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

To: atto who wrote (2460)	1/17/2002 11:05:52 PM
From: Michael Watkins	Respond to of 9012

Then there is IB. When I type in a stop order, I expect it to trigger at a certain price. Since there is no delay on Globex, the fact that my order would be in a queue should not matter - the execution should be instantaneous. Yes, you can be executed instantaneously, but at what price ;) Looking at my T&S data, is see that the price of 1626 was hit for the first time at 11:02:38, and the first time contracts traded at a price of 1666.5 was at 11:02:57. That is 19 seconds, perhaps good enough for E*Trade, but not for a broker that claims to be direct access. Unless of course the delay was Globex' fault. I doubt very much that it was Globex fault, rather, a flurry of orders and change orders being submitted automatically by some brokerage computers, manually by some humans. Remember, globex does not support "market" orders, they are all simulated by brokerages in one way or another. For those that choose to use Stop orders with no limits, you need to be aware of that.

To: atto who wrote (2460)	1/17/2002 11:07:15 PM
From: eriksonc	Read Replies (1) \| Respond to of 9012

The best theory to explain this slippage that I've gathered on Silicon Investor boards is the following: 1. IB uses simulated stops on Globex 2. Since they are simulated, all similarly priced native Globex stops have priority over IB stops 3. Globex actually doesn't permit true stops, but permits stop-limit orders only (i.e., Globex does not allow market orders) 4. The limit part of these stop-limit orders has a finite range (a "collar") - you can't enter just any limit - it has to be within a certain number of points from the stop price 5. If there is a price surge, then it could be possible that a simulated market order would have to be cancelled and resent into Globex as another stop-limit order where the limit part of the order is higher (assuming a buy stop). This process repeats until the order is filled. Given these assumptions, I don't find it hard to believe that IB stops on Globex might be last to get filled in a price surge where there are cascading stops. I.e., IB sends in the simulated stop which is last in line versus Globex stops that have already triggered. By the time IB can execute, the price range is beyond the order's collar so it resends a new limit order with a higher price. But again this resent order is not a native order and thus gets beaten by Globex stops and thus IB needs to resend again. Etc. Check out this link: lfgfutures.com Carl PS - I have no idea how large the "collar" is on a Globex order nor do I actually trade futures!

To: atto who wrote (2460)	1/17/2002 11:42:49 PM
From: rocklobster	Respond to of 9012

atto, you might find it curious that on the larger NDX futures contract, the high price was originally 1649 but they busted all trades over 1639 on the larger NDX futures contracts.. the fact that they busted trades for those trading the larger contracts, and not those trading the smaller ones is kind of bullshit in my opinion.. Also..Globex could have some kind of temporary lock that prevented the NQ's from trading outside a predetermined range from the NDX contracts or peg them within a certain range of the underlying index like you said.. Anyway something broke....but nobody seems to care.. rok

To: atto who wrote (2460)	1/18/2002 12:02:52 AM
From: Dan Duchardt	Read Replies (1) \| Respond to of 9012

atto, The only thing Globex could do is come out with new rules stating that no trades can be executed out of range determined by the current value of the underlying index. Other than that option I think what Globex did (not breaking up the trades) was correct. If they do ever break trades, it should always be based on previously published criteria. I'm not suggesting Globex should be doing anything to unwind the event, especially since I do not know what really caused it. But perhaps the notion of constraining trades to a range based on the index is not such a bad idea. After all, the exchanges quite arbitrarily prevent the market from moving down more than 5% in a day until after a ten minute period of time for re-evaluation. Why should it be permitted to move up an unlimited amount in a few seconds in response to what might have been a mistake, or a deliberate attempt by someone with very deep pockets to precipitate the anomaly and profit from it? It is not a question of blame. I see no fault with what IB did in handling orders as they have advertised they would. As for Globex, it is a man-made system that is intended to allow traders and investors to participate in the market and to profit or lose based on their ability to read the market in whatever time frame they choose to trade. Those who perceive the value of a contract to be higher than current value are enabled to purchase from those who perceive them to be of lower value. That is what a well designed trading system would do. It is not a slot machine to drop in money and hope that purely random events will happen to play out in your favor. To be sure, all of us who trade with this system are subject to inherent risks that we must accept, and if anything good has come from this event and this discussion it is the contributions from people who have pointed out some details of how the system is designed so we can all better understand those risks. However, accepting the risk does not mean we have to say it's OK that Globex obviously contains some flaws that amplify that risk. I accept my own loss to this event as part of the game. I don't expect anyone to give me back my money. I do not accept that the system has to be designed to operate in a manner that permits thousands of contracts to change hands at prices that are far removed from anyones perception of their fair value. Somebody at Globex should be analyzing this event in detail and trying to figure out a way to prevent such occurrences in the future. I've seen nothing to suggest any such effort is underway, and very few voices even willing to suggest that something is wrong. Dan