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Steve2

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Subject : IB Restriction on Large MOO Orders
Posted : 8/14/2015 1:13 PM
Post #35452 - In reply to #34961

Ran across an interesting (and undocumented as far as I know) IB restriction on MOO and MOC orders. IB will reject a MOO or MOC order if the order size is greater than 10% of the 20-day average daily volume for the stock where the average daily volume is calculated ONLY from the exchanges or ECNs that IB uses to trade the stock. This average volume number can be way less than the average daily volume for the stock across all the exchanges or ECNs where it trades. For example, I hit this restriction when I attempted to submit an order for 9K shares of a stock with 20-day average daily volume of 360K shares. This restriction is enforced across the aggregate number of shares of all MOO/MOC orders you submit so breaking a large order up does not avoid the problem.

The error returned is "Order Size Out of Range". I believe this error can also be returned if you hit one of your "Precaution" limits that can be set in the IB Gateway or TWS so if you get this error, you need to first check those limits. If they have not been exceeded then you have probably been hit by this restriction.

To avoid the problem, you can submit Market Orders before market open rather than MOO orders. I did extensive testing of slippage related to MOO vs Market orders submitted before market open and did not find any difference in slippage between the two. However, that testing was done with more liquid stocks and with smaller order sizes (< 2,500 shares).

I am switching back to submitting market orders rather than MOO orders and I'll report back if I do notice any significant difference in slippage between the two order types.

Of course, the other way to avoid this is to set the Max Trade Size as % of Avg Daily Volume account setting to a low number like 0.5% to 1% but that will cause trades to be filtered out which might not be the behavior you want.

Steve
Deleting message 35452 : IB Restriction on Large MOO Orders


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