Regular hours limit orders on IB that will participate in the opening cross

Discussion in 'Order Execution' started by fbell50, Jul 25, 2006.

  1. fbell50


    I’ve searched Elite Trader and IB’s Discussion Board and even sent IB an email on how to enter a regular hours limit order that will participate in the opening cross. I’ve received no response from IB, but based on what I’ve read I’ve come to the conclusion that only certain method is that specified by Sparohok in an earlier thread, which is to use a directed order to the primary exchange and to ensure that "Regular trading hours only" is NOT checked. Using SMART will not work.

    NYSE directed limit orders are subject to a 1 cent specialist fee if held on the books longer than 5 minutes, so if you do direct your order to the NYSE and it is not filled on the open it behooves you to replace it with a SMART order which will not be subject to the fee. If you have many of these manual changes would be time-consuming and slow. You are almost forced to have an automated system.

    Does this reflect your understanding?
  2. flbum


    I'm facing the same problem. I am swing trading very low liquidity stocks. An opening trade is sometimes the only trade in some of these stocks for days. I've missed too many market open executions. I missed another one today. My limit price was better than the opening price and I should have gotten it. However, my order was sitting on Island during the market open while the trade executed on the primary exchange, AMEX. I've tried having my SMART routed orders active outside of regular trading hours. A "6" share odd lot trade made me rethink that approach. I see in the TWS manual that there is a Smart Routing configuration option to do a Pre-open Re-route that will "Route orders to major exchanges three minutes before the open". I will try checking that box and see what happens. I don't know if you have to set the order to be active outside RTH for that to work. If so, can I have the order become active two minutes before the open so that it never hits an ECN outside of RTH?
  3. fbell50


    I saw the pre-open route to major exchanges three minutes before the open also. Let me know how it works for you. Hopefully it will work with the RTH option. I have exchanged some emails with IB without getting a definitive answer.
  4. I use bundled commissions so I don't get hit with that specialist fee. I think in that case IB cancels and reissues the order every 5 minutes. But, I might have misremembered.

  5. flbum


    I selected the "pre-open re-route" option in the Smart routing configuration. I unchecked the RTH only box on all my orders. I set my orders to activate at 9:29 AM and to cancel at 4:00 PM. I placed all of my orders last night.

    The orders activated at 9:29 AM and were all routed to ISLAND... BUMMER!!!

    I guess that didn't work. The only consolation is that I didn't miss any market open trade opportunities based upon my Limit prices.

    I might try changing some of my activation times to 3 and 4 minutes prior... I hope that I don't have to have my orders sitting active on an ECN for the re-route to work.

    Did you get a definitive reply from IB support about the re-route option?
  6. sprstpd


    How about you send an OPG limit order in to (hopefully) capture the specialist opening print - you can route it to SMART or directly to NYSE or AMEX. Then if you don't get filled, at that point in time put in a regular SMART limit order.

    Is this not what you want?

    Or do you want total automation - i.e., if the OPG order doesn't get filled, you can't be there to put in the subsequent limit orders? If that is the case, you will probably have to write your own order system with the API. Or else get IB to make a new order type - OPG limit order which if not filled at the open turns into a regular limit order. Sounds good to me.
  7. fbell50


    Have you tried RTH + pre-open re-route? I have not received a definitive statement on pre-open re-route. My account funding will clear shortly and I will try some real life tests.
  8. alanm


    Don't send them to SMART if you are simply trying to get the opening print. Send the order to NYSE/AMEX directly. Make sure they are not set to RTH-only either, or you may miss a quick opening since the order won't get sent until 09:30:00 ET or so, and I've seen some stocks open very shortly after that.

    I imagine that the order that was set to SMART with a GAT of 09:29 went to INET because it was not active yet at 09:27, when the "re-route to primary" thing sweeps through.
  9. sprstpd


    So I have always thought that a regular limit order sent to NYSE before 9:30am EST will not participate in the opening print, but will go live after the opening print has been printed. I have always thought in order to capture the opening print you have to specify it as an OPG order. Is this not correct? Are you saying I can send in a limit order directly to NYSE before 9:30am EST and I will participate in the opening print but if I am not filled on the opening print I will participate in the market as a limit order on the NYSE?
  10. Correct.

    Occasionally, you send an order too close to the open (last minute) and you don't get the print, but in general, that's the rule.

    #10     Aug 14, 2006