After being with IB for about 20 months without serious issues (while the IB system is up and running), I encoutered the first serious issue with a malfunctioning of the IB system today. This is not to bash IB, but purely for informational purpose what can happen to a trader from time to time (as if trading itself was not not already stressful enough). This happened in Europe on Eurex. I did what I do every day when I put in an order for the open. I entered the market short briefly after the open (9:00:09 CET) with a 10-contract FDAX order. I was filled at 3874.5. Attached was a bracket order with a stop at 3888 and a target of 3866. Five minutes later the market traded through 3666 to 3661 and my target was filled, however, not completely. I received confirmation only for 9 contracts. I was still short 1 contract and the order itself showed only a partial fill of 9 contracts. I watched for some time. Then I tried to cancel the target order which only put it in pink status. I reported the issue to IB via phone immediately after the fact, at around 9:10 am CET. IB's help desk told me they needed to call Eurex to clarify. At around 9:30 IB called me back to let me know that Eurex had confirmed that the order had been executed in full and that they just couldn't find the execution details for the one contract remaining. Eurex promised to investigate further and to come back to IB. I was left under the impression that my order had been fully filled, that it was appropriate to not take action at that point, and that the remaining execution would show up on my TWS once the Eurex officially confirmed that it actually took place. At around 12:10 CET I still had not heared anything and called the help desk again . The response was "The Eurex has confirmed that the order had been executed properly in full and that they are still investigating the execution details of the one remaining contract. We will call you later when Eurex gets back to us." Four and a half hours after the initial contact (13:54 CET), the help desk called me to let me know that Eurex had confirmed that only 9 contracts had been bought and that I was still short 1 contract. Eurex said that they had received a request to change the order size from 9 to 8 after the first contract had been filled at 9:05:22. The help desk admitted that this change in order size had been initiated by IB. At this point the FDAX was at 3895. I finally closed the open position at 14:32:56 at a price of 3885.5. Had the order been filled initially at 3866, I would have avoided a loss of 19.5 points or 487.5 EUR. At the time of this writing the original target order is still present in my TWS with a pink status. The help desk person explained to me that IB's technical people had told him that the change of order size came from my TWS. In my view, THIS IS UNTRUE. Moreover, in my earlier conversations with the IB help desk, this was never considered to be a possible cause of the problem. Only after Eurex reported that there had been a change in the order size, it was suddenly me who was responsible for it. I do know for fact that I did not initiate any change of the order in question, neither directly via TWS nor indirectly via API. The help desk person himself said that he questions whether it is possible for the customer to change the order in between partial executions which lie within less than a second of each other. So, here I stand with a loss of 500 EUR because something in IB's system triggered an order change that nobody asked for. To be fair, this could have turned into a profit as well. But, well, that's not the point. I have e-mailed an official complaint to IB's management, but we all know the customer agreement...
This is the sort of situation where I'd like customer access to a complete event log rather than just an execution report so that the customer can discuss the situation competely rather than just guessing about times and orders. I'd like to see a log of orders transmitted by TWS, orders, cancels and modifiications transmitted by IB and reports of fills, acknowledgements and confirmations.
When I see something like that I'm thinking there's a bug in the the logic of how partial fills and limit orders are tracked by the IB server via the Eurex matching engine. Instead of decrementing the index which tracks number of contracts remaining in the order, it decremented the size of the remaining order. I smell a programming error. Just a guess howeverer. It would be a place to investigate.
Puffy, what you suggest makes a lot of sense to me. However, I do that same kind of trading on a daily basis and therefore encouter partial fills almost daily -- so far without any problems. So if it's a programming problem, it is either new or shows its effect only under special circumstances.
perhaps you still have the msgIn.t and msgOut.t files in your TWS folder (nb! they are cleared when you restart TWS). they contain actual log of FIX messages sent to/from your TWS client during the last session. i once found myself in a similar argument with IB help desk, and those files helped to clarify the situation. - jaan
The funny think is that when I mentioned the pink order status in my first help desk call I was advised to just re-start the TWS because this might clear the order from the TWS. However, the only thing that was cleared was the msgOut.t file, the order was still around. And I had not thought of saving the msgOut file before re-launch of TWS.
Dr.Bob: I encountered a similar problem last night (after midnight PST) when I attempted to close a short position of 2 DAX contracts and found to my chagrin that after closing the account, I somehow became long 2 contracts. I attempted to close the position manually but had to call the night desk to close with a loss of $400 Euro. I am still investigating the problem to determine if it was a case of "pilot error" or something that originates with IB. This happened at approximately 12:06am. Regards, Steve46
steve, that's interesting and gives a whole new twist to the story. My problem happened at 9:05:22 am CET. Yours happened at approx. 12:06 am PST which is, if I am correct, approx. 9:06 am CET. I.e., it happened at around the same point in time. In both cases orders were changed or generated by the IB system without user intervention. Makes me feel more confident that the problems lie with IB in this case. Too bad we will probably never be told the true story. Good luck with your case.