Help with auction orders on IB?

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AntiMatter
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Help with auction orders on IB?

Post by AntiMatter » Mon Dec 07, 2009 4:17 pm

The opening auction provides the best prices for my strategy. I have attempted to enter the auction on IB using exchange:ARCA and order type of AUC. I have tried both limit and market orders.

They always get cancelled at the market open. IB aren't being much help. Any ideas?

techtrade89
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Post by techtrade89 » Wed Dec 09, 2009 11:28 pm

What are you trading, stocks? I'm not sure what AUC is. But I would note the following:

1. I believe that if you are trading stocks, at least on the NYSE, you can't put in an order to trade "at the open" unless you trade at least 100 shares. Are you trading at least 100 shares?

2. I believe there are issues putting in orders "at the open" for ETF's. I dont' fully understand the issues, but the rough idea is that the specialists don't trust "at the open" orders for ETF's because there might be some temporary discrepancy between the ETF and an underlying stock that the "smart money" is trying to exploit. Thus, the specialists won't take at the open orders for ETF's.

In the past I have had orders rejected for both reasons - you don't get an explanation as to why, it just doesn't go through and my digging suggests to me the above reasons.

hope this helps.

AntiMatter
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Post by AntiMatter » Thu Dec 10, 2009 6:13 am

Thanks for the reply.

AUC is the order type auction on IB workstation.

I'm trading stocks.

My orders were for >100. Could it be that only round lots are accepted? I will try that today.

AntiMatter
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Post by AntiMatter » Thu Dec 10, 2009 9:51 am

Hmmm....

All my previous attempts got cancelled at 9:30, on open

Today my order to buy 100 on ARCA during the auction didn't get cancelled immediately, but instead just sat there for a while.

IB state "The order will be converted to a limit order at the Calculated Opening Price if it is not filled during the pre-market opening period". However, it should have fired off as limit, but didn't.

Eventually the order was cancelled at (exactly?) 9:45

I'm sure I'm being a dumb noob as normal, but this whole thing is really foxing me :cry:

cjo5039
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Post by cjo5039 » Thu Dec 10, 2009 2:25 pm

Have you tried SMART routing instead of ARCA?

AntiMatter
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Post by AntiMatter » Thu Dec 10, 2009 3:20 pm

You can't enter the auction with SMART routing, it has to be direct to the exchange.

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