Stops are still lousy at IB

G

Grabbit

I read on this board ( http://www.elitetrader.com/vb/showthread.php?threadid=1991 ) that the problem with stops with IB has been solved. Well, it hasn't.
My stop was hit and crossed twice. Very narrow spread. Long position, stop at .53. The first time it did not trigger. The second time only after at least 15 seconds, when the bid had already dropped to .42 and the ask to .44. And then I got a bad fill again, .39, whereas the bid never reached .39.
And I've had far worse examples than this. I think there's a scheme behind this all. This is not a bug, this is a strategy.
A stop triggering off becomes a market order, and I hate the way market orders are being handled by IB. Ever tried one in the first morning hour? Well, don't. Chances are that it takes several minutes to get filled. Market order should mean "at the current best available price". At IB it means any price that they like, and any time that they like.
I'm beginning to hate them.

As soon as I can afford a better broker, I'll be gone from IB.
 
I will attempt no defense of IB's stop order mechanism. Enough people have complained about them to convince me that they must have some problem.

I am fortunate that my trading style doesn't require me to ever use them so it's a broker negative that has no effect on me. I also almost never use market orders (no matter which of my brokers I use) so I can't feel your pain their either.

>And then I got a bad fill again, .39,
>whereas the bid never reached .39.

(Ignoring the late trigger for a moment)
If it triggered when the bid was .42 and you ended up with .39, that's pretty darn tight for a market order. I've experienced much, much worse at any number of my other brokers (and thus I don't use market orders anymore).

JB
 
The jury may still be out on stops. I have tested 3 since the fixes were allegedly made last Friday and they have been triggered properly. Remember, the ask must print TWICE on NASDAQ issues for a long protective stop. I had one trigger after only one ask printed. Another on the NYSE took a while to transact BUT the order went green in IB's system on time so I blame the specialist/market for the slowness there. I use BEST for all my routing. I haven't heard from others here lately about this.
 
Babak,

I used Best ECN and got executed at Island.



Turok,

Getting filled at .39 when the best bid does not get below .42 makes me feel screwed (may I use that word here?) even if it's only for a few cents. And as said, I've had worse examples of this.

My irritation concerns mainly the fact that the problem was said to be solved, I just don't see no difference.
 
>I used Best ECN and got executed
>at Island.

>Getting filled at .39 when the best
>bid does not get below .42 makes me
>feel screwed

(once again, my comments don't address any "late trigging", but only the fill quality of a market order)

With the information you have now given us it is easy to see that your market order was most likely filled just as it should have been. If you used the BEST_ECN route it could ONLY fill you at the price of the best ecn at the moment of execution. Quite often, the best ecn ISN'T on the inside and you were likely given the best there was given the routing restrictions that you placed on the order.

Hate to be blunt here, but if you live in a trading world where you "feel screwed" when you get a .39 ecn fill on a .42 NBBO inside bid -- well, I'd love to find a world where liquidity is such that I could be warranted in feeling that way in that situation.

JB

 
<<If you used the BEST_ECN route it could ONLY fill you at the price of the best ecn at the moment of execution. Quite often, the best ecn ISN'T on the inside and you were likely given the best there was given the routing restrictions that you placed on the order. >>


I assume that if I set a stock at BestECN, the prices in TWS are the best ECN prices, and that better prices at marketmakers are not shown.

Is that a wrong assumption? (I'm actually pretty sure it isn't)

Furthermore, I have no complete Level II screen, but QuoteTracker's Archipelago, also showing REDI and Island. And I'm pretty sure that .42 was the best bid and that it did not go under that. Things like this have happened before, so I was keen to remember exactly what was going on. Best ECN was at the time my stop went off .42, not .39.

The 'Best' system does more silly things like sending an order to Island where it becomes the best bid or ask, while it can immediately be filled at say, REDI. Happened to me more than once.

And what about those 15 seconds before my stop went green?



 
>...the prices in TWS are the best ECN
>prices, and that better prices at
>marketmakers are not shown. Is that
>a wrong assumption?

No, that is a correct assumption, and my apologies since I always imagine a trader watching a LVL2 like I have. My bad.

>And I'm pretty sure that .42 was the
>best bid and that it did not go under
>that.

You can be right about this and still get righteously filled at .39 rather than at .42 I direct my own orders and it happens quite regularly that someone else grabs a posted bid a split second before my order arrives. In the case of my *limit* order, nothing happens outside this limit. In the case of your market order, you have given them the carte-blanch permission to fill you at whatever ECN level is next up at that moment. Due to latency (and a little bad luck), you could get filled a full buck or more outside what you saw on TWS when you pushed the button. The hazards of a market order.

>Best ECN was at the time my stop went
>off .42, not .39.

I believe you. Again, placing a limit order would have guaranteed that you got filled at .42, better, or not at all. A market order sets you up for any number of situations that will righteously get you a fill below what you expect.

>The 'Best' system does more silly
>things like sending an order to
>Island where it becomes the best
>bid or ask, while it can immediately
>be filled at say, REDI. Happened to
>me more than once.

(So now you would understand why I don't trust my orders to anyone elses algorithms -- not IB, not Protrader, not Cyber, not Arca, Not Redi, not Brut, etc. There is no BEST_ANYTHING algorithm -- it can't exist. I can give you routing example after routing example of situations that might be best for your stocks and your trading style but would frustrate the hell out of me and visa versa. Learn to route yourself, or pay the price)

The problem you describe as it relates to BEST_ECN posting to Island while Redi stands ready was very real and has been fixed (I've tested it). The problem still exists for Arca and Brut however. There can be no argument that this is not frustrating but it's not caused by any "bug" in IB's system, but is driven rather by a problem IB has been having with certain "non-inside" Arca/Brut orders getting lost in these ECN's systems. They were eventually able to fix the Redi issue and I believe they will do the same with these other two active ECNs.

If you come to know routing methods and mechanisms (and you can really only do this by routing your own orders rather than by using so called "smart" systems) you will see that your accusation that this sort of thing is not a "bug", but rather a "scheme" is quite a ways off the mark.

>And what about those 15 seconds
>before my stop went green?

Again, I'm not going to attempt to defend IB's stop triggering mechanism.

What exactly does your Quote-tracker data feed provide you for any given stock? This information would certainly help me help you.

JB
 
No need to apologize for having better software/data than others! :)

What level II info I get in QT depends on what provider I choose. I just get the usual stuff, ECN, size, price. And I know how to interpret what I see, and I don't always like what I see. BTW I did not post this topic to apply for help, but to complain and warn others who think that the problem with stops has been dealt with properly at IB. And I still think my complaint is justified.

<it happens quite regularly that someone else grabs a posted bid a split second before my order arrives. >

To the best of my perception, that was not what happened here. It may be possible however that orders came and went faster than any Level II screen could have shown. I agree on that. But bad fills have happened to me with larger differences. Some weeks ago I reported (somewhere on this board) the case where I got filled .20 below the bid, on a very liquid stock. That's what I call off the mark. Since that day I'm more suspicious. And we all know that dirty tricks are being played in this industry, so I think it's good to be vigilant.
It is naive to assume that your broker always works in your best interest as long as they are players on the market themselves too.

A market order is in a way indeed a carte blanche, but it is also based upon a certain amount of trust and confidence. If I get filled far away from the spread on a market order, I feel the confidence has been violated.

Thank you for your comments on best routing systems. My "bug or scheme" issue however referred to bad fills and stops not going off properly, not to the problem with ECN routing.
 
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