Interactive Brokers FX horror fill 1.26% slippage on stop...

DaManJ

Junior member
20 0
Stop loss on long USD / JPY position has over 100 points slippage!!!

See below for transcript of chat with Allan T and Sal Recco -
What do people on this forum think? Has anyone ever experience this type of slippage before? is it even legal? This is over 1.26% percent slippage on a currency.



ChatSys: This chat is associated with ticket #483172. Please record this number for use in future inquiries. You are currently in room 'General '.
Coriss: Hello, this is 'Coriss'. How may I help you?
damanxxx: Hi Coriss
damanxxx: i have some massive slippage on a USD/JPY stop loss.
damanxxx: the fill was well over 100 points below my stop
damanxxx: so i think that is clearly wrong
Coriss: which trade you refer to?
damanxxx: 2011-03-16, 17:15:01
damanxxx: 77.75789
Coriss: I checked that
Coriss: was it the execution was 77.6403
damanxxx: well i'm looking at the online statement
damanxxx: it shows price of 77.75789
damanxxx: i think that is the average execution price
damanxxx: it was a 100k stop loss
damanxxx: and filled 80K at 77.762
damanxxx: 10K at 77.64
damanxxx: 10K at 77.841
Coriss: Please wait
Coriss: I am going to transfer your chat to trade desk
Coriss: Thank you for waiting
damanxxx: ok
ChatSys: ChatSession transferred from 'General ' to 'Allan T' in 'General '
ChatSys: Allan T has joined the chat.
Allan T: Hello, this is Allan Please allow me a moment to read the transcript of your chat thus far and I'll assist you shortly.
Allan T: Thank you for holding
damanxxx: ok
Allan T: As per the audit trail, the stop order triggered at 17:15:00 US EST and turned into a market order and executed at the 3 difference price as you can mentioned earlier
damanxxx: yes, and the slippage is huge so i think the fill is wrong
Allan T: even though your stop is at 78.8 but at the time market opened at 17:15 US ET, it was already below that so it executed at the prevailing market price at the time, I don't see any slippage
damanxxx: over 100 points slippage is unheard of for an fx trade
damanxxx: maybe 2 - 5 points. but never 100
damanxxx: maybe your system was just running really delayed??
damanxxx: i should have to pay for that
damanxxx: i should not have to pay for that i mean
Allan T: you may refer to the time and sales on trader workstation, that is the market bid at the time
damanxxx: so you are suggesting there is a gap of 100 points in the market? that doesn't happen in fx
Allan T: You may refer to the time and sales for the bid/ask at the time
damanxxx: so your systems obviously doesn't have the right time granularity
damanxxx: this is a serious issue
damanxxx: no brokers give 100 points slippage on fx trades
Allan T: Sorry, I don't understand what you mean by slippage, the order triggered correctly and executed at market price at the time
damanxxx: you don't understand? that is crazy
damanxxx: fx markets do not gap 100 points
damanxxx: so your execution is obviously wrong
Allan T: Sorry, as I mentioned, the order triggered correctly and executed at market price at the time
Allan T: I don't see anything wrong with the triggering of the order nor the execution.
damanxxx: how can you explain the slippage?
damanxxx: if it executed when the market trade 78.80, are you telling me out of the entire fx market the next trade was below 77.80? i should sue you over this if you think that is the case
Allan T: the stop order you submitted turns into a market order once triggered,
Allan T: a market order is executing a whatever the on going price is at the time,
Allan T: as mentioned previously, at the time the stop order triggered, it was below 78.80 already, that means it opened lower than 78.80 and that means the market is below 78.80 already, the market bid as the time was below 78.
damanxxx: you are talking about "your" record
damanxxx: which is clearly wrong
damanxxx: in fx markets, you don't have one trade above 78.80, and the next trade below 78. that doesn't happen
damanxxx: that is why you need to fix this
damanxxx: in addition, fx market stop loss does not depend on trade price
damanxxx: there are only bid / ask in the fx market
Allan T: Yes, I can confirm on other sources that the bid/ask was below 78,
Allan T: you may refer to our web site for more information on stop orders
damanxxx: but what you are trying to suggest is that there is a big 100 point gap in the market
damanxxx: there isn't
damanxxx: so your fill is clearly wrong
damanxxx: you are trying to tell me at at a certain time the price was 100 points above and but also 100 points below at the same time. thats rediculous
Allan T: I am sorry you feel this way, but as mentioned previously, the order triggered correctly and then executed within the context of the market and the trade stands.
damanxxx: no, there are only 2 explanations
damanxxx: (a) you triggered it right, and executed it wrong
damanxxx: (b) you triggered it wrong, and executed with a large delay
damanxxx: from when you should have triggered it and executed it
damanxxx: if you systems are running behind the real market, of course you can fudge your records to say something happened at a certain time when in reality it didn't
damanxxx: there is basically no way you can say the market was trading 100 points above and 100 points below at the same time
Allan T: As per audit trail which you can access as well on you trader workstation, the order triggered and executed at the same second
damanxxx: yes, and that means your systems are not running properly
damanxxx: if you trigger a stop loss way too late, of course the fill is going to be bad
damanxxx: thats not my fault, that is yours
damanxxx: if the slippage was between 1 and 15 points, that could possibly be considered, but over 100 points no way
damanxxx: many traders trade for 20 / 30 pips for PROFIT. 100 slippage is unheard of
Allan T: I am sorry, as mentioned previously, there is nothing we can do as audit trail does not suggest any inconsistencies.
Allan T: You may refer to the time and sales at the time to see what the market prices were.
damanxxx: no your audit trail SUGGESTS inconsistencies
damanxxx: with (a) your systems, and (b) the audit trail itself
