dst / def / dav / kostia / ibsoft - As it's been explained to me by customer service, an IB developer decided to reject orders for 5 minutes after equities close in order to avoid confusion about whether a newly submitted "DAY" order was intended to execute today or tomorrow. However, there have been a number of other order types that have erroneously become casualties of this policy. Here are a few examples of orders that should submit without issue, but instead receive an "exchange is closed" error until 4:05pm EST: 1) GTC with outside RTH = false - since the today vs. tomorrow issue is irrelevant for GTC orders, these orders should never be rejected regardless of submission time. 2) IOC with outside RTH = true - a DAY order with outside RTH = true correctly submits without issue during the 4:00-4:05 period. Why is an IOC order treated differently? There are other screwy things that happen during this period (e.g. OPG orders) but that should be enough to highlight the issue. Instead of rejecting all these orders (mostly incorrectly), why not just require that a GAT time be set >= to the next day's date for DAY orders that have outside RTH = false and are submitted after 4pm? That only leaves one very specific type of order which gets rejected without all this other collateral damage.
This is unrelated to the issue above but I didn't think it called for it's own thread, so I'll ask it here. How are SMART IOC orders routed? Just to a single ECN? First to darkpools and then to single ECN? Multiple darkpools/ECNs?
Still haven't been able to get an answer on this internally or externally. Would appreciate it if one of you guys could weigh in.
u got the answer to your 1st question in a PM but did not even bother to acknowledge. this board is full of takers.
Appreciate your interest in the topic and the PMs you sent (fairly sure I responded to a couple of them), but your suggestion of using GTD orders does not address the problem. I'm happy to go into detail as to why if you'd like.
Thanks for following this up. I haven't tested the GTC orders yet but just had an IOC order rejected as before (with an "exchange is closed" error).