Limit order traded through but not hit

Discussion in 'Order Execution' started by SideShowBob, Jan 24, 2010.

  1. I had a limit order with IB (SMART routing, not specifying anything about exchanges to use) which apparently was traded through on Thursday but did not execute. My order was sell @ 27.93 and the high of the day was 27.94 but my order did not execute. The price high was around 10 AM. How is that possible given the NBBO bullshit they supposedly have in place? Did IB screw me in some way? Not saying they did but I'm hoping someone could explain how another order at a higher price could go through without my order filling. We're talking < 1000 shares so my order was not a huge block order or something like that.

  2. Apparently this occurred with two different stocks, not just that single one. WTF is going on?
  3. JamesJ


    your limit was on market A, top was on market B obviously.

    no big issue...

    imagine it was 27.91/93 on various market, say on NYSE its 27.91/93 with an ask size of 1'500... Now someone buys 2000 shares at market price, and his order is (NBBO) correctly sent to NYSE... part of this order will be executed at 27.94 obviously, but your 27.93 limit order sitting at say BATS is not affected...

    Maybe the high was reached when there were many stop orders at 27.9 triggered.
  4. Hook the broker, if it was offered at your price you are entitled to at least a partial print.

    If an order came in, on a straight take with a market order you can be SOL.

    What volume traded at or below your limit price?
  5. Pulling up time and sales from Tradestation it appears only 300 shares traded above my limit price, although there were quite a bit more at my price. Guess I will be using market if touched from now on.
  6. Call the broker, maybe he'll give you a 100 share print.

    If I were you I would trade more liquid issues!
  7. These are all Nasdaq 100 stocks, you don't get much more liquid than that unless you trade the Dow or maybe SPY or QQQQ. Just my bad luck apparently.
  8. You're not going to get a settlement from IB for this. SMART routing has it's advantages and disadvantages. Generally it works out OK but on occasion the algorithim they use places your trade at the "wrong" exchange (i.e. the one where your order could have been executed). If they could only read the future, they would get it right every time.
  9. dude it happens all the time.
  10. Only the top of the book is protected. What could have happened was that there was 100 shares offered on say ARCA @ 27.92 and 100 shares @ 27.94. If the order went to ARCA and was a market order for 200 shares, it would hit 27.92 @ ARCA which is the NBBO, then go to 27.94 on ARCA. It does not have to go to your exchange although it is a better price as only the top of the book is protected.
    #10     Jan 25, 2010