Allan T: I am sorry, this trade will stand.
damanxxx: please put me onto your superior
Allan T: Please hold.
Allan T: Sorry, there are no supervision available at this time,
Allan T: you may submit a ticket and we will follow our standard procedures for these cases.
damanxxx: this clearly needs some investigation from your IT team
damanxxx: as your record is inconsistent
damanxxx: with reality
Allan T: Please submit a ticket and we will have relevant team investigate as I do not see any inconsistencies.
damanxxx: please give me a reference number for this chat
Allan T: Certainly, its ticket 483172
damanxxx: by the way your claim of no inconsistency is absolutely rediculous
damanxxx: anyone in their right mind would find this completely wrong
damanxxx: so you are clearly trying to hide the fact that IB made a huge error here.
Allan T: I am sorry you feel this way, but as mentioned previously, you may submit a ticket regarding this. Thank you.
damanxxx: do stop loss go through your trading desk or are they automated?
Allan T: Automated.
damanxxx: and did your system experience a real delay at the time of this order?
Allan T: Not that we were aware of and audit trail should show if there were delays.
damanxxx: so if you do not know if there was a system delay or not which impacted your trades and audit trail, then how can you know this trade should stand?
damanxxx: and secondly, were any other IB customers orders executed between 88.80, and 87.80 at this time? or did every IB custom experience this same 100 point slippage?
Allan T: I am sorry but we are going in circules, if you would like to pursue with disputing this order, please send us a ticket to escalate as at this moment, this trade will stand and there is nothing we can do.
damanxxx: and how do you explain that when there are other brokers and banks who did trade between?
damanxxx: no these are valid questions and deserve a response
Allan T: You may refer to other sources if you have doubt on prices shown in Trader Workstation.
damanxxx: were any other IB customers orders executed between 88.80, and 87.80 at this time? or did every IB custom experience this same 100 point slippage?
Allan T: Time and sales does not show any trades for USD.JPY at 88.80 or 87.80
damanxxx: i said between
damanxxx: ?
Allan T: I cannot see bid/ask reach 87.80 at the time
damanxxx: what question are you answering? not mine
damanxxx: were any other IB customers orders executed between 88.80, and 87.80 at this time?
Allan T: I cannot see any bid/ask at or above 87.80 or 88.80 the time
damanxxx: that is not answering my question
damanxxx: were any other IB customers orders executed between 88.80, and 87.80 at this time?
damanxxx: were any other IB customers orders executed between 88.80, and 87.80 at this time?
ChatSys: No activity from customer side in the last 30 seconds.Session may be terminated by CSR, if customer does not respond.
damanxxx: hello?
Allan T: Whether there were any IB customer orders executed at any price is irrelevant, there were no executions done between 88.80 to 87.80, as mentioned this trade will stand, if you would like pursue with this dispute, you may send us a ticket.
damanxxx: well it is completely relevant
damanxxx: it is relevant because it reveals that your audit is inaccurate
damanxxx: in a situation where you discuss only the bid/ask yet there are many other customer prints, clearly your audit does not contain accurate information
damanxxx: for example, i have 3 fills on this order, all at completely different prices
damanxxx: so i would like to know what is the highest fill IB gave to other customers at this time
Allan T: I am sorry, you may submit a claim ticket for this as we cannot do anything on this trade now. Thank you.
damanxxx: you can answer the question - what the highest fill that was that was given to other customers at this time?
Allan T: I am sorry, you may submit a claim ticket for this as we cannot do anything on this trade now. Thank you.
damanxxx: can can do something in response to my request for information
damanxxx: what the highest fill that was that was given to other customers at this time?
Allan T: Such information is irrelevant and I cannot disclose the information, we have tried to explained to you regarding your execution in question and this conversation will not be leading to any conclusion, thus we will be closing this chat, if you would like to pursue with this dispute, please feel free to send us a ticket.
damanxxx: if you refuse to provide this information it only indicates that you are trying to cover something up
damanxxx: it is not irrelevant at all
damanxxx: in fact, if you are saying you "cannot" disclose that information, then someone is telling you not to. in which case your superior is in fact there.
damanxxx: i which case i would request again to speak to your superior
Allan T: Thank you for contact Interactive Brokers, goodbye.
damanxxx: execution details is not private information. this is a valid request for information...
damanxxx: by refusing you are implicating yourself and your company in a coverup
damanxxx: you are being less than helpful. this chat will certainly be going to trade to win online forum
damanxxx: well are you going to close the chat on me or not? you're obviously not answering my qn
damanxxx: ?
damanxxx: ?
Allan T: Please hold.
ChatSys: Transferring ChatSession from 'General ' to 'Technical Assistance'
ChatSys: ChatSession transferred from 'Technical Assistance' to 'Sal Recco' in 'General '
ChatSys: ChatSession transferred from 'General ' to 'Sal Recco' in 'General '
ChatSys: Sal Recco has joined the chat.
Sal Recco: Hello, this is 'Sal Recco'. Please allow me a moment to read the transcript of your chat thus far and I'll assist you shortly.
ChatSys: Sal Recco has joined the chat.
Sal Recco: Hello, this is 'Sal Recco'. Please allow me a moment to read the transcript of your chat thus far and I'll assist you shortly.
Sal Recco: Sir, I am sorry for all the confusion with the transfers
damanxxx: hi, thank you, so you are the right person to help me?
Sal Recco: I have reviewed the fill. The market moved drastically during the trigger of your stop. You can see this from Time and Sales in your TWS
