TWS Order Type: Pegged to ask unless dips 1% from close?

Love2Trade$

Love2Trade$

Hi ET!

I want to submit an order to short @ the ask unless the ask drops below 1% of the close? Is there an order type in IB TWS, another interface (NinjaTrader, etc), or even a clunky roundabout way of accomplishing this? Thanks for your help!

Example: Stock X closes regular session @ $43 last sale price. Bid is at $42.90 / ask $43. I submit an order to short @ $43, and my order will chase the best ask so long as it does not dip below $42.57 (1% below day's closing price) at which point it will either cancel my order or keep it set at the $42.57 ask.
 
Hi Robert,

That is what I do when it's not urgent. When I need to get in asap in after-market hours w/ low liquidity: I'm looking for something that is pegged to the best ask up until a certain % off of the closing price. REL, RPI orders come close, but they base the absolute cap off of the ask price - not the closing price. Anything you can think of? Thanks a lot!
 
Love2Trade$ said:
That is what I do when it's not urgent. When I need to get in asap in after-market hours w/ low liquidity: I'm looking for something that is pegged to the best ask up until a certain % off of the closing price.
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This makes little sense to me. Shorting at the ask in after hours, your chance of getting a fill is probably less than 0.01% in most stocks. That is the exact opposite of "getting in asap". Maybe you meant bid instead of ask?

Love2Trade$ said:
REL, RPI orders come close, but they base the absolute cap off of the ask price - not the closing price. Anything you can think of? Thanks a lot!
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I don't think you understood REL orders correctly. The absolute cap is just a limit price that you input (like with a limit order), it is not derived from anything else. REL with an offset of 0 and limit price at 1% below the previous close sounds like it would do what you originally described, though I believe it would almost never fill, and when it does chances are good you are getting screwed (adverse selection).
 
Something I don't understand about REL orders, maybe someone can explain this?

from the description:
For a buy order, your bid is pegged to the NBB by a more aggressive offset, and if the NBB moves up, your bid will also move up. If the NBB moves down, there will be no adjustment because your bid will become even more aggressive and execute. [...]
"Orders with a "0" offset are submitted as limit orders at the best bid/ask and will move up and down with the market to continue to match the inside quote."

This makes it sounds like offset 0 orders move in both directions in contrast to positive offset orders which they say only get more aggressive. However, how can this work? Say you are bidding and the market moves down. Your order is the inside quote, so by definition it always matches itself - what could ever cause it to become less aggressive?

EDIT: I think I answered my own question - IB can subtract you order's size from the NBBO, if the result is 0 then you are the only one at that level and can move the quote down.
 
cruisecontrol said:
Your order is the inside quote, so by definition it always matches itself - what could ever cause it to become less aggressive?
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Pegged orders are usually non display ... Otherwise they would themselves cause bbo changes. But I am not sure what IB is doing.
 
cruisecontrol said:
This makes little sense to me. Shorting at the ask in after hours, your chance of getting a fill is probably less than 0.01% in most stocks. That is the exact opposite of "getting in asap". Maybe you meant bid instead of ask?

I don't think you understood REL orders correctly. The absolute cap is just a limit price that you input (like with a limit order), it is not derived from anything else. REL with an offset of 0 and limit price at 1% below the previous close sounds like it would do what you originally described, though I believe it would almost never fill, and when it does chances are good you are getting screwed (adverse selection).
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Hi CruiseControl! In after-hours on volatile events the ask often drops fast & deep enough to where it is filled so I did mean ask.

I can manually calculate the limit to be -1% of close, but I am looking for an order type that will do that for me. REL absolute cap allows for selecting a % of the spread, but not a % of the closing price. Also, totally understand what you mean about the adverse selection. It is not a concern for me so long as I can set the % deviation from the market close price. Can NinjaTrader / Multi-Charts / etc do this? Any other IB order types of workarounds? Thanks for your opinion and the comments so far!
 
Robert Morse said:
What are REL and RPI orders?
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REL: https://www.interactivebrokers.com/en/index.php?f=613
RPI: https://gdcdyn.interactivebrokers.com/en/index.php?f=4509

@Robert Morse rt: Random unrelated question I meant to ask you: Is the order protection rule the one that protects against "trade throughs?" If yes, does the order protection rule apply to extended hours (pre & post market) trading? I read a random thread where you responded and I thought I read you say that these order protections to do not apply to extended hours trading. Is this one of the potential reasons I can not have my order filled despite offering a better bid/ask than another party whose trade did process? Many thanks for the help!
 
https://www.sec.gov/spotlight/emsac/memo-rule-611-regulation-nms.pdf

A trade-through is defined as the purchase or sale of an “NMS stock” during “regular trading
hours” (9:30 a.m. to 4:00 p.m. ET), either as agent or principal, at a price that is lower than a
protected bid or higher than a protected offer. An NMS stock generally means any exchange-listed security (other than listed options) for which consolidated market data is disseminated.
 
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