IB supersoes routing problem

H

Htrader

Guest
Once again today, I've been having problems using IB's smart routing. Nasdaq orders that should have been executed immediately are instead taking several seconds or more, causing costly delays.

The problem appears to be whenever a part of my order gets sent to supersoes. The order then hangs and gets delayed several seconds. In the meantime, no part of the order gets executed or shown in the market.

I trade relatively large sizes and I need to sweep the market for every share available when I trade. Excluding supersoes from my routing is also not an option as its an important source of liquidity.

Unfortunately, as a result of this problem I've been moving more and more of my volume elsewhere. I do want to stay with IB, but I just can't until this problem gets solved. I've sent emails to help@ib about this, but I was hoping one of the representatives on this board could speed things along.

The screenshot I've included is for a trade that occured at 10:01am eastern. Notice the 10 second delay from start to finish of the execution. Notice that the delay occurs everytime part of the order gets sent to supersoes.
 

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We suspect that this might be a delay in SuperSoes reporting the execution as opposed to a delay in the SMART routing.

We'd like to research this trade in detail to determine exactly what happened. Please see my PM on where to send further details. thanks.
 
Quote from Htrader:

Once again today, I've been having problems using IB's smart routing. Nasdaq orders that should have been executed immediately are instead taking several seconds or more, causing costly delays.

The problem appears to be whenever a part of my order gets sent to supersoes. The order then hangs and gets delayed several seconds. In the meantime, no part of the order gets executed or shown in the market.

I trade relatively large sizes and I need to sweep the market for every share available when I trade. Excluding supersoes from my routing is also not an option as its an important source of liquidity.

Unfortunately, as a result of this problem I've been moving more and more of my volume elsewhere. I do want to stay with IB, but I just can't until this problem gets solved. I've sent emails to help@ib about this, but I was hoping one of the representatives on this board could speed things along.

The screenshot I've included is for a trade that occurred at 10:01am eastern. Notice the 10 second delay from start to finish of the execution. Notice that the delay occurs everytime part of the order gets sent to supersoes.
More...

We have been looking into this for about a week. The issue is in the trade reporting, not in the execution process. In other words, the orders are getting executed in a completely timely way, and you are getting the fills at the prices existent at time of order submission. However, NASDAQ's new QIX interface appears to have a (up to) 5 second latency in reporting the transaction. The cause is under active investigation.

I have received your details, thanks. I will follow up to verify there is nothing inconsistent between your specific observation and the latency issue described above. But I am 95% certain, you are not experiencing any real price slippage.

I hope this is of assistance.

jon
 
Problem is that the smart router may not know to send the the order to the next market participant until the current participant reports the execution. So while you may get executed at the right time at the current location you may be delaying execution at the next location.

Either way it may not matter to the end result if the delay is on the execution or the reporting of the execution. However, this problem may be inherent to SuperMontage which ever broker you choose.

When you said you were switching over capital to a new broker, which broker did you choose? If you do not mind me asking.

:)
 
Quote from qazmax:

Problem is that the smart router may not know to send the the order to the next market participant until the current participant reports the execution. So while you may get executed at the right time at the current location you may be delaying execution at the next location.

Either way it may not matter to the end result if the delay is on the execution or the reporting of the execution. However, this problem may be inherent to SuperMontage which ever broker you choose.

When you said you were switching over capital to a new broker, which broker did you choose? If you do not mind me asking.

:)
More...

It looks like we be rolling back to the old NASDAQ interface until they figure out why the reporting is so delayed.
 
Dear IBj,

Did this problem with delayed NASDAQ execution reports also affect IWM and other listed ETFs trading on NASDAQ's SuperIntermarket (labeled as CAES on TWS)?

Did this problem delay reports of cancellations as well as executions?

Could this problem have caused one successive delay after another, on the same order, without any shares being executed? Could this problem have caused IB SMART orders to be delayed by longer than just a few seconds, and to be delayed by up to 34 seconds?

Could this be the problem I and others complained about in the following thread:
http://elitetrader.com/vb/showthread.php?threadid=50376
 
Quote from jimrockford:

Dear IBj,

Did this problem with delayed NASDAQ execution reports also affect IWM and other listed ETFs trading on NASDAQ's SuperIntermarket (labeled as CAES on TWS)?

Did this problem delay reports of cancellations as well as executions?

Could this problem have caused one successive delay after another, on the same order, without any shares being executed? Could this problem have caused IB SMART orders to be delayed by longer than just a few seconds, and to be delayed by up to 34 seconds?

Could this be the problem I and others complained about in the following thread:
http://elitetrader.com/vb/showthread.php?threadid=50376
More...

