Saturday, April 19, 2014

Problem In Combo Order Execution for K200 and N225

In my previous post Difficulty In Trading Combo Order for K200 and N225, I have described the difficulty of getting a good filled, such as at middle price.  I have kind of accepted to sell at the Bid and buy at the Ask, losing whatever in the spread.

To my horror, I couldn't even get filled when I want to sell at the Bid price.

Let me give you an example.  I was trying to close the K200 Call Bear Spread 272.5/275 by selling the spread.  As you can see from the below screenshot, there is a 2,453 contracts bidding to buy at -0.05.  I have a Limit order to sell 5 contracts at -0.05.

The limit order stay there and never get filled.  I submit this as a execution problem to Interactive Brokers (IB), this is the reply I got:

Please note that the condition for legging in a non-guaranteed combo order is the limit price must be at least 1 tick though the implied quotes. Since your order was just hitting (not through) the bid price, the combo order was not submitted. Please let us know if you have any further questions. Thank you.
Regards,IB Customer Service
OMG, the Bid price need to move to -0.04 before my Limit price -0.05 will get filled!  Does this even make sense at all?

I encounter the same problem with N225.  I submitted a problem ticket to IB.  I got exactly the same reply as above.

However, through more encounters, trial and error, I have a fix for the time being:

  • Cancel the Limit Order and Resubmit a new Limit Order.  

The Limit orders I had were mostly submitted before the Bid price meet my Limit price.  That is to say, I queue to sell at the Limit price, hopping the market price will reach my Limit price.  To fix this problem, all I have to do is to cancel the current Limit order and resubmit a new Limit order with Limit price equal to the same Bid price.

So, basically this means, I cannot queue for the price.  I can only stare at the screen and submit a Limit order to get the Bid price.  I didn't try submit a Market order.  I won't know what price IB will fill it for me.

No comments:

Post a Comment