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Non-Tech : Interactive Brokers / Timberhill
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To: bhruz who wrote (950)1/10/2001 8:16:34 PM
From: dli  Read Replies (3) of 9012
 
You can't go out of market with REDI since it is proactive and will preference your order out to other market participants. REDI has to types of marketable limit orders OB and LMT (IB defaults to LMT). OB orders are worked iteratively hitting the inside market for the size displayed then checking for market participants to refresh their quotes or new ones joining the inside before proceeding to the next price level for the remainder of the order. LMT orders sweep the market dispatching the full order at once and thus will potentially go out of market within the constraints of your limit price if the order size exceeds the size displayed at the inside market at the time of order submission.
This behavior can be important to keep in mind when setting your limit price. Consider the following price levels on the offer of a stock:


MSCO 50 1/4  100 
ISLD 50 3/8  200
INCA 50 1/2  1000


MSCO is a size seller displaying a size of only 100 but filling any size trade. If you use a REDI LMT order to buy 500 shares and set a loose limit of 50 1/2 on that order you will end up buying 100 from MSCO, 200 from ISLD, and 200 from INCA even though MSCO would have gladly filled your full order at a better price.

INCA let's you got out of market if there's a matching order at your price on the book to execute against. If there's no liquidity within your limit price on the book INCA won't reject the order but will instead price it at the inside market (inside bid in case of a sell order, inside ask in case of a buy order) and display it on LII 1/16 above/below the inside market (IB's INCA feed will show it 1/64 above/below the inside but execution happens at the inside). INCA will move your order with the market within your limit price constraints (like REDI and ARCA short sales but also for buy orders). IMO this behavior is much more advantageous than ISLD's treatment of crossing orders which always result in an execution at the limit price.

Dave
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