IB Globex stops

Discussion in 'Index Futures' started by stevene9, Aug 30, 2001.

  1. def

    def Sponsor


    I disagree that the $4 fee will pay for your implication that IB misses stops. You are assuming that fills will be worse. Slippage with the IB stops is minimal and I'm certain comparable to yours.

    IB's data feed is direct from GLOBEX and the CME. What bad ticks are you talking about? Besides, do you think that the Group has no experience in filtering out garbage?

    To make things clear:

    1. Stop limit orders at IB are encouraged but stop market orders are offered - the client can chose the type of order they desire.

    2. markets fluctuate up and down - native stops may trigger a fraction faster but there is no guarantee of a better fill. An argument can be made that native stops also tend to bunch up and push the market further up in the instant they are triggered.

    3. In any event, the point will become moot as IB should be moving the stops native to Globex if some new software supplied by Globex works as promised.
    #21     Feb 6, 2002
  2. "Stop limit orders at IB are encouraged "

    Why do you prefer stop limit orders over stop mkt orders? simply if we get a spike and the fill is bad? Personally I prefer the rare very bad fill to missing a fill alltogether if the mkt gaps and runs.
    #22     Feb 6, 2002
  3. I'm talking about the bad ticks generated by IB's quote vendor. IB does not use Globex for quotes, they use a third party, look at Stevene9's posts as to what Matt at IB said. This is why his stop was not activated even though Globex was through it. The reverse happened to dottom when IB's data vendor sent through a bad tick and his stop got triggered when Globex wasn't through his stop price. I know what both of them are talking about because we used to use PMB's browser based platform PMBe which did the same thing. It relied on a third party data vendor for quotes to trigger stops which would have the same two problems talked about above. J-Trader does not use a third party vendor for quotes, it uses Globex. Which isn't to say you still can't have bad ticks, because Globex does have bad ticks (maybe two or three times a year), but a data vendor will have their own bad ticks plus Globex's bad ticks. Also, if IB goes down that means your stop is no longer working since it was on their server.

    As far as stop limits you would have to ask IB if their platform holds the stop limit or if Globex does. I have a feeling they hold those also.
    #23     Feb 6, 2002
  4. We prefer stop limits - not to limit "bad fills," but because they are held at Globex and not our servers. If you are afraid of not getting filled with a stop limit, just place the limit price as a large "or better" order. That is what IB does with your stops anyway: when it is triggered they send Globex a "large or better order" because Globex does not accept market orders either. They brings up another issue many people do not know about - Globex does not accept market orders, your market order is converted to a limit order by your trading firm.
    #24     Feb 6, 2002

  5. yes I know all about mkt orders actually being limit orders. But my point is if u set the limit price and the mkt gaps and runs beyond that u r f*cked.
    #25     Feb 6, 2002
  6. Exactly, soset your limit price really far away! If you place a stop order now, IB converts that to a limt order probably abou 5.00 points away - so you can still be f***ed. Check with them to see where they place limits after stops are triggered. With stop limits you can make yourself less f***ed by placing the limit even farther than IB does.
    #26     Feb 6, 2002

  7. yes , but if they set the price after the gap that will be better than me trying to guess the size of the gap right?

    Btw I see Patsystems is having problems these days do you think they will survive?
    #27     Feb 6, 2002
  8. They don't set the price "after the gap," the price is set by adding X number of points to your stop price as soon as the stop is hit. So if your stop is hit and then the market gaps higher you will have a limit order still working.
    #28     Feb 6, 2002
  9. voodoo, given the holiday i haven't been able to confirm your questions regarding the order price. i do however believe your order will be handled the same for globex as it is for the other futures markets - i.e. what you send gets sent.

    In it's original format? In other words if I send a limit order to buy at 1555.50 it will immediately be sent to Globex as a limit order with that limit price?

    I'm asking because the IB website clearly states that when using Best Execution the limit price is changed, at least for equities. A few quotes:

    Cap to NBBO (National Best Bid/Offer) range
    Best Execution always searches for the best price in the market. In addition, to provide protection for market and through-the-market limit orders while increasing the probability of an execution, a price capping range is created. Since SOES, SuperSOES and the NYSE all accept native market orders, market orders routed to these venues are not capped. Limit orders at or near the market will never be capped at a price inferior to the submitted limit order.

    The capping rules are outlined below:

    For stock price <= $10.00 USD, increment NBBO by $.01 USD towards limit order but not beyond the limit order.
    For stock price >= $150.00 USD, increment NBBO by $.05 USD, towards limit order but not beyond the limit order.
    For stock price between $10.00 and $150.00 USD, interpolate from above rules.

    Short orders for the exchanges and ECNs are automatically adjusted by the respective market center to comply with "short sale uptick" rules. Orders for SOES, SuperSOES and Selectnet are adjusted up a tick by our order routing logic before submission.

    Example 1: A buy limit order at $9.25 USD with NBO at $9.22 USD is price capped at $9.23 USD.

    Example 2: A sell limit order at $152.25 USD with NBB at $152.35 USD is price capped at $152.30 USD.

    Example 3: A buy limit order at $152.25 USD with NBB at $152.24 USD is price capped at $152.25 USD.

    Example 4: A buy market order with NBB at $152.25 USD is price capped at $152.30 USD.

    Is this also true for futures? I noticed that you have a Futures Direct route. If limit orders are capped as described above, are they also capped when using Futures Direct?

    Also, for equities, are orders capped also when using Best ECN?

    What about Equity Direct?

    #29     Feb 6, 2002
  10. Good point. Maybe def can clear up exactly what the algorithm is.
    #30     Feb 6, 2002