Detailed explanation of the mysterious IB cancel / replace, bug that moves orders to the back of the queue: Market is quoting 50.05 / 50.06. I have orders on both sides, limit buy at 50.05, limit sell at 50.06. One orders is filled. The other is mysteriously cancelled, then resubmitted, putting it all the way at the end of the queue. ... It looks like IB internally handles opening and closing orders separately, and for some reason does a cancel / resubmit to the exchange when it's changing over. (One of the orders becomes a close when the other is filled). The result for customers is adverse selection on the closing order, through the time priority process. Any customer should be wanting size behind them, and certainly do not want to be the last in the queue on a price step Unfortunately, being last in the queue is exactly what this cancel/replace process causes. I hope the fix for this is something simple, because this situation makes a whole category of algo trading strategies unprofitable.
To be specific, the issue is the requirement that short sales are flagged appropriately. So if you are flat and place a two sided market, the sell order needs to be flagged as a short. However, if you are filled on the bid, it is no longer a short sell and thus the order needs to be re-flagged. We are in the process of confirming whether or not there is an alternative to how we handling this situation.
I'm experiencing some TWS login problems since Friday, April 30. When I try to login, the first 2 or 3 security codes get rejected as 'incorrect', the third or fourth one then works. I'm pretty sure that the reason for this are not typing errors, and the security device also seems to be ok. After a successful login, the behavior disappears for the remainder of the day. The next day, it returns. I've noticed this behavior on Friday, yesterday and today. Anybody experiencing the same? (I have not contacted CS yet, because it's always a hassle and I also fear that any 'fix' might mess up things even more, leaving me without a working TWS.)
seeing last price not updating in tws (low volume stocks) even though time and sales window shows the trades. anyone else. running a slightly older tws than recent release
"BookTrader" / DOM view: Column widths that are changed (in order to be able to see all digits of price and volume data): TWS forgets the settings after restart and even sometimes after minimizing the window. That makes it necessary to readjust column widths manually over and over. The bug is stable over all versions (now running build 924.3a).
Around 2pm Sydney time, 26/04/2012. Holding 16,053 shares of ASX.AGS LONG. Order to sell all 16,053 at $0.365 Order had worked to the front of the queue [this took a long time]. Now I amend size DOWN to 8,053. [This should not affect queue priority]. The order is suddenly sent to the back of the queue [!!!]. ... No short sell flag involved so this is pretty clearly an IB execution bug. Does IB plan to fix this? Edit: Ticket logged as T801018.
not sure you're looking at it correctly. the offer was higher than that print just before it hit the tape. all kinds of crazy shit happens with small thin names, and not just at the close.