IB TWS - pre-existing ES buy stop not executed in a rising market... any insights?

Discussion in 'Order Execution' started by late apex, Apr 7, 2004.

  1. Wondering if anyone else here has had a similar experience and, if so, how they've dealt with it. Until I can understand what happened, I will not be able to do any further trading through TWS in my IB account... and that's too bad. Kinda defeats the whole point of my bringing over part of my ES trading to IB a few weeks ago.

    Let me stress up front that I've already become quite a fan of both IB and especially TWS, so this isn't about bashing anyone or anything. If the problem was on my end, I'd like to know about that and take corrective action. If there's a bug in TWS that could affect many others, well, it needs to be identified and taken care of, right? Common sense. So, here goes...


    On Friday, April 2nd, a stop-loss, buy stop order for 1 June S&P e-mini contract, which had been entered into TWS, i.e., Transmitted, half an hour or more in advance, was NOT executed for nearly 4 (four) minutes as I watched the market, in real time, GRADUALLY, almost leisurely, move up through and then fully away from the buy stop level. In fact, the pre-existing buy stop was never executed at all, forcing me to cancel it and get another buy done on the spot, at a higher price.


    By 4 pm on Friday, April 2nd, I had gone nearly flat for the day, but was still short one contract from 1138.50. As always, I had routinely / simultaneously transmitted a stop-loss 3 points away:

    Buy Stop 1 ESM4 at 1141.50

    The ES GRADUALLY (please see below) moved up to and through 1141.50, then 1141.75, then 1142.00, yet the buy stop order has still not been executed at 1141.50 or 1141.75 or 1142.00. A corresponding "stripped" (of indicators) close-up chart, showing 1-minute candles of the last 15 minutes of that trading session, is attached (all times in EST).

    Now, for a slightly different perspective, here are some key time points from CME's Time and Sales for that day, taken from the official record at http://www.cme.com :

    15:05:11 first print at 1141.25 4m0s elapse (what's the rush?), then...

    15:09:11 first print at 1141.50 (=buy stop) 19 prints at that price during that minute; 1m58s later...

    15:11:09 first print at 1141.75 1m24s elapse, then...

    15:12:33 first print at 1142.00 the LOW is equal to 1141.50 (=buy stop) during that entire minute

    15:12:57 Although I am, well, rather stunned that after 3+ minutes, my buy stop is still just "sitting there" on my TWS screen, as the OFFER of the SLOWLY MOVING ES is now a full half point above the buy stop, I remain calm. I prepare a new buy order; once it's ready, cancel the non-working buy stop at 1141.50 in TWS; as soon as it's shown as cancelled, transmit the buy at 1142.00; it is filled immediately. I am now flat, having being forced to manually stop myself out... not a moment too soon.

    As you can see, it took 4m0s for the ES to rise from first touching 1141.25 to 1141.50, where my buy stop had been entered into TWS; further 1m58s -- from there to 1141.75; further 1m24s -- from there to 1142.00. Thus, it took a total of 3m22s (= 1m58s + 1m24s) to get from first touching 1141.50 (= buy stop) to 1142.00, in a very orderly fashion... this was not a fast market by any means... a slow, steady, almost leisurely (by ES standards) market. Also please note that the ENTIRE 15:12 - 15:13 one-minute bar rests fully ABOVE 1141.50, yet the buy stop at 1141.50 has still not been executed by nearly the end of that bar, a few seconds before 15:12:57. Clearly, something went wrong here.

    Let me stress that this issue is really not about the $25.00 additional loss ((1142.00 -1141.50) x $50.00), but rather about a very basic, core part of TWS' functionality -- namely, being able to rely on its ability to execute a pre-existing order in a timely fashion, once the market conditions for that order have been clearly met (minutes, not seconds ago, in this case). So far, I've found TWS nothing but a pleasure to use and, more specifically, every stop order, buy or sell, I have ever entered into TWS, has been executed as expected, when expected.

    Sorry for the rather long post, but I thought, details might be important to "diagnose" the ailment, whatever it might be. Any insights would be greatly appreciated.

  2. If you hadn't said that you'd been using TWS stops without any problems before, then I would have suggested the obvious: double checking that your stop order is setup correctly. However, you don't seem to have had any problems previously, so that's probably not the issue here. It would also be a big concern to me if my stops weren't working properly. The best suggestion that I have, would be to talk directly with IB about this, as this would certainly be one bug that would need to be fixed immediately. It would be helpful if you kept us up to date if/when you talk with IB.
  3. It almost seems inexplicable. Particularly since I've had my account there for several years now with no such incident. And with nothing personal intended here, what we usually find out when confronted with something inexplicable is that there was some type of order entry error.

    For instance, did you enter a "stop", or a "stop limit"? If you entered a "stop limit", what was the limit?

    Are you certain you hit the transmit key? Or did you enter in some other way (like booktrader, etc)?

    If you hit transmit, did the key turn blue? When the price hit your stop point, what took place on your order entry line? Was there any change or did the color stay the same?

    Have you spoken with IB? What did they say?

    In any case, you obviously need to determine what the problem was here. But the problem could have been a variety of things, not just an IB technical error. Of course, it could have been some type of technical glitch on IB's part....but again, I've never had that occurrence personally.

    Good luck with it.

  4. Are those stops held in the workstation's memory or are they sent to the servers that handle the trades?
  5. pspr


    I would guess that the problem was with the IB server not processing the stop properly when the price was hit. Also, possibly you never pressed the Transmit button. I've done that before.

    You should call IB and discuss the trade and try to get them to bust your cover price and give you your stop price. They will probably not make an adjustment as I have never been able to get them to pay for their mistakes even at threat of taking them to arbitration.

    In the future, use stop limit orders that reside on the Globex computers instead of simple stop orders that reside on the IB computers until the stop price is reached and then sent to Globex as a market order. Just be sure to set the limit several points away from the stop price so it will get filled even in a fast market.

    I experienced similar problems using non-native stop orders with IB. You can do a search on the ET site and find other threads on this topic.
  6. Hi Apex,

    Here is something you need to check on tws. Go to the cofigure tab and click on orders. Then click on stop trigger method. At the bottom of the window it will ask you if you want your stops triggered outside regular trading hours. If you trade before 8:30 am, ct or after 3:00, ct you will have to check the box. I had this happen to me trading the euro at 7:00am, ct. This may have been your problem,

  7. IBsoft

    IBsoft Interactive Brokers

    Sorry for asking the obvious, but did you contact the help-desk?

  8. Well, your replies have started to come in unbelievably fast... Really appreciate that.

    First off, most of that chart I posted has been "lost" in transmission to ET... presumably because its size was double the max (just noticed that, sorry). I've cut the chart down and re-attached it below. Please feel free to take a look at that chart instead. More to follow...
  9. Why wouldn't up until 3:15CST be considering "regular trading hours" for the ES?

  10. This just happened to me in the last few days as well. Frankly, I'm a bit surprised that the default setting is to NOT trigger stops outside of regular trading hours. I called the help desk when price moved beyond my stop without triggering it, and the first question they asked was whether I had this configured correctly. I guess it happens a fair bit...
    #10     Apr 7, 2004