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Non-Tech : Interactive Brokers / Timberhill -- Ignore unavailable to you. Want to Upgrade?

To: rocklobster who wrote (2385)	1/15/2002 12:48:04 PM
From: Teresa Lo	Read Replies (1) \| Respond to of 9012

It's not the fault of IB. This is what we call the "Death Spike", which happens unfortunately at times to those who enter buy stops above an important pivot - in this case, the high of the first hour. It's an artifact of computerized order matching. T.

To: rocklobster who wrote (2385)	1/15/2002 12:53:17 PM
From: Michael Watkins	Read Replies (1) \| Respond to of 9012

rocklobster... I know its no consolation but I can tell you that these 'death-spikes' that happen from time to time are virtually always 'legit' trades. They happen either spontaneously or because someone wants to take advantage of a big collection of stops put above a recent important high. And they happen fast thanks to computerized trading. Basically in futures I think you are always at risk if you put stop loss orders just above or below the day's high/low. So if short your option when its consolidating sideways is to have tighter stops within the consolidation and risk being stopped out, but at a more reasonable number to be sure. For the same reason I will never place an entry order that is not a limit order. I almost always used Stop Limit to enter a position, where both price values are the same. Consequently I never get a bum price and generally am always filled. Beware of obvious stop placements, they can and do get 'run'. FOMC meetings are the worst of course, they get run big time in both directions usually.

To: rocklobster who wrote (2385)	1/15/2002 1:28:02 PM
From: Esteban	Read Replies (1) \| Respond to of 9012

Rok, Looking at the time and sales for the spike, your order executed about 10 seconds after the second bid of 1626. I think that's what triggers an IB stop, but since I don't use them my recollection is hazy. It looks to me like there were ample opportunities to fill at a price around 1630, if my QCharts T&S is accurate. I would expect to have filled around 30 had I sent a market order by hand at the time your stop should have triggered, even in the rushing environment. Anything above 1640 would indicate to me that the order entries were being delayed and I would expect that the order status color would show that fact. The price didn't exceed 1640 until 8 of the 10 seconds had expired. I doubt you have a case to reverse the fill, but I think you are due a report showing the time your order was sent to the CME and an explanation of why and where it was delayed. My condolences, Esteban