Trying to understand slippage: 1.6% with Interactive Brokers.

Discussion in 'Order Execution' started by mickael28, Feb 8, 2019.

  1. It's not the 1st time that it's happened so wondering if I'm not understanding something or sending my orders in the wrong way as I'm suffering quite large slippages so I'd like to see if you guys can think why this could be.

    Last time was with QNST, where on Thursday 7th I had a Stop Loss order for 715 shares at 18.47. I've talked to IB and they've mentioned that my order was triggered at 09:31:25.192 and was sent to the exchanges less than 10 milliseconds later.

    I was checking a Times and Sales report and I could see quite a lot of traders bidding at that time for larger blocks of x800, x1200, x1300, x500, x400 shares etc for prices between 18.45-18.30, however my order was executed as follows:
    * 100 @ 18.24 (14:31:25)
    * 300 @ 18.15 (14:31:26)
    * 15 @ 18.15 (14:31:26)
    * 300 @ 18.15 (14:31:26)

    for a slippage of ~1.67%!

    I thought that when my Stop was triggered, that would have been sent to the market as a market order, and that would mean that if I put my Stop at 18.47 and there were bidders at 18.30, 18.40, 18.45 etc... they should have been filled with my order, shouldn't they? I can see that some of those large blocks where just assigned 100 or 200 shares even though my order had been triggered already and was ready to be taken...

    Do you know why this could be happening? ie, the large spreads (which happen quite frequently) and why in this particular case I got an average price of just 18.16 when there were a lot of bidders above that?

    Thank you!!
  2. Robert Morse

    Robert Morse Sponsor

    at 09:31:25.192, what was the bid price and bid size of all ECNs and exchanges?
    What exchange was it sent to?
    What was the time of your execution? At that time, what was the bid price and bid size?
  3. What ECN did you route through?
    Most ECN resting orders are fake and pull in milliseconds before your order can route.
    Nasdaq is by far the worst. I avoid their shit system like the plague.
    comagnum likes this.
  4. tommcginnis


    That IS pretty nuts.

    You seem to be thinking that your stop was a stop-limit -- make sure of that.
    When the stop is triggered, the order is then submitted as a limit order.
    If it was set as a stop (or "stop-market"), then when it gets triggered, it clears out the book headed downward. Those larger blocks of .45 down to .30 could've been limit-priced, and might've sat there a while.

    So, check your order presets first. LET US KNOW WHAT YOU FIND OUT.
    Good luck.
  5. Robert Morse

    Robert Morse Sponsor

    We only send STOP orders to EDGX because they are server side.
  6. It was configured as a Stop order (ie, Stop-Market) at 18.47, with Smart routing (which is their default).
    As there were large blocks all the way from 18.45 to 18.30 I was expecting the now Market order to have been matched with those and around those prices?

    I've been told that the order was sent to ISLAND and IEX as the other ECNs were not posting bids at 14:31:25, IB said.

    Attaching the bid prices/sizes at those times:
    Last edited: Feb 8, 2019
  7. Robert Morse

    Robert Morse Sponsor

    None of this makes sense as you said your order was triggered at 09:31:25 and now you are saying the execution was 5 hours later.
  8. Sorry, that's UK time 14:31:25 here = 09:31:25 in the US
  9. Robert Morse

    Robert Morse Sponsor

    Ok. So your order was triggered at UK time 14:31:25, but was a stop limit. What was your limit and what was the best bid at 14:31:25?
  10. Sorry again, I made a typo whilst trying to clarify it above, amended. I was a standard Stop order (what I understand as a Stop-Market order), just configured with the stop price of 18.47

    And at the time 14:31:25 the *best* bids I can see were all the ones right next to the one that triggered mine in theory:
    #10     Feb 8, 2019