IB Relative orders not working

Discussion in 'Order Execution' started by sbs17, Mar 29, 2006.

  1. sbs17


    Has anyone had any success using relative orders with IB? I have tried numerous times to use them and they seem to act like regular limit orders. I have tried contacting IB numerous times about this but no one seems to know how to use them.... They seem like a great idea, if only they would work.
  2. It does seem like a good idea... especially in concert with the API.

    Anybody using this feature?

    It must be very computer intensive to do constant cancel/replaces on a high volume stock.
    Maybe it's been discontinued.


    :cool: :cool: :cool:
  3. You need to give specific data as to what problems or behaviours you encountered when you tried to use specific orders; what executions you though should have or should not have occurred; including references to time and sales. This way, any flaw in your understanding of the order can be revealed and rectified.

    I believe that relative orders do work. I have used them extensively.
  4. sprstpd


    About 95% of my orders work correctly. 5% don't. I have given IB two examples of orders not working, but the problem hasn't been fixed.

    If all of your orders aren't working, then my first guess is that you aren't filling in all the fields properly.
  5. sbs17


    Perhaps I'm missing something in filling in the appropriate fields. Here is what I have tried.

    I click on the ask to bring a buy. The type is set to REL. Limit Price is set to the current bid. Offset amount is set to .01. That is all I do. Then I click transmit. I never see anything adjusting to stay with the current best bid.
  6. sprstpd


    The limit price is the cap price for the order. So if you say limit price of 50.0 with offset 0.01 and there is already a bid there at 50.0, you will just match because your order won't bid higher than 50.0. Now if the best bid was 49.5 at the time, your order would go in as 49.51 and would penny the best bid up to 50.0.
  7. I can't even get "REL" to be an option...
    And I've read the IB documentation 3 times... and tried many different ways of order entry.

    I doubt that this is useable for the low volume stocks I track...
    Because the bid/ask spread can vary so dramatically.

    Also, if the Specialist knows it's a "relative" order... he can take advantage of the situation.
    Probably only good for purely electronic markets.


    :cool: :cool: :cool:
  8. MR.NBBO


    Relative orders are functional here, but I do have one weird quirk.

    When the order adjusts to 'up or under' the other Bid or Ask, it'll often MATCH the price that was to be 'pennied/nickled-or whatever'....this being on the same exchange/ECN, so that you are actually behind that order at the same price.

    The only explaination I have is that both are relative orders held at IB, but the other individual entered their order first? -But shouldn't it still be a tit-for tat- pennying battle?
  9. Take another look at the IB documentation, which explains a set of rules to determine when to match the inside quote and when to penny in front of it.
  10. MR.NBBO


    Thanks, jimmy, will do.

    Ok, checked.:

    Relative Order Pricing Logic

    When you submit a relative buy (sell) order, the offset amount is added to (subtracted from) the best bid (ask) price and the order is submitted as a limit order. The pricing algorithm continually monitors the market and will re-price and resubmit a relative order according to the following rules: (these rules are written from a buy order perspective. For a sell order, reverse the direction of market movement.)

    When the market advances beyond the current order price and the time since the last revision of the order price is less than five seconds, the order is re-priced to match the market quote.

    When the market quote advances beyond the current order price and the time since the last revision of the order price is greater than five seconds, the order is re-priced to the market quote plus the offset.

    When the market quote equals the current order price, and that quote is NOT issued by the current destination or by SOES, SuperSOES or SelectNet, and the time since the last revision of the order price is greater than five seconds, the order will be repriced to the market quote plus the offset.

    When the market quote declines below the current order price, the current order price will stand.

    For example, if the market is $50-50.25 for company XYZ and a customer enters a buy relative offset of $.10, the order would be submitted at $50.10. If the market moves to $50.11-50.36 within 5 seconds on the same exchange, the bid would be resubmitted at $50.11. If the order is not executed in 5 seconds and the market moves to $50.15-50.40, the order is resubmitted at $50.25. If the order is still not executed within 5 seconds and the market moves down to $50-50.25, the buy order is left at $50.25.

    From IB user guide.
    #10     Mar 29, 2006