cancelled my order, that same 100 share order was immediately cancelled. After the representative became more belligerent, I ended the chat.

This is an unfortunate pattern with some of IB's c/s people - when they don't have an answer, and we get frustrated with them for not understanding the basics of electronic trading, they react badly. What seems to work for me is that when I see the conversation escalating negatively like that, I just get really, really, nice. At least that shows the person you're talking to that you are willing to stop the escalation, and be the better man. If that doesn't work, I simply give up :-(

I'd suggest that you take your posting and send it in an email to IB. When you take the time to document something this well, it has a decent chance of getting to someone that can understand and resolve the problem.

 

[CarlErikson]

Originally posted by alanm


Are you certain that this is BTrade's policy? Is there something in writing somewhere that says this?

I am not certain and I can't find anything in writing. However, this has happened to me when I've been buying stock as well. An offer will be on BTRADE at a certain price and I'll try to buy it and my orders gets marked down to a different price. You could be right that BTRADE is the only ECN that abides by the uptick rule in pre-market trading, but it seems unlikely. And since I've encountered this problem not only going short, but trying to buy, it seems that the uptick rule is not the problem. One more note: later the best bid for SEPR dropped to 20.05 (and it was still on BTRADE). I tried shorting it and the price of my order appeared to change to 20.08. This was the same morning. So the price at which my order was getting marked up seemed to be affected by what the price of the best bid was at that time. Just strange.

The existence of a bid there (or not) should not affect what happens to your order. Perhaps this added to the c/s person's confusion.

See above - the price of the bid affected the price of my markup.

This, of course, makes no sense at all, unless maybe BTRADE thinks that it sees a lower offer out there and is marking down your bid to avoid crossing it? Is this supposed to happen in the pre-market? If so, that could also explain what's happening with the short-sales (that it thinks there is a 20.48 bid out there, and is marking you up to 20.49 to avoid a cross).

This sounds like a reasonable theory to me - I just don't know. This would explain why I couldn't buy a stock too - the price of my buy limit order was marked down. Another theory I have is that these bids and asks from BTRADE don't actually exist and so when I try to take them, BTRADE would have to disseminate a locked quote - instead it disseminates a quote where the price of my order has been marked up or down. Disseminating a quote that would lock/cross the market with other ECNs in pre-market trading is allowed, but I assume disseminating locked/crossed quotes from your own ECN might be a bad thing...

This is an unfortunate pattern with some of IB's c/s people - when they don't have an answer, and we get frustrated with them for not understanding the basics of electronic trading, they react badly. What seems to work for me is that when I see the conversation escalating negatively like that, I just get really, really, nice. At least that shows the person you're talking to that you are willing to stop the escalation, and be the better man. If that doesn't work, I simply give up :-(

Good suggestions here. I try to be courteous when talking with them but sometimes it is hard.

I'd suggest that you take your posting and send it in an email to IB. When you take the time to document something this well, it has a decent chance of getting to someone that can understand and resolve the problem.

Unfortunately, I've done this about 5 times in the past 3 months on this one problem alone. I don't think anybody believes what I am saying and when I try to get help in real-time I usually just encounter angry scepticism.

Carl

 

[def]

nixodian,
what you mention with orders doesn't happen at IB. I've explained it before and i'm not going to waste my time explaining it here again.

Carl,
Sounds to me that BTRADE Tradebook is modifying the prices. However, if you care to e-mail or PM me specific order information (date, time, account number), I can ask someone to look at the order trail and then contact either BTRADE or our programming group to see what is going on. It may be possible that the bloomberg alogorthm doesn't allow downtick short sales pre-open. An explanation of the rules may move them to changing their code.

Ticks/Quotes: programmers over the weekend found one thing that may cause delays in ticks from time to time (would not explain delays during active markets and made another change to allocate more memory (which may help during active markets). If not rolled out over the weekend, the code should come in over the next couple of days. Whether or not this solves the delays during busy periods, they'll still be looking into it.

 

[nixodian]

Yes if they fill from their own inventory, and they often do, to our advantage at times (eg shorting nasdaq stocks often doesnt require an uptick) and their price is below the mkt (when we are going long) then they will be getting a worst deal. I think The poor quote system isnt deliberate on their part. it can work against them, but if you rely on the innaccurate quote system to make money, youre better off gambling or bingo dabbling

 

[stevet]

nixodian

but the quotes on your platform at not the same as the prices you would get from IB- all you are getting is delayed IB pricing ( if what yu have said is true) and also delayed data from the exchanges - the engine that would drive their own pricing is from the data they recieve - which will be timely - not what u see