Limit orders on US Treasuries

Discussion in 'Interactive Brokers' started by ETtiger, Jan 12, 2021.

  1. ETtiger


    I'm having a frustrating experience with using limit orders on TWS for US Treasuries. Today I was trying to sell an existing T-note (price ~$105.15, order amount ~$2 million) with a relatively narrow spread (0.01-0.02). So I placed a limit order at the midprice since the midprice frequently seems to end up being the Last price, but I was not able to get the order to fill. I then updated the order's limit price to well below the midpoint multiple times but still no fill. Several times, I even saw the bid fluctuate and exceed my limit price but still none of the order had filled.

    For comparison, I also submitted a market sell order for a small amount and it filled at the bid price.

    Am I doing something incorrectly? I don't have this limit order issue with trading ETFs or stocks but am new to bonds (and unfortunately there is no Adaptive order option for bonds). I don't want to pay the entire bid-ask spread on a one-way trade, especially when the Last price seems to indicate that orders are often filling at the midprice.

    Thank you.
  2. Dicer


    did you use any IBAlgo?
  3. ETtiger


    No, I would like to but I don't see algo as an option.
  4. Dicer


    you should check where your order was sent. Probably, you were looking at the place A price while your single order was routed to other places.
  5. ETtiger


    I believe it was SMART. The other option was SMART (IBKRATS).
  6. Dicer


    Then check the SMART setting and see which option you selected (eg. Maximize rebate? Maximize fill rate?)

    Go to TWS Configure setting and check.
  7. BobG


    Unfortunately, on web forums, there are always people who rush to "answer" questions but don't have any actual knowledge to offer.

    As Etiger might have already figured out, there's no such thing as "routing strategy" on a bond order at IB. Dicer's suggestions might be useful for a stock trade, but not for bonds.

    I posted about a similar problem I had using IB for a bond trade and also didn't get any useful suggestions.
    Dicer likes this.
  8. Sig


    In the past you actually had to offer better than the bid/ask for treasuries at IB in order to get a fill. There was something I vaguely remember about a setting to show you adjusted vs actual spreads, you might want to do a search here for more info.
  9. Dicer


    First time to know there is no routing algorithm on a bond order at IB. But yes, you are right. I was just trying to help at that time. I am only experienced in the US equity mechanism.
  10. ETtiger


    Just an update - I tried selling my same position at limit midprice on another day and it worked this time (though it's possible this order filled due to price fluctuations than truly selling at the midprice - hard to say since price was fluctuating fairly rapidly at that time). I had checked the SMART preference in TWS and it was set to the default SMART Multipurpose, but I guess this doesn't apply to bonds anyway.
    #10     Jan 18, 2021
    Dicer likes this.