I am operating a new system in test mode. some of my trade fills have been pretty far off the real market - even in quiet markets. ex. sell to close today a long in CGBZ0 was 5 cents (.0005) - below - the published bid side in Interactive brokers and eSignal. The market’s bid size was larger than the offer at 25 contracts and held stead before and after my fill on c2 test system. My sale was for 4 contracts only. I got a 126.52 bid to close when the bid-offer was 126.57-59.
Are price fills for test systems based on delayed quotes/other? If not how should I understand that above?
Mike Holder, Toronto.
Are you using IB’s demo account? The quotes and fills are not accurate there. In order to get real live quotes and trade execution like in a live account you have to apply for a “Paper Account”. You need to have an active open account at IB in order to do that.
Hi, Mike:
I do indeed confirm there seems to be a problem with our Montreal Futures Exchange connection. Let me investigate and get back to you shortly.
Mike:
Upon some investigation, it turns out that I do not see any problems with our Montreal Futures prices. So if you think you see a specific problem today, please send me an email with the details and I’ll try to look. Is it possible that you are using delayed quotes at IB, as per the previous poster’s comment?
Thanks for checking re the problem with mtl exchange feed. I wouldn’t have asked unless I thought something was really wrong. Answer re using IB demo is no. only using “test” system in c2, not IB. IB screen I am watching is an institutional account that already subscribes to 2 C2 systems - and is totally realtime/ live. MH.
Fair enough. Then please alert me via email with the details the next time you see a fill price that doesn’t seem correct on this exchange.
Matthew
Thanks. re “am I using delayed quotes at IB” ? No. everything 100% realtime in the IB account and with eSignal for same symbol. FYI the Order in question used c2’s “advanced” / “postpone” feature in C2 trade blotter. Specifically the STC order on 4 CGBZ0’s was set for Sep 28, 15:59 est. In other words I set the order for one minute before the 4 pm.close. I was able to see a 25 x 10 126.57-126.59 market on the real time IB both before and after the C2 order correctly initiated right at 15:59 est. then I got a 52 fill (?) Is there something about the postpone feature in test mode that uses a wrong or delayed quote for fill? A diff of 5 cents in fills on an account like this ($100K) can completely negate the rationale of the strategy and benefit of track record. MH
Ah, that explains it. The “park-until” feature basically has granularity of 1 minute. You cannot be assured that using park-until will get you filled at the seconds-timestamp you specify. You could be up to +60 secs.
If you want to have high-granularity timed orders, you’ll need to use our API to deliver the order at the time you want, or you’ll need to key in the order manually at the time you want. Then you can be assured of nearly instant processing.
Thanks Matthew re “park until” trades as cause of poor fill. Here’s some related good news. Today I sort of verified what you said about “park until”, plus the efficacy of the site for Limit trade fills in fast markets. Today I had a take profit BTC order at 126.12 - in a very fast market - and at the time that price traded only once for a second and then moved up. I was filled on C2 to close with profits. I probably couldn’t have replicated that manually as a market fill. Impressive. Hope its consistent.
(More questions later on API setup best with IB - I have Trade bullet on other side - and Trader 68 in waiting.) MH
