Problem with IB Futures spread fills?

Discussion in 'Order Execution' started by xtrhvydty, Aug 21, 2006.

  1. An ES spread with net spread b/a = 17.25/16.00.

    I went thru 16.25, 16.5, 17.00, still no fill.

    I got curious if the system is whacked so I changed the BUY LMT to 17.25 to the now 17.25/16.50 b/a, and still no fill for 5 min.

    I canceled the order and placed each leg separately, each filling IMMEDIATELY for a net price of 16.75.

    Now how is it I could buy the legs separately at 16.75 net and the spreader will not pick it up at 17.25 for 5 min???

    Smart routing on Globex.
  2. ktm


    Certain order types are presented as spreads only at the exchange. IB does not guarantee leg fills on some types of Globex products, therefore you can be offering a price far better than could be obtained by legging and still not be filled.
  3. def

    def Sponsor

    Based upon how you displayed your quotes above, my guess is that you have set the spreads up backwards.

    For globex, you would set it up as BUY the further out month and SELL the front month. If you right click and check description, it should display what you are buying and selling when buying the spread and vice versa.
  4. alanm


    Which exact contracts are you talking about?

    The only two ES futures contracts are Sep06 and Dec06, and the spread is around 11.25.

    I create a generic combo by dragging the two quote lines into the combo dialog and changing the Sep06 action to Sell. The quotes shown at the moment (~20060822 07:21 ET) are:

    Spread 10.75-11.75
    Dec06 1311.00-.75
    Sep06 1300.00-.25

    Buying the spread is buying Dec06 at 1311.75 and selling Sep06 at 1300.00, for a diff of 11.75, as shown in the ask of the spread quote.

    Selling the spread is selling Dec06 at 1311.00 and buying Sep06 at 1300.25, for a diff of 10.75, as shown in the bid of the spread quote.
  5. ktm


    I think from now on I will wait a few days to offer help on some of these "spontaneous" threads. I've lost track of the number of times someone posts an issue, several people take the time to respond trying to help - then the original poster never returns.
  6. to all- I appreciate your replies. The spread description was precisely correct - it just did not fill perhaps for the reasons cited by ktm.
    many thx
  7. ktm


    Thanks for the update.