IBKR TWS Stop with protection for stocks, execution priorities?

Discussion in 'Order Execution' started by katrx84, Jul 16, 2021.

  1. katrx84



    I was browsing the forums to try and find how what kind of stop order would be best for an hypothetical flash crash, in this case, for the IBKR TWS platform. I'm aware of stop limit orders, but a limit order once the stop is hit is not guaranteed execution if the price dives (or spikes) right through your limit.
    In a somewhat related thread, @Robert Morse mentioned here "Stop Order with Protection" (on TWS, STP PRT order). The relevant documentation from IBKR illustrates its use for futures, GLOBEX but is somewhat unclear about its use elsewhere.
    Does anyone knows if "Stop Order with Protection" available for stocks, besides futures?
    If not and a regular "Stop" order is all one has, what kind of execution would one expect for a market order? Capped to the bid (or ask), or a brokerage would be free to sell it at any price, whatever that might be, regardless of how preposterous?
    Finally, any of you gentlemen (and ladies) use any specific IBKR TWS algorithm to prioritize execution speed at all costs, even at detriment of price?
    Many thanks for your time.


    P.S.: perhaps this should've been posted under the IBKR company specific forum but it was relative to stop orders in general, albeit some IBKR TWS specifics are mentioned. Admins feel free to move it if you feel it would be appropriate.
    Last edited: Jul 16, 2021
  2. IMV, you're being "penny wise and pound foolish"... that is, carping about a fill on a stop order.

    Stops are all about preserving capital. You don't necessarily get to "measure it to the tic". In a panic situation, you hope to get out "decently", with no guarantee you will.. as you already understand.

    You know about a "stop limit" order and how that can protect you least when you might need protection most.

    KISS, baby!

    Last edited: Jul 16, 2021
  3. katrx84


    @Scataphagos thanks for replying. I understand i would want to get out of an eventful situation fast and i don't have a problem with that per se. I was wondering mostly if in such an event market orders are filled at any price. I.e, you're long on X being traded at $100, an event happens stock crashes 30%. You had a stop market at $95.
    The price you get is going to be an arbitrary price between your order being triggered and being filled, that is, if it crashes to $70, you can get any price from $70 to $95, depending on speed of execution? Are there algorithms to ensure in an event your order is filled with maximum speed to the detriment even of price? And do the exchanges impose limits so that orders cannot be filled at greater than Y offset from bid/ask, even in market orders? That is, can market orders be rejected from being too far away from bid/ask?

    That being said, you're absolutely right, i would want to get out fast regardless of price.
    Last edited: Jul 16, 2021
  4. lindq


    You're asking for some type of certainty when price is crashing and you want to exit. But there is no certainty, and a broker will offer none.

    I've never seen an order type that says: Fill me first in the event of panic.

    Two of the biggest factors are going to be the volume of the instrument, and the size of your trade.
    katrx84 likes this.
  5. katrx84


    That's a good point. Thank you for sharing your insights.
  6. You can check this yourself at IBKR's website. They have an overview of all exchanges which are available. For each of these exchanges is an overview available of the order types which are available natively, and which order types are simulated by IBKR, for that exchange.
    Let's run an example, for the US: https://www.interactivebrokers.com/en/index.php?f=1562&p=north_america
    Let's look for stocks on NYSE: https://www.interactivebrokers.com/en/index.php?f=2222&exch=nyse&showcategories=
    Now click on "Order Types - Click to Expand" to see an overview of all available order types.
    katrx84 likes this.
  7. katrx84


    Thank you, i wasn't aware of this, although i did browse their documentation. Cheers.