InveractiveBrokers filled my market NQ order with 4.5min delay

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david Lee

This afternoon, my bot placed a market buy order at 20:12:13 GMT. The order was filled at 20:16:44 GMT ( a 4.5min delay) . The fill is 10 NQ points against me! Turning a winning trade into loss.

I attached my Audit Trail here. Should I call them to complain?
Any one has the experience? Your suggestions are welcome.
 

Attachments

I had strange IB behavior today too.

I placed a short sale on a light green stock with a limit below the highest bid. It just wasn't filled for a few minutes, even when there were several sales that took place at a price higher than my ask.

It eventually filled when I cut the total shares in half and placed in an even more ridiculous limit.
 
Open a ticket in the account management website. If they don't respond within a day keep updating the ticket until they respond.

You might also check the TWS logs (not the audit log but the log files generated by TWS) and see if maybe there was a disconnect of some kind during that time. Or maybe FIX error messages?
 
According to the IB website, market orders on Globex are simulated. If you want faster execution, you might use a native order type (e.g. limit, stop limit). You could ask for an adjustment, but I doubt that you will get it.
 
Quote from david Lee:

This afternoon, my bot placed a market buy order at 20:12:13 GMT. The order was filled at 20:16:44 GMT ( a 4.5min delay) . The fill is 10 NQ points against me! Turning a winning trade into loss.
More...
You're at fault.

Let this be a warning to everyone who uses market orders ... fast moving market or not. You are at the mercy of the broker.
 
Thanks for let me know that, I though market would be the fastest.

You mean if the price is 1235.25. I place a limit buy at 1238 would execute faster?

But my order is delayed for 4.5min, not 0.1sec.

Quote from rwk:

According to the IB website, market orders on Globex are simulated. If you want faster execution, you might use a native order type (e.g. limit, stop limit). You could ask for an adjustment, but I doubt that you will get it.
More...
 
Good point.

But in some cases you have to use market order g.e. stop order.
Stop limit order does not make sure you get out.

Quote from MandelbrotSet:

You're at fault.

Let this be a warning to everyone who uses market orders ... fast moving market or not. You are at the mercy of the broker.
More...
 
Quote from david Lee:
... I though market would be the fastest.
You mean if the price is 1235.25. I place a limit buy at 1238 would execute faster?
But my order is delayed for 4.5min, not 0.1sec.
More...
The limit order will always be at least as fast as a market order, and often much faster. The broker has to simulate a market order, and they usually use limit orders for that, changing price as needed to stay close to the bid/ask. As you have seen, in a busy market like today, your order can dance with the bid/ask for a long time before it finally gets hit. If you had placed a limit order at 1238, you would have been filled at 1235.25/.50 within 0.1 sec. In a busy market, be aware that the offer might *look* like 1235.25, but it could have moved on by the time you see it.

One drawback to using limit orders is that there is a limit to how far off the bid/ask you can be before the order is rejected as invalid. I don't trade the NQ, so I don't know what the max is. I seem to recall the max for ES was something like 5 points.

Note that plain stop orders have the same problem. You should use stop/limit instead, but be aware that you could miss getting a fill in extreme conditions.
 
Thanks. GLOBEX accepts:

GTC
Limit
Market Protect
Market to Limit
Stop Limit

Quote from rwk:

According to the IB website, market orders on Globex are simulated. If you want faster execution, you might use a native order type (e.g. limit, stop limit). You could ask for an adjustment, but I doubt that you will get it.
More...
 
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