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

To: eriksonc who wrote (2462)	1/18/2002 12:42:33 AM
From: atto	Read Replies (2) \| Respond to of 9012

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. According to the info on the page you linked 3 is not true for ES and NQ and 4 applies to market orders. 2. Since they are simulated, all similarly priced native Globex stops have priority over IB stops Yes, they would almost certainly be processed first, and this could explain why you would get a better price using a native stop, but it would not explain a 19 second delay. 1. IB uses simulated stops on Globex 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. This is the interesting part. According to IB web pages IB supports the following orders on Globex: simulated GTC simulated market simulated last price stop order simulated stop limit order limit order What the above shows is that since both stop market and stop limit are simulated, choosing one over other would not make a difference in terms of speed. It would only affect the limit price (the limit would be determined by an IB algorithm in the case of a stop market.) So how exactly does IB simulate last price stop orders? Here is an excerpt from another IB web page: STOP-MARKET orders STOP-MARKET orders are provided for stocks, options and futures traded on U.S. Markets. Please note that stops placed on NYSE products are handled differently than stops on NASD products. Click here for more information on how they are handled. Some exchanges natively accept and process STOP-MARKET orders according to the standard industry definition of the term. Other exchanges do not accept or process STOP-MARKET orders. In response to user demand for "STOP-MARKET" order functionality on these exchanges, Interactive Brokers has created the following mechanism to simulate STOP-MARKET orders. A simulated STOP-MARKET order is a MARKET order formed at the time the IB system receives a last sale price that causes the STOP-MARKET to be "elected". A SELL STOP-MARKET order is elected when the LAST price is less than or equal to the STOP-MARKET STOP price while a BUY STOP-MARKET order is elected when the LAST price is greater than or equal to the STOP-MARKET STOP price. If the exchange in question does not natively support MARKET orders then an elected BUY STOP-MARKET order becomes a LIMIT order to BUY at a price 5 points higher than the STOP-MARKET STOP price. In a similar situation a SELL STOP-MARKET order becomes a LIMIT order to SELL at a price 5 points lower than the the STOP-MARKET STOP price. Orders formed in this way will seek to execute the size of the order against those orders resting at the exchange that qualifies. If the exchange order book does not contain enough size to satisfy the order in the price range, it will result in a LIMIT order for the balance being left on the exchange order book. Note that the exchange order matching algorithm will always assign the resting order price to an execution in the event that the order that causes the trade to occur is at a superior price. In this way the simulated STOP-MARKET order provides the same result as a native STOP-MARKET order with the exception that the price variability of the execution may be limited. Having read the above I don't understand how Rock's order, which should have become a limit buy order with the limit set at 1631 and which should have been posted to the book at that price, could have been executed at 1666.5. The page says nothing about resending orders. However, if IB does cancel and resend orders that do not execute because of no offers within the limit set, and this caused the 19 seconds delay, then what's the point of setting the limit at 5 above the stop price? Simulated market buy orders are handled the same way, with the exception that the limit is set to 5 points above best offer. This also affects some NASDAQ orders, since IB uses simulated market orders on all ECN's. interactivebrokers.com atto