Wondering if anyone else here has had a similar experience and, if so, how they've dealt with it. Until I can understand what happened, I will not be able to do any further trading through TWS in my IB account... and that's too bad. Kinda defeats the whole point of my bringing over part of my ES trading to IB a few weeks ago.
Let me stress up front that I've already become quite a fan of both IB and especially TWS, so this isn't about bashing anyone or anything. If the problem was on my end, I'd like to know about that and take corrective action. If there's a bug in TWS that could affect many others, well, it needs to be identified and taken care of, right? Common sense. So, here goes...
Summary:
On Friday, April 2nd, a stop-loss, buy stop order for 1 June S&P e-mini contract, which had been entered into TWS, i.e., Transmitted, half an hour or more in advance, was NOT executed for nearly 4 (four) minutes as I watched the market, in real time, GRADUALLY, almost leisurely, move up through and then fully away from the buy stop level. In fact, the pre-existing buy stop was never executed at all, forcing me to cancel it and get another buy done on the spot, at a higher price.
Details
By 4 pm on Friday, April 2nd, I had gone nearly flat for the day, but was still short one contract from 1138.50. As always, I had routinely / simultaneously transmitted a stop-loss 3 points away:
Buy Stop 1 ESM4 at 1141.50
The ES GRADUALLY (please see below) moved up to and through 1141.50, then 1141.75, then 1142.00, yet the buy stop order has still not been executed at 1141.50 or 1141.75 or 1142.00. A corresponding "stripped" (of indicators) close-up chart, showing 1-minute candles of the last 15 minutes of that trading session, is attached (all times in EST).
Now, for a slightly different perspective, here are some key time points from CME's Time and Sales for that day, taken from the official record at http://www.cme.com :
15:05:11 first print at 1141.25 4m0s elapse (what's the rush?), then...
15:09:11 first print at 1141.50 (=buy stop) 19 prints at that price during that minute; 1m58s later...
15:11:09 first print at 1141.75 1m24s elapse, then...
15:12:33 first print at 1142.00 the LOW is equal to 1141.50 (=buy stop) during that entire minute
15:12:57 Although I am, well, rather stunned that after 3+ minutes, my buy stop is still just "sitting there" on my TWS screen, as the OFFER of the SLOWLY MOVING ES is now a full half point above the buy stop, I remain calm. I prepare a new buy order; once it's ready, cancel the non-working buy stop at 1141.50 in TWS; as soon as it's shown as cancelled, transmit the buy at 1142.00; it is filled immediately. I am now flat, having being forced to manually stop myself out... not a moment too soon.
As you can see, it took 4m0s for the ES to rise from first touching 1141.25 to 1141.50, where my buy stop had been entered into TWS; further 1m58s -- from there to 1141.75; further 1m24s -- from there to 1142.00. Thus, it took a total of 3m22s (= 1m58s + 1m24s) to get from first touching 1141.50 (= buy stop) to 1142.00, in a very orderly fashion... this was not a fast market by any means... a slow, steady, almost leisurely (by ES standards) market. Also please note that the ENTIRE 15:12 - 15:13 one-minute bar rests fully ABOVE 1141.50, yet the buy stop at 1141.50 has still not been executed by nearly the end of that bar, a few seconds before 15:12:57. Clearly, something went wrong here.
Let me stress that this issue is really not about the $25.00 additional loss ((1142.00 -1141.50) x $50.00), but rather about a very basic, core part of TWS' functionality -- namely, being able to rely on its ability to execute a pre-existing order in a timely fashion, once the market conditions for that order have been clearly met (minutes, not seconds ago, in this case). So far, I've found TWS nothing but a pleasure to use and, more specifically, every stop order, buy or sell, I have ever entered into TWS, has been executed as expected, when expected.
Sorry for the rather long post, but I thought, details might be important to "diagnose" the ailment, whatever it might be. Any insights would be greatly appreciated.
late
Let me stress up front that I've already become quite a fan of both IB and especially TWS, so this isn't about bashing anyone or anything. If the problem was on my end, I'd like to know about that and take corrective action. If there's a bug in TWS that could affect many others, well, it needs to be identified and taken care of, right? Common sense. So, here goes...
Summary:
On Friday, April 2nd, a stop-loss, buy stop order for 1 June S&P e-mini contract, which had been entered into TWS, i.e., Transmitted, half an hour or more in advance, was NOT executed for nearly 4 (four) minutes as I watched the market, in real time, GRADUALLY, almost leisurely, move up through and then fully away from the buy stop level. In fact, the pre-existing buy stop was never executed at all, forcing me to cancel it and get another buy done on the spot, at a higher price.
Details
By 4 pm on Friday, April 2nd, I had gone nearly flat for the day, but was still short one contract from 1138.50. As always, I had routinely / simultaneously transmitted a stop-loss 3 points away:
Buy Stop 1 ESM4 at 1141.50
The ES GRADUALLY (please see below) moved up to and through 1141.50, then 1141.75, then 1142.00, yet the buy stop order has still not been executed at 1141.50 or 1141.75 or 1142.00. A corresponding "stripped" (of indicators) close-up chart, showing 1-minute candles of the last 15 minutes of that trading session, is attached (all times in EST).
Now, for a slightly different perspective, here are some key time points from CME's Time and Sales for that day, taken from the official record at http://www.cme.com :
15:05:11 first print at 1141.25 4m0s elapse (what's the rush?), then...
15:09:11 first print at 1141.50 (=buy stop) 19 prints at that price during that minute; 1m58s later...
15:11:09 first print at 1141.75 1m24s elapse, then...
15:12:33 first print at 1142.00 the LOW is equal to 1141.50 (=buy stop) during that entire minute
15:12:57 Although I am, well, rather stunned that after 3+ minutes, my buy stop is still just "sitting there" on my TWS screen, as the OFFER of the SLOWLY MOVING ES is now a full half point above the buy stop, I remain calm. I prepare a new buy order; once it's ready, cancel the non-working buy stop at 1141.50 in TWS; as soon as it's shown as cancelled, transmit the buy at 1142.00; it is filled immediately. I am now flat, having being forced to manually stop myself out... not a moment too soon.
As you can see, it took 4m0s for the ES to rise from first touching 1141.25 to 1141.50, where my buy stop had been entered into TWS; further 1m58s -- from there to 1141.75; further 1m24s -- from there to 1142.00. Thus, it took a total of 3m22s (= 1m58s + 1m24s) to get from first touching 1141.50 (= buy stop) to 1142.00, in a very orderly fashion... this was not a fast market by any means... a slow, steady, almost leisurely (by ES standards) market. Also please note that the ENTIRE 15:12 - 15:13 one-minute bar rests fully ABOVE 1141.50, yet the buy stop at 1141.50 has still not been executed by nearly the end of that bar, a few seconds before 15:12:57. Clearly, something went wrong here.
Let me stress that this issue is really not about the $25.00 additional loss ((1142.00 -1141.50) x $50.00), but rather about a very basic, core part of TWS' functionality -- namely, being able to rely on its ability to execute a pre-existing order in a timely fashion, once the market conditions for that order have been clearly met (minutes, not seconds ago, in this case). So far, I've found TWS nothing but a pleasure to use and, more specifically, every stop order, buy or sell, I have ever entered into TWS, has been executed as expected, when expected.
Sorry for the rather long post, but I thought, details might be important to "diagnose" the ailment, whatever it might be. Any insights would be greatly appreciated.
late