order efficiency ratio at IB

Discussion in 'Options' started by NanoTick, May 10, 2017.

  1. Got a warning from IB about high order efficiency ratio (OER, ratio of order submitted vs orders executed). It says my OER is too high and I need to adjust my API algo. My OER has been around 150:1 (all orders are limit orders). Apparently after another incident my trading will be severely restricted. This time they specified an acceptable OER of 50:1, which I can meet with minor adjustment of my API. However I'm wondering if anyone has such experiences with IB or other brokerages and what a typical OER is.
  2. Robert Morse

    Robert Morse Sponsor

    We don't have that restrictions as far as I know.
  3. I got that warning recently too. The part I don't understand is that their policy seems to be 3 times under a 2% fill ratio for the day (ie >50 OER) and they start cracking down, threatening to turn off your account, etc. This doesn't take into account how many days you have been trading, or said another way, doesn't look at the average OER over a longer period.

    I have an algo I'm still working on that has been trading small (stocks, not options) for 5 months, so about 100 trading days. 3 days I have exceeded their limit and gotten warned, and on this 3rd time a nasty email. They seem to be ignoring the 97 days when my algo was well within their proposed limits.
  4. Ryan81


  5. tommcginnis


  6. That's exactly what I heard now. They apply this rule on a daily basis, but may only analyze the data periodically at longer intervals. Will this problem go away if you don't use their smart routing?
  7. I talked to one of the API guys about this. I think the OER is measured daily but you only get the email warning if it's too high over some recent, multi day period. I had a high OER one day because I didn't get many fills, while the next day with similar order activity levels was fine since I got twice as many fills (the typical amount).

    I don't think what routing you use matters at all.
  8. May I ask roughly how many orders you place/edit per day? They don't seem to care about 200 orders a day regardless what the OER is. The warnings came about when I started place/edit about 2000 orders a day.
  9. That warning was for an account with several thousand place/edit/cancels per day.

    I was also told that OER over 50 was a hard cutoff, on a daily basis.
  10. Did you ever resolve the issue? Did anything happen after the third warning?
    #10     May 10, 2017