Needlessly bad IB TWS executions during rapid moves

Discussion in 'Order Execution' started by jimrockford, May 2, 2004.

  1. Have any current or former IB customers observed this type of problem, when the market is moving rapidly? I am trying to persuade IB to resume its efforts to fix this problem. I would like to be able to show IB that other people are affected by this problem. If I can, I think I might have greater success in trying to persuade IB. I think this would benefit IB and all its customers.

    I have repeatedly observed that when I submit a marketable TWS order, in a rapidly moving market, (I currently only trade SPY and QQQ), I sometimes get an extremely poor execution, which could have been avoided had TWS been designed to execute in rapidly moving markets. These problems, when they occur, either prevent an order from executing at all, or delay it substantially, for up to 90 seconds, costing perhaps 10 to 20 cents more per share than if my order had been handled correctly. Island time and sales proved, in each case, that if an appropriate INET DISCRETIONARY or INET PEG MARKET order had been routed to ISLAND, it would have executed almost immediately and avoided the aforementioned loss; but IB does not provide these native INET order types, and IB can’t explain its failure to do so. This execution problem occurs regardless of whether I use SMART-routing or DIRECT ECN routing, although each of those two alternatives fails in different ways. I think this problem is especially likely to occur when wide stops or wide stop-limits are triggered, because the market is more likely to be moving very rapidly at those times (but none of my orders were STOPs or STOP-LIMITS, they were all MARKETS and marketable LIMITS).

    Let me emphasize that in every case, the order was actually triggered and submitted, and given a green status as a marketable limit or market order during regular trading hours, which was later confirmed by my own TWS audit trails and by the helpdesk, and that the delay or total failure to execute occurred subsequent to this confirmed order submission. Let me emphasize that in the cases to which I refer, each order was either a market order, or had a price limit far better than the NBBO at all times, so that the limit order was “marketable” at all times. Let me also remind everyone that the uptick rule does not apply to SPY or QQQ (it amazes me that some IB CS reps still think that the uptick rule applies to all stocks).

    I have been trading thru IB, in order to try to develop a trading strategy, since Dec 2002, but this execution problem became a much more serious obstacle for me, in Feb 2004, when my trading strategy evolved into something that tends to give signals in the most rapidly moving markets. Every time this problem surfaced, I got a totally wrong explanation from the helpdesk, and it was only after a great deal of persistence that I was able to convince IB that the initial helpdesk explanation was wrong. Most of my problems led IB’s higher powers to confirm and to fix various IB system bugs. I am the guy, for example, who quietly persuaded IB to allow AMEX to be excluded from SMART routing. The overall problem, however, was never solved by the bug fixes to date, and IB’s higher powers have abandoned this problem back to the helpdesk. The helpdesk has demonstrated, time and again, that it is completely incapable of addressing this problem, which is way over their heads. Their most recent email is a standard generic “Dear Trader” letter saying that they will let me know if they decide to do anything further about it. I emphasize that I have extensively described this problem to IB, they fixed some bugs but never solved the whole problem, and they do not deny its continuing existence.

    I suspect that many customers are unknowingly experiencing the delays and bad prices I have seen, during rapid market moves, especially for STOPS, but that the customers are not carefully checking their TWS audit trails for execution delays. I suspect that customers are not carefully checking their execution prices against time and sales to see if they are getting good prices compared to what they should be getting. (ISLAND time and sales is available on the ISLAND website and is especially revealing). I suspect that customers, when they do recognize that an execution was questionable, are swallowing the totally wrong and hopelessly naïve explanations usually given by IB CS reps. I believe most customers are not willing to do the persistent research and questioning, and to develop the expertise required, in order to verify what the CS reps are saying. Maybe if more people started checking their TWS audit trails, and time and sales at and elsewhere, and researching the validity of IB helpdesk explanations, more people would see a problem that is costing them to lose a lot of blood, and they would motivate IB to make TWS execute well, even when the market moves rapidly. I think that the constant flow of totally wrong info, from the IB help desk, prevents this execution problem, like many other problems, from being recognized and fixed.

    Can anybody share some relevant experiences, to help persuade IB? If the helpdesk gave you explanations for your problems relevant to this order execution quality problem, please share them along with your underlying execution problem, because this may lead to proof that the explanation was untrue, and that would, in turn, help uncover the true size of this order execution quality problem. Praetorian2, I believe, from your recent thread about SMH at IB, you may be affected by similar issues. Did time and sales show that other market participants were able to execute their SMH orders, during the time intervals when you could not execute your own SMH orders via IB?

    My goal, in starting this thread, is not to harm IB, but to give IB the feedback it needs to help it to do what is in the best interests of itself, its employees, its customers, and the markets, so that IB can be the best IB it can be.

    - jimrockford
  2. Digs


  3. Digs,

    I think your problem is outside the scope of this thread. Your problem is a problem of order entry. This thread is not about problems of order entry. This thread is about problems with IB's execution of orders AFTER they have been successfully communicated to IB's system and acknowledged by that system. I didn't start this thread for the purpose of generating an all-purpose respository of gripes against IB. If you can talk about execution problems, rather than order entry problems, I would be appreciate it. If this thread loses its focus, it won't accomplish its goal, the goal of persuading IB that it needs to solve this problem and that it needs to make it a priority. Let me add that if I didn't love IB, I wouldn't take the time to criticize IB.

  4. bump
  5. I'm so disappointed in IB, because I just got email from the Chairman, informing me that IB is not even interested in discussing this problem with me. IB would have been wonderful for my purposes, if they had just spent a little more effort before giving up on this problem. I guess my idea, of starting this thread in order to show IB that other customers want this problem solved, won't be a successful idea, because IB won't be interested in what I've got to say, even if other customers support my viewpoint. Now I have to choose between trying to find the best ways to minimize the problem within IB's existing system, OR I will have to consider jumping ship and moving to a competitor, which I really, really do not want to do.

    By the way, I just found a thread independently complaining about this problem on IB's own discussion boards. The link is

    Praetorian2's thread, complaining about what I believe is probably part of the same problem, is at

    Another thread, which might be complaining about the same problem, is at .
  6. Unfortunately, even though I'm very happy with IB/TWS overall, I agree that there IS some type of problem with orders getting filled even after getting the "green light".

    I've waited as much as 2 minutes for some orders to be filled.

    This is something that happens less than 5% of the time and more on certain stocks than others, which leads one to think the problem is likely at the exchange level?

    My problem is that I can't determine who's at fault here...IB or the specialists/market makers. Sometimes it appears to be IB and sometimes it appears to be the exchange.

    I also thought about starting a similar thread in the past to discuss this issue and welcome all non-bashing discussion as well.
  7. I had several of these execution-related delays today. It's becoming more and more obvious that the problem is not IB but the specialists making sure they make a profit on my order just before executing it.

    For example, on a couple of orders, after waiting over a minute to sell at the bid, with the "green light" on, I cancelled. Right after I clicked cancel the orders were executed and the bid moves higher.

    Sometimes, they just don't take the order and I have to keep moving the price lower/higher.

    It happens on an infrequent basis and because of this, one cannot figure out for sure which stocks/specialists are abusing the process.

    It also appears to happen more often with limit orders.