Problems with IB MOC Order and Autoliquidation

Discussion in 'Automated Trading' started by jsmith, Dec 13, 2005.

  1. jsmith


    I have my trading strategy implemented and it's all done through Excel DDE.
    I don't watch my positions since I always have stops and just check after market close.

    Have 3 positions today which exceed my overnight margin position.
    I have 3 orders to sell MOC for my positions.
    12:51 (9 mins before close) IB liquidates all of 1 position and part of 2nd position.
    Even though these positions will already be liquidated at closing bells since you CAN'T cancel MOC orders after 12:50.

    After market close, I was checking account.
    I find out that i'm fully short 1 position and short part of 2nd position.
    I was able to cover 1 position and I did something dumb with the other 200 share position.
    I didn't pay attention to the dollar amount and covered the 200 shares 3 points away from market close.
    $600 immediate loss. I called IB to break the trades. This was my mistake.
    Island broke 100 shares at their exchange.
    Arca was a b*tch and had the trade adjusted so it was 1.50 points from market close near high of trading day.

    What I learned.
    1. I will have to program my trading program to sell and reduce share size for MOC so I don't exceed 2:1 margin before 12:50.

    2. If I have a IB MOC Sell and a stop-loss which have the same key. If I get stopped out in last 10 mins, I realize I will also end up having a short position since the MOC can't be reduced or canceled after 12:50. Either have to cancel the stop-loss after 12:50 or manually automate the MOC with a sell at 12:59:50 market order instead of using the IB MOC.

    3. Pay attention to whole number prices when cover positions afterhours. It was my mistake on covering 3 points higher than market.

    4. Arcas really sucks as an exchange for trying to jack me for $150. I'm just happy it was only 100 shares. Island broke the trade because it was obviously an error.

    Just like to share my experience so some of you guys can avoid the same mistakes. And give me some input on improvements.

  2. jerryz


    can ib fix this? it should be an easy fix. before autoliquidation, check if there's a moc order for the position. if there is, then don't autoliquidate.
  3. Can't you just program a time based stop to exit your trades before they can be liquidated.

  4. jsmith


    The MOC can't be canceled so why should they autoliquidate.
    I also agree this would be a good solution to the problem.

    Maybe def or someone could pass this idea along.

  5. jerryz


    i think he prefers to exit at the close instead of 10 minutes early.