Locked / Crossed Markets on IdealPro ?!

L

local_crusher

Important News / Question :

Today I noticed (for the first time) locked and crossed markets
on IdealPro. It happened in EUR/USD several times today.

When I saw it first, it were two Market Maker quotes which made
up a locked market (19 M vs the 4 M not executing).
Ok, I thought maybe IdealPro is programmed not to execute
MM's quotes against each other.

But later I saw a customer order sitting around not executing
against the quote.

How can this happen ? Has IB made changes allowing MM's
to execute trades selectively or to back away?

See attached screenshot. Please not also, that the market was
locked for at least 15 seconds.
 

Attachments

I posted this yesterday into another thread, but it seems nobody noticed it there.

The issue is going on today, so I better opened a new thread, maybe someone from IB can comment.
 
I had some minutes and did some quick research on the phenomeon:

Please open the attached screenshot.

The chart is a tick chart of IdealPro: EURUSD of the last 10 days.
It contains ~160000 ticks.

The green line displays the current spread.
It's range is from -0.0001 to 0.0004 (-1 = crossed to 4 pips spread).

The blue line is more interesting:

It counts all occurrences, when the spread is 0 (locked market).
As you can see, the market was locked very often the last 2 days.
It happened in the past, but with a far lower frequency.
Please note also the increase of crossed markets in the 1/4 of the chart when the market spiked (ticks around x = ~30000).

Please be aware, each time the market is locked, some order is sitting in the book obviously not receiving an execution despite the order is marketable.

What I see makes me really think, there is some kind of
manual execution.


I think this is a major issue, of course I may be wrong.
IB should give us a statement here.
 

Attachments

interesting observation ...

I had thought that an order or two of mine
in USD / JPY for small size using IDEALPRO FX

was sitting on the bid
it was either locked at the same price as the MM
or even crossed through by 1 pip without execution

I then cancelled the order without harm
and reentered again an order later in Asian
session that executed fine.

I will pay more attention now to see if this happens again ...

perhaps its a connectivity issue ?
 
I doubt it is a connectivity issue. I think it's probably intended, for
these reasons:

- I appears to happen more often in critical/fast markets
- The quotes continue to update when the market is locked
(That means the comm. line to the bank(s) are intact. However, it may be there are separate connections for quotes, orders and executions)
 
I saw the same thing yesterday, it happened a few times.
It would be nice to see some IB comments, hope they can sort it out.

Steve_IB?
 
Ok I did some more study:

There was a 3 month period last year (June - Sep) when
it also happened quite often.

I hope IB reps will give some insight.

Does it have something to do with the market making
banks being arb'ed against the futures ?

(If so, why can't IB just "kick out" these arb customers or deny IdealPro access for them?)
 
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