def...I am trading HSI with IB stop orders, but have experience some very very bad fills( like 30 point slippage) with these stop orders..of course, the bad fills were all under "fast market" conditions, but when I check time and sales..it seems that once my stop is hit, there was a considerable amont of fills before my order was executed..the last time it happen, there was five ticks (after my stop is hit) before my order is executed.. and I got filled at the exact High... I spoke to IBHK and someone told me it was the exchange's problem, but this has really happen too many times to be a coincidence. it seems me that the lag is experience between the time the stop price is hit and the actual time it's sent to the exchange.. I don't want to draw any conclusion at this time, but for anyone trading on IBHK, you might want to be careful with your stop orders, use a stop-limit or just executed it manually... ( the my experience is that these option often result in worse fills expecially when the market is movign..) My question is is there a possible that there could be too many stops at a price point that would result in a traffic jam on your server with the result of delay in fills?? def...since you are in HK..can u take a look this for me??
I've actually looked at histograms of our speed over the past couple of weeks and the vast majority of orders are being turned around on our end in less than 300 milliseconds. There were a few orders (maybe 10 in total out of many many thousands) that were returned around or slightly over 1 second. The speed issue is not a Timber Hill/IB problem. Here is the issue: The exchange can only handle so many transactions per second on their end. The market trades along nicely until someone along and sells trades size in the futures at market. The board is loaded up with one lots and they knock it down say 10-15 points. Stops get triggered people pile on and next thing you know you've got swings of 10-30 points occurring over a few seconds. At this time, not only are futures getting filled but numerous option trades and updates are taking place as well. The exchange then reports back trades via a clearing window (we receive them back via the same equivalent on the API). During this periods the trades via the clearing window may pop up many seconds after the trade. (The clearing window is the definitive place to look for executed trades. The ticker that reports trades is not). We see this all the time - especially on our options market making. Ie. we know we are doing a bunch of trades and then a few seconds later when the future is 10+ points away from where it bounced we receive a bunch of fills. There is nothing we can do about it unless and until the exchange decides to upgrade their infrastructure. I've spoken to the exchange about this many times (including the head of tech and the head of the exchange). It's a long story political story on why nothing is getting done but that's for another time. All I can say for certain is that we are reporting the trades back to you as soon as we receive them. As for the ticks you state you see what look like trade throughs. Could be how the exchange reports the fills and it could be how we submit a market order. The only way to confirm for certain what occurred is to provide the info the help desk and we can check. The market just closed so if see this, start a chat with them, give the details of your order and I'll compare T&S on the exchange terminal we have in our office (bloomberg and reuters do not provide accurate info to the second).
thanks for the detailed reply, First, I want to say this is not a IB bashing post, on the contrary, I have nothing but praise for IB, I have recommend them to many friends and relatives, these guys are the at the top of their game, I am not even implying IB is at fault for my terrible fills but I want to get down to the bottom of it. I understand that the delayed reporting of fills at the exchange 's end and there is pretty much nothing we could do about it. As you have said, it occurs at least once a day, sometimes, status turns pink but the price only comes back 10 seconds later... ButI have the disturbing experience of watching two stop orders at the exact price and the same quantity been filled 12 points apart. If I remember correctly( It happen in april), the first stop that came back with a slippage of 7 points, and the next one was 12 points away from the first one!!! Of course, the could be easily explained by the suggestion that there was no volume between two fills . but as I have stated in my previous post, looking at tick price ( I collect IB's quote) , I noticed that there are trades between my first stop's fill price and my second stop's fill price. I think this could only be explained by a time lag between the first stop and the second stop( sent to the exchange by IB's server It seems that orders are sent based on the priority of which the order enters the system , but Could it be possible that if there is too many stops at the same price,( because I trade with software, I could have 20 stop orders at the same price) It might be possible that the lag could become quite serious. The issue is how many orders can IB sent at one time? I know that orders don't take up a lot of bandwidth or CPU resources but what if there are 2000 seperate stops at the same price point ( or within a range of price) ? Can the server handle it? I am acutally very curious about how stop orders are handled by IB because I sent hundreds to IB everyday, If it's not too much trouble, can u just give me a brief explanation? I think many people here would be interested too.. thanks.. p.s. if you don't mind, I would like to ask you some more questions, can you pm me your contact number?
I had 7 incidents this morning where STOPs (actually stoplimits) executed when they should not have. A good example is MU, where I had a BUY stop at about 14.50, which executed within a minute after the open. Since MU hasn't traded over 14, that should never happen. I had at least 6 more orders fill with the same type of STOP entry error. Many of my exit stops then immediately got hit. Down 100s in about 30 secs. I've been "chatting" with IB techs for about an hour. Hopefully this will get resolved. Not clear if they even agree that there is a problem Argh.
it seems stops with stocks are often an issue. with futures it is much better. although I would not use stop market. on the other hand, it's always a concern to me, since stop limits are often simulated on IB servers. so if IB goes down, for whatever reason, during troubled market, I may suffer severe losses. tough decision.. do I want the stop market and placed and visible at the exchange ? anyway, fwiw, I use another trick : multiple stops. So I have a regular stop for the trading strategy and a stop for disaster situation.. both with limits. the first one is tight and normally the second one can't be it. if it is, it means the market is in trouble anyway, but I gave myself a chance to exit close to the action first. any idea welcome about this touchy issue.
The HKFE does not support stops or stop limits. If this happens again, please start a chat with the help desk and we can see what happens. I don't think speed of trigger is the problem. Keep in mind that we are not the only firm sending in orders during these bursts of activity. Two stops triggered at the same price will be milliseconds apart. However, for example, there is only 1 lot on the offer since the book has been taken out, then the first one in gets the 1 lot and the next market order has to get what's behind it. I strongly urge you to use stop limits. 1. You can set the limit as wide as you want and thus can treat it like a market order. 2. Our stop markets are simulated stop limits. If the first limit order does not get filled, it tries again at a higher price. This could explain the wide divergence in prices 3. On these gaps, the price may not revert to where it was before the gap but it usually bounces back before moving again. Thus if you have a limit sitting 10-20 points above the last print you will almost always get filled. Yes, you stand the risk of missing a fill but if you're watching the market, that shouldn't be an issue.