3 seconds executing stop order on HKFE -- IB

Discussion in 'Trading Software' started by shliang, Dec 6, 2007.

  1. shliang


    Anyone noticed similar problems on HKFE with IB? This is not the first time.

    Trail is something like:

    14:49:42 Deactivate SELL STOP aux. 29774

    14:49:42 Acknowledged by exchange to SELL 1 contract HSI

    14:49:45 SELL 1 contract HSI at 29763


    The first time I called IB customer service and the staff said the order was sent several times.

    The second time I called, the staff told me the order was submitted only once and HKFE responded with a delay more than 2 seconds.

    Since there's no MARKET order on HKFE, a LIMIT SELL at 28880 (which is 29774 * 0.97) was sent.

    But the price was 29771 at 14:49:42/43, why the order was not executed the first time available on HKFE?
  2. shliang


    Last time I noticed this situation, the delay was also 3 seconds and my SELL STOP got 9 points slippage.

    HSI has been very volatile these days and usually B/A is thin. But that time there are 30+ contracts and I saw the price moving down incrementally in the 3 seconds.
  3. shliang


    and in both cases, my execution price is at the extreme low for a short interval.
  4. gangof4


    happens to me all the time with IB and stop limit orders. they will blame anybody and everybody but themselves regardless of what time and sale says. many times i've canceled an order, had the cancel accepted/acknowledged by the exchange, and then been executed anyway 2-3 seconds later= huh?!? some of the many reasons i am less than happy with IB and yearning for an alternative for the HKFE....

    btw... i had an 8 second delay twice yesterday between submitting orders and having them turn green. as you know, 8 seconds in HK is like a minute in the ES! pretty horrendous...
  5. shliang


    gangof4, thx for the reply

    8 seconds! i had similar problems too. Yesterday 14 seconds to move a stop order.

    i'm thinking of checking bid/ask flow data provided by the hkex.

    since i use STOP exclusively for exit regardless of trade profitability, such delay is horrible for me.

    if as they say they simulated market order with 0.3% offset, my stop order would really standout, i.e., a LMT SELL at 29910 when current quote is 30000.

    btw, i'm in hongkong and my account is configured to use the hongkong server.
  6. inPeace


    it just comes into my mind that, will it be better if we use a stop limit order with tools like bracket trader?

    maybe it's naive to think IB server would be faster in transmitting lmt order. but i think just try try. no loss.

    btw, i have similar experience and my tickets already 100 years old antique waiting for feedback. it's hard if not impossible to change IB whatsoever.
  7. def

    def Sponsor

    I just looked over our histograms for HK and don't see any extreme latency or any latency over the norm for that matter.

    The HSI did have a range of over 1000 points today and the futures were very thin and moved around in 20-50 point clips at times. Without looking at the audit trails I can't say for certain but I wouldn't be surprised if the order that was sent to the exchange when your stop was triggered didn't get a fill and had to be resubmitted at a lower price.

    If you send me a PM of who you contacted on the CS desk, I'll make a point of looking over the audit trails to see if I can figure out what caused your delay.

    Of note we have a number of very active individuals and institutions trading HKFE products via IB who we talk to regularly. They've been pleased with the speed but probably don't use stop orders which is where your concern seems to focus.
  8. def,

    I also wonder if instead of using stop orders they could use stop limits with a limit 100 points from the stop ... what's the max?

    That way they truly control their own destiny???
  9. def

    def Sponsor

    possibly but to be fair, we should be doing that via the simulated market orders. we just need to go over the audit trail and if necessary, make recommendations to programming to improve the algorithm.
  10. shliang



    Thx. I didn't ask the names of the staffs who answered any calls.

    In the first call, a female officer told me that the order *might be* submitted several times.
    But in the 2nd call, a male officer said the order was submitted *only once* and the delay was totally due to HKFE (it's about 5 o'clock in the afternoon, and seems he's hurry to getting off). He's also *not sure* that MKT orders are offset by 0.3% to current price.

    I'm a little confused here. If simulated MKT STOP is 0.3% offset to current price, which is more than 80 points these days.

    I am definitely sure that during that 3-second delay, the price didn't fall more than 15 points. Why the LMT order was not executed immediately if my ASK price was more than 65 points lower than the best BID? Why does IB server need to submit the order several times?

    So there must be something wrong in the above logic.
    #10     Dec 7, 2007