Market Order slippage using TWS Interactive brokers IB

Discussion in 'Order Execution' started by Viper101, Dec 30, 2008.

  1. Viper101


    Ever time I enter a trade using market order it gets filled 1 cent away from the bid/ask. If this normal? Shouldn't I get filled at the ask/bid. Is this slippage? Is there a setting in TWS I can change?

    e.g. 13.34/13.35
    market buy will get filled out $13.36

    This only seems to apply to entering new trades.

    Also If I try and buy at limit $13.35 again it gets filled at $13.36.

    Anyone else experience this issue?
  2. What does your TWS audit trail show for order type and order price?

    How many shares are you trading?

    Are you looking the the fill price without the commission?

    If you put in a limit order to buy at $13.35 you should never get a fill at $13.36. You either get a fill at $13.35 or better or no fill at all.

    I have never had a limit order on TWS fill at worse than the limit price.
  3. tigerwu


    1 penny commission?
  4. jetbird


    Maybe those bid/ask orders are "all or none"... So you would not get fill unless you could match their size. I'm not an expert on this.
  5. If you're entering a market order, you can get filled anywhere, depending on how fast the market is at that time. You absolutely will not get filled at the bid/ask on all your market orders.

    If you thought a market order means you're going to get filled at the bid or ask price which shows at the moment you enter the trade, you need to do some research before you continue with your trading.
  6. def

    def Sponsor

    No it's not normal and our stats show price improvement well over the industry average. If you care to mention the stock, exact time and size, I'll check the T&S's tape.

    However, given your statement "Also If I try and buy at limit $13.35 again it gets filled at $13.36.", it implies you are entering orders incorrectly or not understanding what you've submitted. This is because you can only get filled at or better than the price submitted on a limit order - you should never get a worse fill.

    Thus it sounds like you should contacft the help desk who can look at your audit trail and tell you exactly what type and kind of orders you are submitting.
  7. rcj


    IB adds in the commish to to the fill price shown, bro.

  8. Viper101


    Thanks for the tip. I check my fills with the audit trail and they are being filled as expected. My limits and market orders are being filled at the bid or ask so yes TWS and IB is working fine.

    What confused me is that on the portfolio tab showing positions , the average price filled is always 1 penny off the audit trail fill. This is the same when I look at my time and sales tape in TWS and QT. Not sure why it does this. There must be a setting in TWS that I've missed.
  9. Viper101


    Commission isn't included in unrealised P/L in the portfolio tab or the realised trades tab, so all you see is gross. You see it when you look at your account tab and look at your trades for the day. The P/L here is net after commission.