IB SMART’s black hole or “where is my order”

[fbell50]

I have noticed “where is my order” twice. I am not certain if it is a SMART problem or an exchange problem, although it appears to be SMART. Basically my limit orders are not always being reflected or executing when they should be. At some point minutes later they magically appear. These are orders which were entered long before the bid/ask reached their price.

Here is a recent example in which there was a 5 minute period in which my bid size should have shown in a T&S log. There is only one 2 minute period in which it does. If my bid had been reflected I would have expected earlier executions, especially with Reg NMS now in effect. I did not contact IB about this because there was no damage and absent damage it is more difficult to pursue a problem.

On 3/27 I had an order working to buy MED at 6.84 stop limit.

1:24:00 - The order triggered and was partially filled leaving 2300 unfilled.
2:02:14 - bids started being posted at 6.84 on various exchanges including the NYSE
2:02:29 – Only bid with enough size to be mine is posted on NASDAQ
2:03:09 - all exchanges available through my quote vendor (NYSE, AMEX, NASDAQ, ARCA) were posting bids of 6.84.
2:04:42 - Only bid with enough size is pulled from NASDAQ, there is no bid large enough to represent my order afterwards
2:05:54 – first executions at 6.84
2:06:57 – first executions under 6.84
2:07:10 – first fills for my order, in total order filled on 3 different exchanges, all of which are hitting the ask

Has anyone else had similar experiences?

 

[jimrockford]

fbell50,

I disagree with your assumption that there was no damage. It is almost always the case that these types of execution problems happen over and over again, rather than being just one shot deviations from the norm. It is very possible that your executions are being affected on a routine basis by the same problems, and that this case was different only because you noticed it this time. You have no idea what exactly the problem was, or how much money it has already cost you, or will continue to cost you in the future. You should investigate to find out what happened in this type of situation, regardless of whether or not you believe you suffered damage.

Another thing. The time to solve an execution problem like this is BEFORE you are damaged by it, where, as in this case, something is clearly wrong. If investigation reveals that everything functioned correctly, and that you were misinterpreting when you thought you identified a problem, then you will have learned something very important about order execution, which you will need to know for purposes of future trading. Either way, you owe it to yourself, as a businessman, to get to the bottom of these types of problems, and I mean sooner, not later.

It might be too late to get this particular incident investigated, because IB needs to be notified promptly that you have questions about your order execution, so that they can preserve certain records more detailed than the audit trail available on your own machine. So if it is too late for you to request an explanation, I really think you should stand ready to call immediately for troubleshooting the next time this happens. Yes this will distract you from trading, but it is a necessary precaution to protect you while you are trading. It is like looking both ways before you cross the street.

P.S. Thank you for sharing your experience. I think it was helpful and educational for me and I believe for other traders as well.

 

[samaritan]

Quote from fbell50:

I have noticed “where is my order” twice. I am not certain if it is a SMART problem or an exchange problem, although it appears to be SMART. Basically my limit orders are not always being reflected or executing when they should be. At some point minutes later they magically appear. These are orders which were entered long before the bid/ask reached their price.

Here is a recent example in which there was a 5 minute period in which my bid size should have shown in a T&S log. There is only one 2 minute period in which it does. If my bid had been reflected I would have expected earlier executions, especially with Reg NMS now in effect. I did not contact IB about this because there was no damage and absent damage it is more difficult to pursue a problem.

On 3/27 I had an order working to buy MED at 6.84 stop limit.

1:24:00 - The order triggered and was partially filled leaving 2300 unfilled.
2:02:14 - bids started being posted at 6.84 on various exchanges including the NYSE
2:02:29 – Only bid with enough size to be mine is posted on NASDAQ
2:03:09 - all exchanges available through my quote vendor (NYSE, AMEX, NASDAQ, ARCA) were posting bids of 6.84.
2:04:42 - Only bid with enough size is pulled from NASDAQ, there is no bid large enough to represent my order afterwards
2:05:54 – first executions at 6.84
2:06:57 – first executions under 6.84
2:07:10 – first fills for my order, in total order filled on 3 different exchanges, all of which are hitting the ask

Has anyone else had similar experiences?

fbell50, I PM'd you today on the topic of the routing problems.
We had two outages with NYSE yesterday, one of which was from 13:46 to 14:05 that affected your order.
Please see the PM for more info.

 

[fbell50]

Jimrockford,

I agree with you completely. That’s how I approach my software. I try to fix problems as soon as I notice them, before they can cause a serious problem. But trying to persuade a third party to investigate and fix what you see as a problem is much more difficult, especially when you cannot show immediate damage.

Let me give you an example. The first time I noticed that an NYSE limit order had not participated in the opening cross I realized a small advantage over the opening price. I contacted IB support and asked them to look at the routing. I had three back & forth exchanges with a rep who thought SMART was acting correctly for a customer who was complaining about something which made him money.

It wasn’t until I asked that the issue be escalated a level that the rep looked at the routing and reported that the order had been sent to the NYSE and the NYSE was responsible for the subsequent executions, routing some of the order away to other exchanges. I now realize that the rep was probably misinterpreting the routing, that it was SMART, not the NYSE that had done all the routing.

What was the outcome of all this effort? I created a bad impression with one rep and got misinformation to boot. People in the trenches aren’t that sympathetic to what they view as a waste of their time, and often it is a waste of their time. I don’t want customer support to view me as a troublemaker.

I prefer to wait until I have suffered obvious damage before really pushing an issue. Obviously this means a greater cost to me, but only if you assume that I could have successfully pushed the issue when there was no damage. In this case I later suffered $4900 in clear damages and my case got a lot stronger.