stops not hidden at IB?

Discussion in 'Retail Brokers' started by otayah, Oct 20, 2011.

  1. otayah


    I manually backtested an equities strategy on 6 months of charts and it gave 200% annualized returns. Then I live-tested it in simulation on IB with even better results (since my targets were often hit intrabar and I couldn't see that in backtesting).

    BUT every time I use real funds, the price moves far above and beyond any move it makes all day in order to hit my stop. Literally, it's the exact tip of the incredibly over-extended wick on the biggest candle of the day. I trade chunks of $100k in stocks with over $300m dollar volume, so it's only a small fraction of the volume during any candle.

    I thought stops were hidden. Is IB showing other customers where the stop is, or somehow exploiting it themselves? I realize there are drawdowns and bad luck, but this is eerily exact. I even tried making the stop a larger percent, but got the same results. When I go back to simulation, great results.
  2. lol. there is a mass conspiricy to get you. they are moving the market billions so they can get a few bucks just from you.
  3. Try trading a round lot of 100 shares for a while; does the same thing happen?

    $100k position size entered as a single order for some more lightly traded stocks might indeed attract some unwaranted attention from the bots; they don't know where your stop is but do want to squeeze you. And $100k position exited all at once via a market order might indeed turn the price momentum around in some stocks.

    What do others think?
  4. Bob111


    don't confuse tourism and immigration---

    ----There was a guy waiting in line at the Pearly Gates for his chance to enter heaven. The line was long and there was an offer to go for a tour of hell. Down in hell it was like one big party – beautiful people laughing, drinking, gambling. After returning from his tour he passed through the Pearly Gates but the quiet chanting and constant playing of the harps in heaven seemed incredibly dull compared to life in hell. The white clouds, wings and robes were beginning to get on his nerves. After a while he could stand it no longer and asked God for permission to transfer into hell permanently. Upon arrival into hell, he was immediately chained and thrown into a vat of boiling oil. He couldn’t understand what was happening. This was nothing like the hell he visited earlier. He called out to the Devil for an explanation. “Don’t confuse tourism with immigration!” replied the Devil. ---

    if you seriously believe that IB is hunting for your stops-then i would let the stop sit on MY computer,not IB's
  5. otayah


    Maybe IB not hiding stops was the wrong conclusion.

    Maybe a better explanation would be that the bots see a large order that doesn't seem institutional, then the bots continue to push price further on low volume until that exact large order amount is puked out, and then they stop moving price. Perhaps that could somehow be a profitable strategy for bots? I'm not talking about moving the market billions, just enough to take advantage of unsophisticated traders such as myself.

    I know how to set the default order size and stops and targets, but I actually couldn't figue out how to make the buttons on chart trader do iceberg orders. Can someone enlighten me?
  6. Have you tried manual stops?

    Or it would be fairly simple to use IB's API to send the stop order from your computer.

    I am pretty sure brokers sell stop orders.
  7. Smaller size might make a difference. If a large IB order hits the market, the market maker/specialist knows you're going to exit that day. They might just push the market until your pain point is hit, regardless of stop.

    They know you'll exit at some point and the market maker doesn't want to take the loss.

    You might have to look for larger volume. Your system is probably the market-maker's system and he doesn't want the competition. Order flow is where to go.
  8. Think about it logically. A stock's intrinsic value does not change much over the short-run. Business announcement, news, new competition, new product. However, that doesn't happen often. Most companies are stable with expected cash flows. So intraday price changes are one of 2 things:

    - long term entry or exit by large traders (institutions, long term investors, etc.)
    - moving the market around looking for daytraders' stops.
  9. 3 things, I guess. An event of some sort. News, takeover, etc.
  10. otayah


    I haven't tried manual stops just because I liked the idea of the instant safety net that comes with bracket orders.

    Do many people really think brokers sell stop orders or market makers hunt stops themselves? I'm still inclined to think it's bots. I wonder if bots or market makers would be fooled by me buying 5x500 at the same limit price in a row instead of 2500 shares at once. Maybe that would be just as transparent?

    I'll step away from the real money for a bit and continue to test live to make sure my edge hasn't suddenly evaporated after all this time. Then I'll come back with iceberg orders, and finally I'll try manual stops but that's scary to me.
    #10     Oct 20, 2011