I asked about this error message in the TWS bug thread but just talked with a rep on the phone and got more information. I'm sharing it here since I think it's a dangerous policy they've implemented, and quite honestly I hope to generate some feedback that will cause them to rethink it. As it was explained to me, when a large number of orders have been sent from IB to a particular exchange, a risk management check kicks in and rejects any further orders from being processed on that server (which covers a range of tickers). I would assume the ticker range is done alphabetically but I could be wrong - doesn't matter. In short, your order will be rejected if other customers are trading "too" heavily in that range of tickers. The order rejection has nothing to do with your own activity, risk, position size, etc.. My example from today was submitting a MOC order to NYSE at 3:41pm. This left me with unwanted overnight risk. Luckily, today was slow so I didn't have many MOC orders to send to NYSE. On a busy day, this could have left me with dozens of unwanted / unhedged positions. Ironically, this risk management policy can create a lot of risk that you the customer will be left holding the bag for. When I inquired about looking for this message so I could try resubmitting the same order a minute or so later, I was told that risk manager would have to review and then manually override the rejections. This takes time and I wouldn't have been able to catch the close. That leaves you with the choice of unwanted risk or closing positions into wide bid/ask spreads. I assume the genesis for this policy was to prevent some kind of widespread Knight trading nightmare, but the odds of multiple accounts conspiring to create a situation like that seem incredibly small to me. On a per account basis something like this would make sense, but as far as I can tell it does not as implemented. My intention isn't to blindly criticize IB as is sometimes popular here, but to draw attention to a policy that I feel could have some major unintended consequences; a scenario in which both IB and customers lose. If anyone (especially from IB) wants to correct poor assumptions here or elaborate on the need for something like this, I'd appreciate hearing the other side. If not, perhaps the policy can be eliminated, tweaked, or at the very least properly documented so that a trader has a chance of handling this risk in a way that isn't costly or imprudent.
Interactive Brokers is subject to serious liability risk for cancelling orders in this fashion and I don't see how a customer could lose a case under arbitration for any money lost due to the missed MOC trade. Given that only customers that lost money will sue, this could cost Interactive Brokers a lot of money.