Have any current or former IB customers observed this type of problem, when the market is moving rapidly? I am trying to persuade IB to resume its efforts to fix this problem. I would like to be able to show IB that other people are affected by this problem. If I can, I think I might have greater success in trying to persuade IB. I think this would benefit IB and all its customers.
I have repeatedly observed that when I submit a marketable TWS order, in a rapidly moving market, (I currently only trade SPY and QQQ), I sometimes get an extremely poor execution, which could have been avoided had TWS been designed to execute in rapidly moving markets. These problems, when they occur, either prevent an order from executing at all, or delay it substantially, for up to 90 seconds, costing perhaps 10 to 20 cents more per share than if my order had been handled correctly. Island time and sales proved, in each case, that if an appropriate INET DISCRETIONARY or INET PEG MARKET order had been routed to ISLAND, it would have executed almost immediately and avoided the aforementioned loss; but IB does not provide these native INET order types, and IB canât explain its failure to do so. This execution problem occurs regardless of whether I use SMART-routing or DIRECT ECN routing, although each of those two alternatives fails in different ways. I think this problem is especially likely to occur when wide stops or wide stop-limits are triggered, because the market is more likely to be moving very rapidly at those times (but none of my orders were STOPs or STOP-LIMITS, they were all MARKETS and marketable LIMITS).
Let me emphasize that in every case, the order was actually triggered and submitted, and given a green status as a marketable limit or market order during regular trading hours, which was later confirmed by my own TWS audit trails and by the helpdesk, and that the delay or total failure to execute occurred subsequent to this confirmed order submission. Let me emphasize that in the cases to which I refer, each order was either a market order, or had a price limit far better than the NBBO at all times, so that the limit order was âmarketableâ at all times. Let me also remind everyone that the uptick rule does not apply to SPY or QQQ (it amazes me that some IB CS reps still think that the uptick rule applies to all stocks).
I have been trading thru IB, in order to try to develop a trading strategy, since Dec 2002, but this execution problem became a much more serious obstacle for me, in Feb 2004, when my trading strategy evolved into something that tends to give signals in the most rapidly moving markets. Every time this problem surfaced, I got a totally wrong explanation from the helpdesk, and it was only after a great deal of persistence that I was able to convince IB that the initial helpdesk explanation was wrong. Most of my problems led IBâs higher powers to confirm and to fix various IB system bugs. I am the guy, for example, who quietly persuaded IB to allow AMEX to be excluded from SMART routing. The overall problem, however, was never solved by the bug fixes to date, and IBâs higher powers have abandoned this problem back to the helpdesk. The helpdesk has demonstrated, time and again, that it is completely incapable of addressing this problem, which is way over their heads. Their most recent email is a standard generic âDear Traderâ letter saying that they will let me know if they decide to do anything further about it. I emphasize that I have extensively described this problem to IB, they fixed some bugs but never solved the whole problem, and they do not deny its continuing existence.
I suspect that many customers are unknowingly experiencing the delays and bad prices I have seen, during rapid market moves, especially for STOPS, but that the customers are not carefully checking their TWS audit trails for execution delays. I suspect that customers are not carefully checking their execution prices against time and sales to see if they are getting good prices compared to what they should be getting. (ISLAND time and sales is available on the ISLAND website and is especially revealing). I suspect that customers, when they do recognize that an execution was questionable, are swallowing the totally wrong and hopelessly naïve explanations usually given by IB CS reps. I believe most customers are not willing to do the persistent research and questioning, and to develop the expertise required, in order to verify what the CS reps are saying. Maybe if more people started checking their TWS audit trails, and time and sales at www.island.com and elsewhere, and researching the validity of IB helpdesk explanations, more people would see a problem that is costing them to lose a lot of blood, and they would motivate IB to make TWS execute well, even when the market moves rapidly. I think that the constant flow of totally wrong info, from the IB help desk, prevents this execution problem, like many other problems, from being recognized and fixed.
Can anybody share some relevant experiences, to help persuade IB? If the helpdesk gave you explanations for your problems relevant to this order execution quality problem, please share them along with your underlying execution problem, because this may lead to proof that the explanation was untrue, and that would, in turn, help uncover the true size of this order execution quality problem. Praetorian2, I believe, from your recent thread about SMH at IB, you may be affected by similar issues. Did time and sales show that other market participants were able to execute their SMH orders, during the time intervals when you could not execute your own SMH orders via IB?
