IB stop loss triggered AND executed outside of trading range

Quote from BSAM:

But, the charts don't match. And, when you collect the IB data into QT live, then clear the data, a different set of data backfills the chart from what was originally sent from IB to QT. So, was the originally sent data wrong or is the backfilled data wrong???
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Good question. Backfill data can always be different, I believe, since IB uses coalescing.

As far as live data goes, if I had both IB TWS chart and QT chart side by side live and both failed to show the true low at 1059.25, then it would imply IB's quote is the problem. If IB chart shows lower low (or higher high) than QT, then that would mean QT is not getting all data from TWS. I will try next time. It's possible there are some quotes dropped at both the IB end and the TWS-to-QT connection.
 
Quote from Eight:

IB's simulated account can give some really bad fills.. it's always good to be sure that a person reporting something is using the real account.. which the posters in this thread seem to be doing....
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You never know, the truth can be surprising. For instance, BSAM may have been paper trading on a sim account since 1999.
 
Quote from Eight:

IB's simulated account can give some really bad fills.. it's always good to be sure that a person reporting something is using the real account.. which the posters in this thread seem to be doing....

just my $2C..
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Yeah it was real trading. Never tried sim trading. I imagine a bit of difference is expected since orders are not executed by the exchange.
 
IB's feed aggregates AND drops ticks. This is very well known - just search the forums or google it. This is the price you pay for a feed which is a) free (with a little commission), but more importantly b) is not lagging during fast markets like you would see with tradestation / eSignal etc.

And please no comparisons with feeds that cost thousands per month.
 
Quote from BuyLowSellHigh:

IB got back to me regarding this issue. They showed a time and sales history where it shows the bid actually being dropped and the contract traded. Somehow the QT chart and its time and sale history do not show this. When I clear QT's quote data and backfill it again, the low price does show 1059.25 where my contract was traded. I guess the feed from TWS to QT misses some quotes. Anyone know how to make QT to receive all ticks from TWS?
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IB aggregates ticks. They take a snapshot 6 times per second (I believe). Therefore, it is possible that a low tick might not be included, but instead aggregated. It happens.

The IB backfill on the other hand is constructed in a way such that all the prices are shown. I forget the method, Kiwi has posted on it in the past.

As the poster above mentions, during heavy trading IB data feed will not lag because it is not producing every tick. It works well for me.

OldTrader
 
Quote from BuyLowSellHigh:

If IB chart shows lower low (or higher high) than QT, then that would mean QT is not getting all data from TWS.
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I have heard that QT further aggregates it's data that it gets from IB. So some very high ticks and some very low ticks say on a 5-min chart will not be shown on QT's charts or T&S either. This doesn't happen very often, but it does happen. Now don't ask me who told me this or Jerry will kill me. Ooops, I just let it out. Now I have to go hide somewhere.
 
Quote from FortuneTeller:

I have heard that QT further aggregates it's data that it gets from IB. So some very high ticks and some very low ticks say on a 5-min chart will not be shown on QT's charts or T&S either. This doesn't happen very often, but it does happen. Now don't ask me who told me this or Jerry will kill me. Ooops, I just let it out. Now I have to go hide somewhere.
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Yeah, today I had both QT and IB TWS live ES charts side by side. I did see that TWS chart showed higher tops or lower bottoms on some occasions. So it seems there is some loss of ticks going from TWS to QT in addition to the IB source aggregation issue people mention above.
 
Quote from BuyLowSellHigh:
I trade ES with IB and I keep getting my stop order triggered AND executed at price OUTSIDE of the reported trading range. . .
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This is very slightly offtopic. If you are using plain stop orders, when elected they become market orders which are not native on Globex. You might consider using stop/limit instead. The order will then be held at the exchange instead of simulated on IB's server. I have had some really bad fills with simulated market orders.
 
Hello,

Regarding this issue, I am also an IB client and have seen some crazy things happening too. To this day, every time that I checked what happened, IB was not at fault, instead, it was the crazy spike nature of the ES to blame.

I remember vividly one time in which I had a winning trade running with 1 point in my favor that suddenly was stopped at the price it was (with a 1 point profit). my stop was 1.5 points away from where it was stopped.

After getting "shocked" and contacting IB and many other sources, I realized that in a fraction of a second (maybe 0.2 seconds) the ES hit my stop (1.5 points away) and came back to where it was, and the stop triggered at the best possible price at the time (with a profit). This was confirmed by several sources. Maybe it was a forced liquidation, who knows?

I know that after I was stopped (with a small profit), in 1 or 2 seconds the ES FLEW against my position, many points. so this freakish stop saved me from a loss.

The ES can do crazy things at times, and IB time & Sales does not include all trades.

Cheers
 
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