No, I meant what I said. Market = $2.80 Buy order in IB system at $2.75 (protective stop for a long position) Market gaps from $2.80 to $2.70 Buy order remains in IB system, unexecuted. IB "misses" the gap because IB triggers the order in a way where the market price must be within two ticks of your order's price. It's a ridiculous system. In fact, IB even informs traders their orders can be skipped over when the market gaps.
I got back this message from IB. "Order Issue ES - Globex I'm writing regarding your inquiry yesterday. 2015/07/24 15:28:37 SELL 1 ES 20150918 FUT 2082.5 GLOBEX Submitted The OCA handling method was CancelOnFillWBlock. CancelOnFillWBlock orders are not routed until marketable by design. If you don't use CancelOnFillWBlock for your OCA's then you would be immediately routed to the exchange. If I can provide any further assistance, please let me know. Regards, IB Trade Desk" My first question after I saw this was what exactly is a "CancelOnFillWBlock" and where is that setup in IB? Does anybody know what the CancelOnFillWBlock is and where is that configured in IB?
Go to TWS configuration. Type in "overfill" in the top left search input. Go to every single futures related order preset and validate that overfill protection is not enabled and partial fills are set to "reduced in size". e.g., presets for: Futures, Futures->Bracket. The general "Presets" is just one place this can be configured, you need to ensure the futures specific presets don't also have it.
Thanks i960! The issue was indeed "overfill with protection". I only turned this feature off in the FUTURE. For me, it also need to be done on the General "Preset" as well. Thanks again i960!
To be fair this is a rather obscure situation but they should take note of it so that people stop falling into this trap as its not commonly expected. There was another recent thread on this where another guy got trapped and had to call IB: http://www.elitetrader.com/et/index...able-limit-stock-order-handling-by-ib.291598/ Since we're talking about IB order handling, one might also consider configuring their stop limit orders to use a limit 25 ticks beyond their stop limit aux price and configure their brackets to use stop limits. This way their stops also reside on the exchange as both CME and ICE don't support native stops. I've taken some bad slippage before due to swift moves in CL and GC and the time it took IB's servers to get the quote and then fire off a stop. With a stop limit its exchange side and the slippage won't be nearly as bad. The 25 tick offset is to account for a reasonable range such that its far enough out there but within the protection band of the instrument. There is of course the risk that a massive gap wouldn't take you out but I do believe there's also that risk with the normal stops as well. The real fix is for exchanges to support native stop market orders so we can stop monkeying with this nonsense. SGX is one such exchange that does.
re: "I've taken some bad slippage before due to swift moves...." Knowing this, why on earth did you use Stop-Limits instead of just Stops ? If it blows thru your limit, you're hosed for a big loss.
Hi syswizard To be fair, IB did provide me the solution and sent me the the information that I posted on the previous thread. That information from IB support and the additional information by i960 where to check for this setting did pointed me to the correct solution.
I took bad slippage *due* to using stop market orders which are hosted on IB's servers. I haven't taken bad slippage due to stop limits. This is why I use stop limits with a broad range (approaching the protection band) now - as IB is simply sending the same thing with a simulated stop order. The difference is my stop limit is on the exchange and will kick in much faster than it takes IB to get the current last and submit a stop limit.