Please explain your understanding of IB stop order execution logic

[ddunbar]

Quote from kostia00:

The exact behavior of the simulated stops is as follows:

- for the "Last" trigger method, the last price must reach or penetrate the trigger price. At the same time, the last must be within bid/ask spread or not more than 0.5% outside.

-Please also note that for US stocks IB uses aggregated best bid/ask and last to trigger stops (even if the order is directed).

Cool. I wasn't that far off in suggesting that the last trade implied a bid. If the last trade was up to .5% outside the last published bid (leeway) and IB uses aggregated best bid/ask, that means the last trade would most probably have been inside the full schedule of bids/asks (implied). Outside of the leeway, it's most probably a reporting error.

 

[alanm]

Quote from kostia00:
... The second bid or ask must be at larger size, if it is at the same price. The bid/ask must also be not crossed.

Would anyone else object to adding the phrase "by more than $0.05" to this logic? It would seem that this would improve execution prices, particularly for stops that are triggered at reversal points, which usually result in at least slightly-crossed markets, particularly for listed stocks.

BRUT should also be ignored in the NBBO for now, at least until they fix their stale quote problem.