[carltonp]

Hello Traders,

I'm using IB as my broker. For some reason, my trades were continually executed at bid/ask rather than last price. For example, I submitted a long trade to be executed at 11824. The trade was executed at 11830 at ask price, even though the last price never reached 11830.

Can someone please enlighten me.

Cheers

Carlton

[Kiwi]

You might want to enlighten us first:
- what are you trading?
- what type of orders are you using?
- are you entering them directly on tws and if not do you know what was on tws?
and
- when you say the last price never reached x, the ask and your execution, what do you mean (what data are you looking at?)

[mike21]

Carlton,

If you put a limit order at 11824, you would have been filled at 11824 or not at all.

You obviously used a market order. A market order will be filled at the best bid/ask at the time of the order.

Once your order was filled at 11830, that became the 'last print' so 11830 had to have been reached.

[carltonp]

Originally Posted by Kiwi »

You might want to enlighten us first:
- what are you trading?
- what type of orders are you using?
- are you entering them directly on tws and if not do you know what was on tws?
and
- when you say the last price never reached x, the ask and your execution, what do you mean (what data are you looking at?)

Gents, thanks for responding.

I'm trading mini dow(YM).

I'm placing buy-stop orders.

I'm entering them directly on TWS.

So, yesterday I placed a buy-stop order at 11824. The trade was executed at 11830. I don't have a problem with that. The problem is, the last price never reached 11830, however the ask price did. I've attached a snapshot of the exact trade as it happened yesterday. You will see that I have placed a buy stop at 11824. You will also see that the trade has executed at 11830 at the ask. However, you notice that the last price is 11826. What you won't we is that the actual last price never reached 11830. Normally, my the trades will be executed at the last price and not at bid / ask.

I hope this visual helps you to help me understand.

Thanks

[Kiwi]

A stop order (not stop limit) will execute at the extreme of current range.

IB's data feed (not the 5 second bar version but the real time one) shows a price every 100ms. Its the last price in that 100ms and if the extreme is greater it doesn't show. So you can get filled and the price not show up. Not every price is necessarily shown.

If you ask IB to confirm it they can check but it will have filled at the extreme.

[SIUYA]

another thing to check on TWS.
If submitting some orders and they are filled, the reported price they are filled at can easily be confused with the limit price sent

In this example below, I sent a LMT order to buy at 1.302...the actual trades were done at 1.3018 in two tranches.

- BOT 50K EUR EUR.USD Cash 1.302 USD IDEALPRO 15:27:29
BOT 20K EUR EUR.USD Cash 1.30180 USD IDEALPRO 15:27:29
BOT 30K EUR EUR.USD Cash 1.30180 USD IDEALPRO 15:27:29

[steveh2009]

A buy stop limit order doesn't ensure execution, but it will ensure that you get the price you want or better.

What I do with my own trading interface to IB when trading the CL is, if I want in the market immediately but don't want a market order which could slip me 2-4 ticks, I go 1 tick inside the bid on a buy limit or 1 tick inside the ask on a sell limit.

If I am staggering buy orders ahead of where the last is in an uptrend (e.g. 20 ticks between entries), I'll put in stop limit orders when my averaged up buy-ins are closer to my initial position abd have the ones farther away with stop order triggers where the slippage isn't going to threaten my overall cost average within the trade.

I'll give you an example of an actual pleasant experience I have had with limit orders. I'll have my software set to trigger a limit buy (or sell if going short) on touching, say, a 20 ema on a 5 min chart. The CL can get pretty jumpy on such an event so by the time my limit buy at, for example, hits 95.50 and got executed, I found that I got filled at 95.45...5 ticks better than what I wanted and then price is suddenly at 95.55 or better, 10 ticks to the positive in the blink of an eye. Had I placed that limit order directly in the market beforehand, I would have gotten filled at 95.50.

You can see what's going on here. The software sees a last of 95.50, sends the limit order to the exchange. Meanwhile, the exchange sees my limit order at 95.50 while its ask is touching 95.45. I get a much better fill in this case. It helps to keep me from getting stopped out on a sudden surge into support / resistance because my stop loss order, along with a target offset from the actual limit fill price reported by the exchange, is submitted as an OCO order on the execution status info from the entry. It doesn't happen a lot, but when it does, it's usually a good thing (for a change!)

Over the long term, if you're executing market orders based on something like X seconds before a bar close, you'll see price favoring you many times too relative to the actual closing price of that bar. You've got a lot of programs out there waiting for the exact close of a price bar (5 min being a common one) before they react so a market order like 3 secs before the close averages out pretty well to that close. I prefer this approach to finding out the closing price first and then entering a limit order because A) you can and will get skipped over at your ideal entry point and B) you're NOT going to like your at-the-market fills if your analysis is right and that closing price was what you wanted to have all along.

[carltonp]

Gents,

Thanks for responding. I'm putting a call through to IB now, will let you know what they have to say.

Cheers