Trailing Stops @ IB - Unreliable?

Dr. Bob,
I tested it on the HSI Futures today, and it worked fine.

The first price on the trailing stop was generated from the first trade after the limit order was filled.

If you see the behavior that you mentioned, please take a screenshot, and send it over to the helpdesk - or PM me.

(double-check that you are also using the latest build).

Steve
 
Steve,

I just upgraded to 808.3 and tried again in the demo version what I described above and found the same 'mis-'behavior.

I cannot test on HSI, but I have experienced it in the past in live trading on the DAX future and now in demo mode on the ES.

Maybe you could run a test on ES yourself (demo and/or live).
 
Dr. Bob,
I double-checked this, and you are correct. This is the way that they have been designed to work. Auto-trailing stops are designed to be attached to limit orders that are not going to fill right away. If the limit order is marketable, you don't need to use an attached stop. Just submit it separately after you submit your limit order.

Thus, the order type is probably not suitable in your case where you are sending in pre-open orders with a limit price greater than the open price.

There's two solutions I can think of for your case:
1. using the TWS, try the conditional order type, e.g. send limit order before the open to buy at 1060. Send a trailing stop conditional on last trade <= 1060. However, your risk here would be that the the open would trade exactly at 1060, but not below. Thus, it may not be your bid that was taken out and your limit order could still be on the queue.
2. Use the Excel-API link, and you could program a trailing stop order to be triggered if another order was filled.
 
Personally, I would expect (and want) the stop to be set based on the fill price (as Dr. Bob suggests), not the limit price. Please consider changing this.
 
people, why aren't you using an execution platform for IB? i mean seriously? why even bother with this? some sort of s&m thing?
 
Steve, thank you for verifying.

I think it is telling that not even you (as an IB staff member) were thinking that this would be the way the attached trailing stop behaves.

So, how was a client to know? I guess that a fair share of the complaints about malfunctioning trailing stops on this thread and elsewhere is due to this "feature" and quite a few $$$s have been wasted because of it.

I don't think it does make a lot of sense to design it the way it works now, but even if it does, it can only do good if users do understand the way it is supposed to function.

One reason I use attached orders is to get instant safety and to be protected in cases of connection failure. So waiting for an execution and then transmitting a trailing stop (via API or manually) is not a viable option for me.

Also, there are markets like Globex where you would enter with a limit order with a "generous" limit instead of a market order to get into the market faster (at least some people say so). Attaching a tight trailing stop (for scalpers) would require a lot of extra care.

And what is the benefit of having a trailing stop that trails the original limit used instead of the actual market price? If you are filled right at the limit (normal limit order) you get the exact same behavior as from a trailing stop that trails the actual market price. But if (for whatever reasons) you happen to be filled away from the limit, it wreaks havoc.

So, like alanm, I think this design should be reconsidered.
 
Quote from Dr._Bob:

Steve, thank you for verifying.

I think it is telling that not even you (as an IB staff member) were thinking that this would be the way the attached trailing stop behaves.

So, how was a client to know? I guess that a fair share of the complaints about malfunctioning trailing stops on this thread and elsewhere is due to this "feature" and quite a few $$$s have been wasted because of it.

I don't think it does make a lot of sense to design it the way it works now, but even if it does, it can only do good if users do understand the way it is supposed to function.

One reason I use attached orders is to get instant safety and to be protected in cases of connection failure. So waiting for an execution and then transmitting a trailing stop (via API or manually) is not a viable option for me.

Also, there are markets like Globex where you would enter with a limit order with a "generous" limit instead of a market order to get into the market faster (at least some people say so). Attaching a tight trailing stop (for scalpers) would require a lot of extra care.

And what is the benefit of having a trailing stop that trails the original limit used instead of the actual market price? If you are filled right at the limit (normal limit order) you get the exact same behavior as from a trailing stop that trails the actual market price. But if (for whatever reasons) you happen to be filled away from the limit, it wreaks havoc.

So, like alanm, I think this design should be reconsidered.
More...

I will suggest it to the programmers.
 
Im sure IB is accurate with trailing stops. Im thinking what may have happend was that the price levels in the stock became very shallow with a huge spread and it triggered your trailing stop. I have had that happen a couple of times in the past.
 
i don't know about your methods of trading, but when i trade my stops are based on the market trend, not the entry price. i think IB has it correct on this one.
 
Funky,

You realize we're talking about _trailing_ stops, used for risk/money-management and protection on a pullback, right? This is not about stops that you might set at support/resistance levels.

If the market is 1020.00 - 1020.25 and I enter a limit order to buy at 1023.00 to make sure I get in, even with some slippage, I want my trailing stop set based on the entry price, not 1023. If that stop is set to trail by 3, it would be silly for it to be set at 1020 when I entered at 1020.25 or 1020.50.

With regard to your other comment, IB _is_ an execution platform, and a pretty good one at that. It's better at many things, and more reliable, than a widely-used proprietary platform that's praised a lot here.
 
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