Sal Recco: I would also question a fill that far from my trigger.
damanxxx: yes, this is over 1.26% slippage on a currency
Sal Recco: When I first saw the fill, I asked Allan to prove to me it was valid
Sal Recco: I can send you detailed information if you would. Please send a trouble ticket and I'm happy to provide all the internal data we have on the markets at this time.
Sal Recco: You're always going to see slight slippage when your talking about a stop trigger and in this case the currency moved and other large orders came into the market at the same time,(slightly ahead) of yours.
damanxxx: other IB customer orders?
Sal Recco: Correct.
damanxxx: so the big guys get preference and the little guys get screwed?
Sal Recco: The person who submits the order first get's the first fill. I have no idea the size of the other customers.
damanxxx: but this was a stop loss, so i did not submit it
damanxxx: it sounds like your IT infrastructure has a pretty bad queuing issue
Sal Recco: That doesn't make sense. Your order goes in when the market conditions send it based on the trigger method you choose. This happens in a fraction of a second. There are no IT or queuing issues.
Sal Recco: If you want a more detailed explanation I suggest you send a ticket and we will provide a full explanation of T&S and market conditions that triggered your order.
damanxxx: so are you saying your infrastructure processes everything in parallel? there is no limit to the threads you run to processes orders?
damanxxx: even a multi-threaded system has limitations on how much it can process at a time
Sal Recco: All systems have limitations. What does that have to do with your order?
damanxxx: that is why i say maybe requests were queuing on your IT infrastructure itself, not the market
damanxxx: well if there was an IT bottleneck to process my order, that shouldn't cost me over $1300
Sal Recco: If you want to see how the system performed, send a ticket and we'll provide an explanation broken down into a timeline and you can judge than. Having the conversation now about bottlenecks is assumptions and guesses when you can also easily confirm this in Time and Sales in your TWS.
damanxxx: yes, well i think this is a relevant point
Sal Recco: Agreed. But we're not going to accomplish anything until we have the time to put together a timeline of the events and prices so you can judge the performance.
damanxxx: i can do that, however i can't imagine any broker out there can justify over 100 points slippage on an fx order
damanxxx: and as you said other IB customers big orders were being processed ahead of mine, but this shouldn't cause such an impact
Sal Recco: We have 16 of the largest banks quoting along with thousands of IB customers. If our T&S show that slippage, the market moved. In fact, the market moved more than 100 points in under a second. That means 16 of the largest banks changed their quote at that time for some reason.
damanxxx: well it is not binary. prices don't just trade one and then the other
Sal Recco: Other orders were the least of the problem. They weren't large but helped to document the banks were adjusting their quotes in this pair since they make it clear fills went off over 100 points away from each other in less than a second
Sal Recco: If you want the details, I'm happy to pull them for you but it will take a little time. I can have them to your before the end of the day but I can't gather them while discussing what might have caused this.
damanxxx: ok, yes i would like to have more information on this
damanxxx: can you sent it to my email address on record?
Sal Recco: No problem. I can only say what I was able to confirm in 5 minutes at this point. I think you deserve a better explanation but I need time to pull all the details.
Sal Recco: The trade executed so there is no open risk. If the fill was bad, you can submit a complaint. I can't say that until I can review the event.
damanxxx: i see, and if you find some problem in how IB executed my order, will you reimburse part of the loss?
damanxxx: i mean i can accept that there would be some slippage in a situation like this, but i cannot believe that 1.26% can be wiped off a currency before a stop loss would have a chance to execute.
Sal Recco: We will consider it. I can't say anything 100% at this point but stop orders are something we take very seriously since a customer should have confidence his broker will stop him out and manage that risk.
damanxxx: yes, and especially because FX is traded on large margin
damanxxx: and IB allows customers to take larger positions because of that
damanxxx: because the volatility is low
Sal Recco: I'm really not trying to be difficult or vague. I need to review the event. I can promise if there was an issue, I will tell you about it. I just don't like guessing or promising things I can't deliver.
Sal Recco: Compensation is on a case by case basis. I don't know there was a problem with this order but I'm happy to find out with 100% certainty before the end of the day
damanxxx: and if IB gives me massive loss like this i don't think i can be comfortable to trust IB can manage that risk
Sal Recco: That is your decision. I will provide the facts.
damanxxx: ok, so what do you want me to do now? or i just wait for you email?
damanxxx: *your email*
Sal Recco: Wait for my email. You can submit an official complaint via a ticket know so it is registered and you know you will receive an official response with all details as we are required by regulation.
damanxxx: ok, well i really don
damanxxx: i really don't much like that ticket system as I have sent some request before and just got some random response
Sal Recco: It's very different when you say in the ticket, this is an official complaint.
damanxxx: i had emailed to have my employer get copies of my statements - and i had attached a pdf to that email
damanxxx: and i got some reponse to say the pdf was not readable. except it was electronic copy and clearly legible. anyway, i will raise a complaint.
Sal Recco: I will review the event and provide you with the details.
damanxxx: ok, i will leave you to it
 

