Anyone heard anything from IB on MOC/LOC orders to offset an imbalance? I have tried to do this, and the order rejects immediately....I came upon this thread and see others have had the same issue.
IB has told me repeatedly that they don't support imbalance-offsetting orders and don't plan to do so. The only indication that they may was based on speculatus' posting earlier in this threat, but I haven't be able to replicate. I wouldn't be surprised tough if there is some "secret" way to do this through IB, often the left hand there doesn't know what the right hand is doing, so just b/c customer service (which is especially "left handed") says they don't support it doesn't that is the truth...could be some hidden functionality possibly accessible through the FIX gateway only, as speculatus alluded to.
Place them as marketable LOC and routed to the primary market, do not use "smart" routing. Actually, I don't think you can even see the imbalance unless you are displaying the primary-market- specific quoteline. This works for me. Also you need round lot orders, increments of 100 shares.
I am routing to NYSE, and it won't accept anything after 3:40. I am getting the imbalance from other sources.
Haven't tried this yet, but got this memo from IB customer service today....they still don't have imbalance data, but looks like the order should go through on TWS. QUOTE]Response from IB: Initial Description: Tried to submit a MOC order to offset a published imbalance after 3:40 ET. Transaction would not go through. Please advise. _______________________________________________________________________________________________________ Response at 2009/04/14 16:15EST: _ Mr. Carlson, Thank you for your patience as I researched and presented this addendum to the NYSE rule 123C to IB management. Traders now have the ability to submit NYSE MOC/LOC orders after 15:40 EST if it will offset a published imbalance. Unfortunately, we do not yet offer the imbalance information in the TWS. It is our hope to begin offering this data in the TWS sometime in the future. Thank you again for bringing this to our attention and for using Interactive Brokers. Regards, Interactive Brokers Customer Service[/QUOTE]
So where do you get the imbalance data? Also to clarify, IB does not provide imbalance data from either NYSE or Nasdaq?
They DO have the data in TWS, just enter the stock as directed (i.e. IBM with NYSE, not SMART) and you will see it in the 'Auc. Price', 'Auc. Volume', 'Imblnc' columns. I do see it today. Haven't tried the order yet though. I cannot get the data into the Excel DDE API, if anyone know how to do this, or can propose another good source other than the full-up NYSE professional feed I'd much appreciate that info.