I issue around 50-90 orders for stocks to be executed at MARKET PRICE in the opening cross on NYSE + NASDAQ/SUPERSOES with Interactive Brokers. Every day approx. 1-5% of all order get cancelled (Status color "red" in TWS) during or shortly after the opening cross. The way it happens is the order sits in the "Pending" page while the opening cross is underway. I can see the "C" (Close) right after the last price indication for the stock - So far so good, it should get filled as soon as the stock opens. Then, I see the stock actually opens, price is moving, bid + ask are moving but... where is the fill? It seems like my order was "forgotten" and now the TIF (OPG) doesn't match the current time (DAY) anymore. Therefore TWS "thinks" it is invalid? Shortly thereafter, for each of these cancelled orders I then get an "INVALID ORDER" popup in TWS. I tried to nail it down and try to find similarities between these occurences: - So far, this only happens to NYSE traded stocks. All my NASDAQ/SUPERSOES go through fine on the opening cross. - I checked if it could be related to odd/even lot orders. It is not. A 160 stock RIG order got canceled just like a 500 stock order for CAL did. - Average volume plays no role. I get filled on small 30k a day stocks while I do not get filled on RIG or CAL which trade millions every day. - I am using TWS 861, dated Aug 16 2006. Does anybody have suggestions on how I could "guarantee" to be filled, after all I am just doing MARKET + OPG orders and am not looking for a specific LMT price to be filled at. Sorry for the long post, I would appreciate any input!
i have the same problem too. i submit about 60 orders using OPG limit price every morning, about 10 got "invalid order" popups. i do not know the reason.