DaManJ

Junior member
20 0
I just got the following reply, and i can't believe it.
I thought FX was a 24 hour market? 15 minute downtime is extremely dangerous!!! If I had known that IB had this downtime, I would always be extremely careful about holding positions over this window!
It is also scary that the market chose this time in particular to drop a few hundred points.
Co-incidence? or someone taking advantage of the fact that a big market maker has shut down for 15 minutes??? This is highly suspicious.


Subject: USD.JPY Stop Order
From: [email protected]
Date: 17/03/2011 15:03

Mr. x,

At 17:00 EST (5:00HKT) when the system goes down for 15 minutes everyday, the bid ask was 79.585 x 79.60. Your trigger method was set to midpoint.
The market when we start quoting again at 17:15 EST (5:15 HKT) is 77.690 x 77.145. Your stop is 78.80.

We trigger your stop at 5:15:00.518 HKT

Your order is submitted to the market at 5:15:00.525 HKT

The first execution comes back at 5:15:01.570 at 77.841

I'm not sure any other explanation is required. To give you an idea of how volatile the pair was today (for obvious reasons), one minute later the at
5:15:59 the bid ask was 78.240 x 78.450.

If you have additional questions, please let me know.

Salvatore Recco
Head of Institutional Services, Asia
Interactive Brokers LLC
 

fxdean

Newbie
4 0
Yeah today was a bit of an anomaly.. was that 5am HKT ? Which was about 7-7.30am here.. right when the Yen decided to have it's biggest move since 1995?

I was sitting watching the whole thing. One minute I was about 400 pts down, then next it shows 800 points.. I'm like WTF?!

Luckily I bought some at that level and actually made profit when it rebounded again.. (talking GJ here).

However, I personally dont know of many brokers who go offline .. mine is always up except weekends.
 

