Hi, I've been experiencing this annoying bug for quite some time now. Several months ago I've sent a ticket to IB support but didn't get any answers. I trade a lot of VIX futures and VIX future spreads, you can trade spreads directly on CFE and IB does offer those products. There is however an annoying bug where TWS shows the wrong price for the spread. Take a look at picture of TWS Market Depth Trader: You can see that the best bid at CFE is 1.41 and best ask at CFE is 1.43. Market Depth Trader, however, shows that there is someone at SMART exchange offering ask price of 1.31, which is not correct! Additionally "last" price shown by TWS is also wrong (I get time and sales data for those spreads from IQFeed) Those bids and asks from SMART exchange are getting stuck i.e they are shown it the book but are actually not there and they mess up the way TWS quotes VIX spreads. I wonder if someone had a similar problem and there is a way to solve this issue.
Curious, have you tried getting a fill at those prices? Lifting 1.31 in your example with a limit order?
I noticed this exact problem or something similar with the Market Depth windows ~2 years ago, and sent a Support ticket; rep replied agreeing that it looked weird and wasn't sure what those 'phantom' bids/offers were, and saying he'd send it to the dev team, but never heard back after that. FWIW the instrument I noticed the bug with was a regular equity option...actually, it *might* have been a regular underlying stock but nearly positive it was an option...but the point is that bug appears to affect more than whatever specific instrument you were trading. Edit: (I don't remember the exchange, whether SMART or otherwise)