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It's not the 1st time that it's happened so wondering if I'm not understanding something or sending my orders in the wrong way as I'm suffering quite large slippages so I'd like to see if you guys can think why this could be.

Last time was with QNST, where on Thursday 7th I had a Stop Loss order for 715 shares at 18.47. I've talked to IB and they've mentioned that my order was triggered at 09:31:25.192 and was sent to the exchanges less than 10 milliseconds later.

I was checking a Times and Sales report and I could see quite a lot of traders bidding at that time for larger blocks of x800, x1200, x1300, x500, x400 shares etc for prices between 18.45-18.30, however my order was executed as follows:

  • 100 @ 18.24 (14:31:25)
  • 300 @ 18.15 (14:31:26)
  • 15 @ 18.15 (14:31:26)
  • 300 @ 18.15 (14:31:26)

for a slippage of ~1.67%!

I thought that when my Stop was triggered, that would have been sent to the market as a market order, and that would mean that if I put my Stop at 18.47 and there were bidders at 18.30, 18.40, 18.45 etc... they should have been filled with my order, shouldn't they? I can see that some of those large blocks where just assigned 100 or 200 shares even though my order had been triggered already and was ready to be taken...

Do you know why this could be happening? ie, the large spreads (which happen quite frequently) and why in this particular case I got an average price of just 18.16 when there were a lot of bidders above that?

Thank you!!

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A market order will be executed immediately as long as there are willing sellers and buyers. In a fast moving market and or when liquidity is low, the actual fills can be anywhere. There is no control over the price paid or received.

In your situation, at the beginning of 09:31:25 the quote was $18.50 x $18.80

Within milliseconds ( 09:31:25.192), it dropped to $18.46 x $18.80 with a trade executed at $18.46 . This triggered your stop $18.47 stop loss. Within 2 seconds, price dropped to $18.15 x $18.30 and that's when your order reached the front of the queue and was filled.

That's the deficiency of market orders.

  • I was seeing quite a lot of traders bidding at prices between 18.30 and 18.45 at 09:31:25 and the size of their last prices was just a subset of what they wanted, hence that I was wondering why they were not given my shares which were for sale at those prices. PS: what is the tool/software what you used to check the orders by millisecond? my Times and Sales just displayed them all with the same second... in Interactive Brokers – mickael Feb 9 at 1:58
  • My guess would be that there were market orders on the book ahead of you and they got executions from $18.45 down to $18.30 and that by the time your market order reached the head of the queue, price had fallen to $18.15. Not really as bad as it could have been since it closed at $15.17 today. I don't have access to orders by the millisecond. You provided that time in your initial question. – Bob Baerker Feb 9 at 4:32
  • And do you think it could be the case that other brokers have better execution techniques than Interactive Brokers(IB), so that when IB orders reach that head of the queue quite frequently those orders are allocated the worst available prices in that specific second rather than the best? because I've never been allocated a good price but a lot of times the worst... (lowest of the day, or highest when buying etc). Too many times to be a coincidence of random speed I would say... This time it happened at 09:31:25, so not sure if in that second there were many market orders on the book still? – mickael Feb 9 at 17:13
  • The broker isn't in charge of execution. You place an order (or an existing order is triggered) and it goes to order book. Execution is based on time (first come, first served) and price. Orders are filled based on NBBO. IB order routing is instantaneous. As with any broker, fills are immediate if liquidity exists on various exchanges and ECNs. If not, you wait for a counter party if limit order. If market order, you get whatever NBBO moves to by the time your up front. I have no idea if one can determine how many market orders were on the books. IB should be your best source for details. – Bob Baerker Feb 9 at 18:20
  • I thought my order would go to the market but an institutional trader checked the details of the trade and mentioned that he didn't see my orders on the book that IB was only sending IOC orders and my orders were never in the market. On top of that he sees the 1sec delay in execution as egregious and something he would look into and try to fix if it was his system.I need to ask IB why my orders were not sent as market orders to the market now for trying to clarify and they were just trying to hit other orders in the book! – mickael Feb 9 at 20:40

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