Market orders on futures with IB

[brokershopping]

How are fills when you place a market order on a futures contract with IB? Are you better off placing a marketable limit order? As I recall, it says in the agreement that they can trade against your order, but do they in a consistent and noticeable manner?

I love IB, but not enough to donate a tick per trade to the cause.

A related question: if you place a marketable limit order far away from the market, is that an invitation for a horrendous fill, or will you get the best price available?

It has been a while since I have actively traded, and it was with a different broker. At that time, if you did either of the above, you were asking to get bent over.

 

[ddunbar]

If it's Globex you are refering to, it generally pays to set a marketable limit order. Basically Limit buy the ask or limit sell the bid. You needn't set your limit outside the current bid/ask. You'll have no "slippage" to speak of. But you may miss out on the market and end up having to chase it for a tick or two in very fast markets. In that case, setting your limit a tick outside the BBO(best bid and offer) will practically gaurantee a fill.

However, market orders on Globex are essentially limit orders which are designed to buy the "best current" ask or sell the "best current" bid. Every now and again, you might buy the bid or sell the ask. Depends on the market action. But in fast moving markets, you may get a "bad fill" because of the FIFO or partial fill at the current market with the remaining qty set @ a limit that's... here rather than rephrase it, this is from CME's website:

Market Order: Market Orders at CME are implemented using a "Market With Protection" approach. Unlike a conventional "Market" order, where customers are at risk of having their orders filled at extreme prices, "Market With Protection" allows the order to be filled within a pre-defined range of prices (Protected Range). The Protected Range is typically the current best bid or offer, plus/minus 50% of the "no bust range" for that instrument. If the entire order cannot be filled within the protected range, the unfilled quantity becomes a Limit Order at the limit of the Protected Range.

http://www.cme.com/trading/get/abt/enterorder987.html


As far as IB... front running or market making doesn't happen in futures since it's direct access. There's no "smart routing" which could lead to the possibility of either front running or market making through Timber Hill.