Question on Eurex Combo Execution

"Price Management Algo" -- just off the phone w/ IB, as I was wondering too ...

KEY: it's probably relevant only if you are trading over the counter or other relatively illiquid products.

At time of LMT order submit, if your limit level is outside the zone between the levels of the floor and ceiling of the market, market makers will often/typically cancel your order. You won't get filled.

The Price Management Algo estimates bounds of this zone when you submit an order to IB, and if your limit is outside the estimated zone, the Price Management Algo moves your limit order level to the estimated minimum level needed for your order not to be cancelled by the market maker(s). IB then submits your limit-adjusted order to the exchange.

e.g. if you submit a LMT LONG at 99 and then the Price Management Algo estimates a zone of 100 to 110, the algo will reset your limit level to the bottom of the estimated zone -- ie 100, to prevent market makers from cancelling your order.

So the trader who elects to use this feature is choosing to execute at a price not quite as good as the one speced in the LMT order, in favor of the priority of getting filled.

NB: the "Price Management Algo" is distinct from the "Price Improvement" algo at IB, which executes after the former algo.

When you enter an order, IB throws a pop up asking if you want to use this feature, and/or set it as a default for all orders. It's at the discretion of the trader whether to use this or not. As noted above, sounds like it's not particularly relevant if you trade highly liquid products.

The IB site docu on this is skeletal but in the opinion of the support person accurate; the above is transcribed from my call w/ the support person, in my opinion much clearer/useful than the IB docu.
 
Last edited:
time 16:29:52 CEST (10:29:52ET)

NBBO 29.25/30.05

48 size on the bid. I executed 1 contract only, stating DTB...!!! does not show anywhere...
it is not as much of economic damage for me but rather a moral disappointment wrt IB... ;)
thieves plain and simple.

That is really weird. Did you talk to IB about it? Ask IB to show you the trade log of exactly when and how the trade got executed on their end. The trade log should show you the exchange information besides the price during execution, date, time and etc.
 
Stopped reading at "I executed a market order"

Please stop complaining about IB unless you know what you're doing. You're just adding noise.

So interactive broker has no obligation to the nbbo but Etrade should make you whole on your borrow fees
 
No BD can be held on size. IIRC this was a one lot so yeah, they should adjust to the best bid at the time. Say you were selling 100 lot at mkt, no way you'd have any recourse.
 
time 16:29:52 CEST (10:29:52ET)

NBBO 29.25/30.05

48 size on the bid. I executed 1 contract only, stating DTB...!!! does not show anywhere...
it is not as much of economic damage for me but rather a moral disappointment wrt IB... ;)
thieves plain and simple.



Your screenshot shows the Exchange being blank/none, which indeed looks fishy, and looks like you were robbed in broad daylight. I wouldn’t expect this from IB. So I’d fight it.
 
Back
Top