IB Market Orders--ES

Are IB Market orders completely filled immediately at more than one price level if needed? It appears that when I placed a futures Market order for ES it received a partial fill at the best available price getting all of the contracts available at that price, then the remainder of the order waited at that same price for the market to come back in order to fill the remainder of the order. Was my observation correct? Do IB Market orders NOT fill immediately in their entirety but rather wait at the initial best price for the entire fill? And if yes, is this mentioned anywhere in the TWS manual or on the IB Web site (I can’t find it)? I asked IB support and their reply was not clear. If anyone can shed light on this it would be appreciated. Thank you.

 

It's not about IB, it's about the CME.

Market orders are filled at best possible price as much as possible with remainder entered as a limit order at the price of the market order fill.

See the following link on CME's website concerning globex order types:

http://www.cme.com/trading/get/abt/enterorder987.html

And yes, I know that IB's website says that market orders are simulated on Globex. But I think they mean outside of regular market hours for which the CME does not natively accept market orders, only limit.

See CME's glossary under Globex order types and note when they don't accept market orders.

http://www.cme.com/edu/course/resources/glossary.html?letter=G

 

ddunbar, thanks, that’s exactly what I was asking about and your thorough explanation clears up everything. Much appreciated. But I’ve been trading long enough to know that the market doesn’t ALWAYS come back, so do you know how I would place a “true” market order?

 

You were reading the "Market-Limit" (IB's MTL) order type, not Market.

Native GLOBEX market orders effectively become limit orders at 50% of the no-bust range through the other side of the market. So, for example, if the no-bust range is 12 points, buy market when the offer is 1280 becomes a limit order to buy at 1286.

IB's website says, however, that GLOBEX market orders are simulated. Simulated market orders operate similar to the above, except that the amount through the market is smaller (0.3% if I recall correctly - I can't find it) and it will continue to reprice if needed.

I don't have an explanation for the original poster's experience, unless it was an MTL, not an MKT order. Ask IB.

 

A common workaround and one offered by the CME is to use a limit order in this manner:

Say you're looking to buy to open a position. The ES is currently @ 1230.50. You're willing to pay as much as two ticks more. So you enter a limit order to buy 500 ES @ 1231.

You get filled 350 @ 1230.50, 100 @ 1230.75, and 50 @ 1231.

Completely theorethical as you may get filled entirely @ 1231. But the upside is, it's like a market order with protection. At least you know the most you will pay. In a fast moving market or @ a breakout, you could do worse with a market order.

To sum up, using a limit order above (for buys) or below the market price (for sells) to ensure you get filled as much as possible.

Using a fill or kill order qualifier tends to make you miss a trade altogether.

Fill and kill order quantifier can help. If you really want to use a market order. Puts sort of an urgency on it. The only difference though between market order and market with fill and kill is that the fill and kill doesn't leave a limit order on the unfilled quantity. It just kills it. Leaving it up to you to go with what you've got or enter another market order for the remainder.

 

Yes, you're right in the sense that the outcome of his trade would be the one indicated by the MTL. MTL (market to limit) is native to the CME's Globex which they(CME) refers to as "market."

Going to need IB to chime in about what they mean by a simulated market order is on Globex. If the original poster did enter a market order and not MTL, then we can assume that at least during RTH, IB is using Globex's native order type MTL.

 

Thanks again ddunbar and alamn, and sorry to pursue this further but I need to get this straight and you’ve both been a big help. On a related issue, I’ve been trading the large SP in the pit a long time with another firm and recently moved to IB and switched to the mini ES. When I placed a stop loss order for the big SP in the pit I was always immediately filled (albeit sometimes quite poorly). I can afford a loss; I can afford a large loss, but I can’t afford an unlimited loss. As you know, a stop becomes a market order. How do I place a stop-loss order with IB in ES and get the best available prices at the time that price is hit regardless of what those prices are? In other words I need to be assured of a fill with my stop loss orders regardless of price and it does not seem like simply placing a stop order with IB in ES will do that. Is that correct?

 

Use a stop limit order. Set your trigger x amount of ticks away from your limit.

Ex. SELL STL order with 1230 limit 1230.50 stop. As the market falls and triggers the STL @ 1230.50, the limit order comes on the books and will be filled @ 1230.5 to 1230.

Big downside of this is gapping through your STL. For ex., last trade was 1231. Next trade is 1229.75 and continues from there. Sure your trigger was triggered. But a limit order is placed @ 1230 which is .25 above the market.

You could always wided the gap between your stop limit and trigger price to take into account such gaps. You'll still get filled somewhere near your trigger price. And more importantly, you'll should get all quanity filled provided that the market doesn't move so fast as to make your limit become above the market.

Anyway, this is where a straight stop comes in handy. I know what you're thinking. You're thinking that you might not get a full fill on your stop and the rest might become a limit order, right? That might be a very real possibility using a straight stop unless IB's simulation continues to re-enter the unfilled portion at the market until you are completely out.

 

Thanks for another good explanation, but I’m still missing something here. Why can’t a stop be a stop? What’s the problem? I know the risks. When I place a straight stop-loss order I am not placing a stop-limit order. So then why do IB and/or CME change my order to a limit order? If I wanted to place a limit order I would have done so, right? Can we confirm that IB’s simulation will continue to enter the unfilled portion of a stop order at the best prevailing prices until filled? Given my personal observations of IB’s market order fills, I have a feeling it may not work that way. Does anyone on this board know for sure?

 

Stop can't be a stop because the CME doesn't accept stops on the Emini ES. Only Stop Limit.

As far as confirming whether or not IB will continue to enter unfilled order at prevaling prices until filled on a simulated stop, I would suggest PM'ing IBsoft or def. According to IB's literature, it appears so.