DaManJ

Junior member
20 0
Yeah, I think this is a deal breaker for me to use Interactive Brokers for FX trading going forward - at least for taking highly speculative positions like this one. I was betting on a rebound off the 1995 low.

I mean 100 point loss is not so much the issue, I lost that much on on the order itself, but that turned into 200 points because of the slippage. And I just as easily could have been holding a 200K position or higher in which case I could have lost far more.

I'm actually really really surprised they have downtime mid-week. I guess that's my own fault for not doing the due diligence though...
 

wackypete2

Legendary member
10,229 2,055
UJ fell into a freefall losing about 350 pips during your broker's downtime. That's what happened. That's why they keep telling you there was no slippage. When IB "reopened" for business you got the very next price.

Just my opinion, but if they have downtime, when everyone else can trade I'd run fast. At worst you would have experienced 10-15 pip slippage just due to the events. It went down fast but there were no large gaps.

Peter
 

anley

Senior member
2,730 229
All things happen to a trader both good and bad although more bad than good.

Take it on the chin as it happens to everyone, even the best trader in the world whoever that is.
 

Trader333

Moderator
8,655 981
IB shuts down every day for 15 minutes to do maintenance and there would have been nothing unusual in them doing so during this trade. In my view it is always important to know what the times are that trading takes place and the times of the 15 minute shutdown. I think you were just unlucky in this case but as others have said it may be better if you like to take highly speculative trades to move your account.


Paul
 

DaManJ

Junior member
20 0
Just my opinion, but if they have downtime, when everyone else can trade I'd run fast. At worst you would have experienced 10-15 pip slippage just due to the events.

Yes, my thoughts exactly. And it also runs counter to the assumption that if the exchange is open, the stop is working.

This is also bad for the market as a whole as well, as it means if a lot of stops are crossed during that 15 minute period, as soon as the market re-opens, all those stops are executed in one go, pushing the market down (or up) even further.

You hear about automated systems heedlessly buying / selling the market and causing serious disruption. I don't see how this is any different, as a lot of orders get queued up and executed all in one go, and from a large broker, this can have a big market impact.
 

DaManJ

Junior member
20 0
I tell you what though, if I was privy to IB's order book during that time and i knew that in the next min a huge number of stops were going to be executed, i might just decide to front run all those orders with another bank / broker who was not 'closed'.
And in an unregulated market like FX, why not?
hey, and why not shut for an hour instead of 15 minutes, then we can collect even more stops.

I'm suddenly inspired to setup my own FX bucket-shop!
 

Trader333

Moderator
8,655 981
IB is not a bucket shop or anywhere near it. It would be commercial suicide for them to be front running orders of their client accounts and I have never had any issue with them on any trading instruments. They have an enviable reputation in the trading world and that would be unsustainable if they were less than honest in my view.


Paul
 

arabianights

Legendary member
6,721 1,380
I tell you what though, if I was privy to IB's order book during that time and i knew that in the next min a huge number of stops were going to be executed, i might just decide to front run all those orders with another bank / broker who was not 'closed'.
And in an unregulated market like FX, why not?
hey, and why not shut for an hour instead of 15 minutes, then we can collect even more stops.

I'm suddenly inspired to setup my own FX bucket-shop!

no offence but from perspective of those who would do this you're small cheese and not worth bothering with
 

DaManJ

Junior member
20 0
no offence but from perspective of those who would do this you're small cheese and not worth bothering with

ah, but small cheeze can put off quite a smell... care to try?

but i do not suggest that IB would do that. but they would definitely have one of the biggest FX books out there in terms of brokers dealers. So the thought just struck the lateral side of my evil mind as interesting...
After all what is a forum for if not for speculation on random things. we have wikipedia and wikileaks when we want the truth, right?

But please do share your good experiences with IB if you have them. As often people are only motivated to share experiences, when they are bad.
 

arabianights

Legendary member
6,721 1,380
I have no experience whatsoever with IB... I'm just saying they're very unlikely to be out to get you!

(And this wasn't why that dropped anyway, not IB specifically... everyone would have known there would be loads of stops there, it's super obvious)
 

wackypete2

Legendary member
10,229 2,055
Here's what you need to find out to determine if IB is or isn't a bucket shop...
Certainly, some traders had BUY LIMIT orders that got triggered during the down time. When IB finally reopened what fill did they get? According to what IB is saying it should be the first available price ie: 100 pips better than their order, which is correct for a true limit order. My guess...they got filled at their limit price. Why? IB or their liquidity providers needed to hedge that order and THEY are open even when IB is down.

Peter
 
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