My goal, in starting this thread, is not to harm IB, but to give IB the feedback it needs to help it to do what is in the best interests of itself, its employees, its customers, and the markets, so that IB can be the best IB it can be.
- jimrockford
I have repeatedly observed that when I submit a marketable TWS order, in a rapidly moving market, (I currently only trade SPY and QQQ), I sometimes get an extremely poor execution, which could have been avoided had TWS been designed to execute in rapidly moving markets. These problems, when they occur, either prevent an order from executing at all, or delay it substantially, for up to 90 seconds, costing perhaps 10 to 20 cents more per share than if my order had been handled correctly. Island time and sales proved, in each case, that if an appropriate INET DISCRETIONARY or INET PEG MARKET order had been routed to ISLAND, it would have executed almost immediately and avoided the aforementioned loss; but IB does not provide these native INET order types, and IB canât explain its failure to do so. This execution problem occurs regardless of whether I use SMART-routing or DIRECT ECN routing, although each of those two alternatives fails in different ways. I think this problem is especially likely to occur when wide stops or wide stop-limits are triggered, because the market is more likely to be moving very rapidly at those times (but none of my orders were STOPs or STOP-LIMITS, they were all MARKETS and marketable LIMITS).
Let me emphasize that in every case, the order was actually triggered and submitted, and given a green status as a marketable limit or market order during regular trading hours, which was later confirmed by my own TWS audit trails and by the helpdesk, and that the delay or total failure to execute occurred subsequent to this confirmed order submission. Let me emphasize that in the cases to which I refer, each order was either a market order, or had a price limit far better than the NBBO at all times, so that the limit order was âmarketableâ at all times. Let me also remind everyone that the uptick rule does not apply to SPY or QQQ (it amazes me that some IB CS reps still think that the uptick rule applies to all stocks).
I have been trading thru IB, in order to try to develop a trading strategy, since Dec 2002, but this execution problem became a much more serious obstacle for me, in Feb 2004, when my trading strategy evolved into something that tends to give signals in the most rapidly moving markets. Every time this problem surfaced, I got a totally wrong explanation from the helpdesk, and it was only after a great deal of persistence that I was able to convince IB that the initial helpdesk explanation was wrong. Most of my problems led IBâs higher powers to confirm and to fix various IB system bugs. I am the guy, for example, who quietly persuaded IB to allow AMEX to be excluded from SMART routing. The overall problem, however, was never solved by the bug fixes to date, and IBâs higher powers have abandoned this problem back to the helpdesk. The helpdesk has demonstrated, time and again, that it is completely incapable of addressing this problem, which is way over their heads. Their most recent email is a standard generic âDear Traderâ letter saying that they will let me know if they decide to do anything further about it. I emphasize that I have extensively described this problem to IB, they fixed some bugs but never solved the whole problem, and they do not deny its continuing existence.
I suspect that many customers are unknowingly experiencing the delays and bad prices I have seen, during rapid market moves, especially for STOPS, but that the customers are not carefully checking their TWS audit trails for execution delays. I suspect that customers are not carefully checking their execution prices against time and sales to see if they are getting good prices compared to what they should be getting. (ISLAND time and sales is available on the ISLAND website and is especially revealing). I suspect that customers, when they do recognize that an execution was questionable, are swallowing the totally wrong and hopelessly naïve explanations usually given by IB CS reps. I believe most customers are not willing to do the persistent research and questioning, and to develop the expertise required, in order to verify what the CS reps are saying. Maybe if more people started checking their TWS audit trails, and time and sales at www.island.com and elsewhere, and researching the validity of IB helpdesk explanations, more people would see a problem that is costing them to lose a lot of blood, and they would motivate IB to make TWS execute well, even when the market moves rapidly. I think that the constant flow of totally wrong info, from the IB help desk, prevents this execution problem, like many other problems, from being recognized and fixed.
Can anybody share some relevant experiences, to help persuade IB? If the helpdesk gave you explanations for your problems relevant to this order execution quality problem, please share them along with your underlying execution problem, because this may lead to proof that the explanation was untrue, and that would, in turn, help uncover the true size of this order execution quality problem. Praetorian2, I believe, from your recent thread about SMH at IB, you may be affected by similar issues. Did time and sales show that other market participants were able to execute their SMH orders, during the time intervals when you could not execute your own SMH orders via IB?
My goal, in starting this thread, is not to harm IB, but to give IB the feedback it needs to help it to do what is in the best interests of itself, its employees, its customers, and the markets, so that IB can be the best IB it can be.
- jimrockford