Price improvement on minis??

If you put in a limit order to buy above the current ask will you be filled at the ask if a contract is available? In other words does it work the same as an ecn?

 

yes of course, if available

 

Thats what I thought. The reason I ask is that this morning I had a standing order buy/limit at 1544.50 from earlier. When the ask was 1542.50 I decided to enter and hit the transmit button. The order was filled at 1544.50. I guess I have an issue with IB. Thanks.

 

maybe you don't have an issue.
the problem is that although you should benefit from market improvement on your limit order, if the ask was taken out before your order was filled, you may have slippage and be hit at your limit price.

it does happen.
what is also not rare, and sad, is the data lag sometimes. what you see is not the actual market. I like to have a second source of data beside IB to make sure the inside market is what appears on IB TWS.

tntneo

 

well, 2 points of slippage seem much to me... maybe your quote screen was frozen for a moment or something

 

I should have mentioned that I have a backup quote and they were both the same. I had been watching the action all along and knew where the market was at. It never went anywhere close to 1544.50. I was suprized to see an instant substantial loss on my p/l.

 

I have talked to many people who have used ib and they say almost every market order they place gets filled .25 away from the market. Could that be the reason for such low commission rates?

 

.25 is the min tick size for ES, so giving up .25 is what you should expect at the minimum.

 

for stocks (which I trade) I use market orders virtually all the time and generally see slip of 3 to 5 cents a share compared the time I let the order go. Sometimes I get price improvment, sometimes not. I'm 100% convinced that IB doesn't trade your order around.

 

One question - what was going on in the market at the time? Was it premarket, around the time of the employment numbers? During the first few minutes after the open? Was it volatile or quiet? Did you check size at the offer and the levels above? These are some things to think about, because under some circumstances it is not unusual to see the market jumping around by multiple points. It is more common in the NQ, but can happen in the ES also.