IB, Globex and Limit / Stop Orders

Discussion in 'Retail Brokers' started by aphexcoil, Sep 25, 2002.

  1. Def,

    I am currently putting some finishing touches on my autotrading program that does rule-based automatic execution of order management (autosetting of stop loss and limit order upon status being "filled" -- autoscaling in and out upon boolean rule base procedures, etc).

    Here is my question:

    When a stop loss order is placed during daytime hours on Globex, is that stop sent to Globex or merely a MIT order on IB's computers that is sent to Globex when that price is hit? I am sitting here right now looking at a "blue" status bar next to the stop order that was just placed at -1.5 ES from the original contract fill price.

    Also, the limit order was also put in at the same time for +1.0 ES points. Is the limit order sent to Globex, or is it to just placed on IB's systems until the market hits that price, which then is sent to Globex as a limit order? I have a "green" status light next to this one.

    The reason I ask is because I am concerned about pass-thru bid/ask issues. If the order is sent, it may be possible to be filled on the ask when trying to sell and filled on the bid when trying to buy -- if the orders are sent into the que at Globex.

    So, I guess my question comes down to this -- during market hours, how does IB handle stop and limit order with respect to Globex, and why does my limit order have a "green" status light and my stop a "blue" status light?

    Question #2: I don't see any OCO/OCA order status in your developers kit. I assume it is up to the programmer to tag orders that should be OCO/OCA and have the program terminate the other OCO/OCA order when another is executed -- is this correct?

    Thank you!
     
  2. def

    def Interactive Brokers

    i believe stop orders for globex during day time hours are native haven't kept up to date on that) I can't answer questions about programming the API as I do not know. questions should be directed to our help desk or the IB message board on our website.

    all limit orders are sent to an exchange.
     
  3. Def,

    Thanks for the fast response. I'll e-mail the help desk.
     
  4. According to my broker Globex (at least for ES) doesn't accept stop orders - only stop-limit orders. I am only quoting what I've been told, so perhaps someone else might be able to (dis)confirm this.
     
  5. def

    def Interactive Brokers

    you're correct. stop limits are simulated
     
  6. def - just to clarify for me please:
    I had thought stops were simulated but stop-limits not. Are you saying that stop-limits are also simulated?
    thanks
     
  7. def

    def Interactive Brokers

    sorry, my error. that's what I get for posting quickly during a busy day.

    i stand corrected but until an official announcement is made, i'd like to hedge my comments that since nothing official has been said in regards to native stops, things are subject to change.
     
  8. Last time I looked into IB regarding stop orders, they only held such orders locally on their own servers i.e. your order is NOT sent directly to the CME servers where it would be timestamped/queued/prioritised accordingly. In effect, IB only sends your order to the CME after the stop price is touched. This explains the difference in colour (i.e. their limit orders ARE resting on the CME). There are three huge problems with the way they handle stop orders (in my opinion):

    - The extra few seconds delay in execution means a much greater likelihood of slippage. At $12.50 a tick in the ES ...this kinda deflates the commission savings of IB.

    - Your order is prioritised at the very bottom of the pile compared to other stop orders at that price, which are already resting on the CME servers. You get your fill only after everyone else has got theirs. In fast markets ...lookout, you can get creamed!

    - IB depends on their own datafeed to tell them when the stop price has been touched. If they've got datafeed problems at the time the price gets hit ...their system won't know that it needs to fire off your order. You can go unfilled. Yikes!

    I need my stop orders to be resting on the CME servers. Only that way, are all these risks eliminated. For this reason, I gladly pay an extra buck or two commish to a firm that has software whichs lets me do this.

    It may be right that (technically) stop orders are handled as simulated stop-limits by Globex. But don't let this confuse or distract you. The issue is simply this ...is your "stop" order physically resting on the CME's Globex system or is it not. At IB it is not (least, not when I last checked).

    My business will always be with another broker until they fix this. Just my $0.02.
     
  9. Green means your limit order is active. Blue means your stop has not been triggered yet. When it is triggered, it will turn green. It seems like this will be the case regardless of whether your stop order is native to Globex or not. However, since no one really knows if IB stops are native on Globex, I could be wrong. I'm not sure you can imply that a stop is not native to Globex just because the color bar is blue.

    You can use OCA orders with the API.

    Carl
     
  10. def

    def Interactive Brokers

    stop orders are in the process of going native to globex (they may already be native. i need to confirm this).

    neverthelss, sim's comments are somewhat misleading. he mentions seconds upon a trigger when in fact it is milliseconds.

    also you're also assuming that the market will always go against you quickly when you have a stop. slippage - if any - can go for you as well.
     
    #10     Sep 25, 2002