I have no way to evaluate these questions as presented. In order to understand a purported delay we need specific information to allow us to analyze various order trails, cross referencing to tick histories, etc. Real time is best. The next time you experience such problems, please send the specifics (times as precisely as possible, order details, etc) to the help desk, attention trade group. Attaching the TWS audit trail will be helpful. Sorry, I am not ducking the issue, but my guessing is of little use to anyone.
 
Quote from jimrockford:

Dear IBj,

Did this problem with delayed NASDAQ execution reports also affect IWM and other listed ETFs trading on NASDAQ's SuperIntermarket (labeled as CAES on TWS)?

Did this problem delay reports of cancellations as well as executions?

Could this problem have caused one successive delay after another, on the same order, without any shares being executed? Could this problem have caused IB SMART orders to be delayed by longer than just a few seconds, and to be delayed by up to 34 seconds?

Could this be the problem I and others complained about in the following thread:
http://elitetrader.com/vb/showthread.php?threadid=50376
More...

IBj answered:
I have no way to evaluate these questions as presented. In order to understand a purported delay we need specific information to allow us to analyze various order trails, cross referencing to tick histories, etc. Real time is best. The next time you experience such problems, please send the specifics (times as precisely as possible, order details, etc) to the help desk, attention trade group. Attaching the TWS audit trail will be helpful. Sorry, I am not ducking the issue, but my guessing is of little use to anyone.
More...

Dear IBj,

If you read the thread to which I pointed you, you will find that I already provided all the specifics to IB, for an order that was delayed 34 seconds, even though it should have executed immediately against automatic liquidity.

I was, in response, given an obviously wrong explanation.

I proved that it was obviously wrong, so then I was given a new, but again, obviously wrong explanation.

I wrote back explaining why the new explanation was obviously wrong, and they refused even to respond. And this was a month ago.

Please, are you willing to make more of an effort?
 
Quote from jimrockford:

IBj answered:


Dear IBj,

If you read the thread to which I pointed you, you will find that I already provided all the specifics to IB, for an order that was delayed 34 seconds, even though it should have executed immediately against automatic liquidity.

I was, in response, given an obviously wrong explanation.

I proved that it was obviously wrong, so then I was given a new, but again, obviously wrong explanation.

I wrote back explaining why the new explanation was obviously wrong, and they refused even to respond. And this was a month ago.

Please, are you willing to make more of an effort?
More...

The event you described is 5 weeks old. I don't have the full set of data (and I can access to everything we have), specifically the detailed communication event logs, going back that far. We keep audit trails forever but communication transcripts (the raw data being sent with the timestamps on every message to/from the exchanges) are too big for perpetual archiving and mostly irrelevent except for debugging. 1 week back, sometimes 2. Real-time is obviously best.
 
IBj said:

The event you described is 5 weeks old. I don't have the full set of data (and I can access to everything we have), specifically the detailed communication event logs, going back that far. We keep audit trails forever but communication transcripts (the raw data being sent with the timestamps on every message to/from the exchanges) are too big for perpetual archiving and mostly irrelevent except for debugging. 1 week back, sometimes 2. Real-time is obviously best.
More...

Dear IBj,

Perhaps you weren't aware of this, but I sent as much detail as I could in an email to IB, ON THE SAME DAY that the execution occurred. The execution problems were so bad, for IWM, that I stopped trading, and then for this and other reasons, I needed to prolong my break from trading, so I am not generating any newer examples. I understand what you mean by saying "real-time is obviously best", but I did complain on the very same day. IB entrusted the matter to an employee who obviously didn't know enough, and who didn't even know enough to know that he didn't know. All the details are on the thread to which I pointed you.

The employee first claimed that the best price was on the third market, so that IB was unable to route to the best price, and so my order was delayed 34 seconds. I pointed out that this doesn't make any sense, because IB can always get immediate auto-ex against any third market quote, simply by routing to NASDAQ. The employee then changed the story to involve some unspecified regional exchange, to which I responded this also makes no sense because all regional exchanges trading IWM offer immediate auto-ex, and IB has connectivity to them thru ARCA and BRUT. I sent repeated emails and attempted to escalate to higher authority, but they simply refused to answer.

So my next question is, why was this problem not investigated by an employee competent to do so, before it was too late, and IB discarded the necessary data?

And my next question is, will IB make any organizational changes so that some meaningful effort, by competent employees, is made to investigate an order execution complaint, before the data are discarded? Don't you think that at the very least, when a complaint is received on a trade or on a failure to execute, the data should be preserved? I mean, don't you agree that there is an obvious need for IB to improve what is called "quality control"?
 
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