MOC – missed trades

[Anonymous]

I have been running my MOC system now for 5 sessions and so far so good – everything is tracking nicely. On Friday, I missed a fill however, and the impact was significant in terms of the day’s results. I am curious if this sort of thing happens to others, and if so how often. Is there any solution anyone has come up with to avoid this? Here are the details:

-I had an order routed to IB with the batch trader to buy 34 shares of NOW in the US with a limit of 72.93.

-NOW opened at 72.85 (below my limit) and quickly traded higher. I did not get a fill despite ~1600 shares trading at/below my limit. Here is the time and sales from my Bloomberg terminal. Note that all the trades that happened at/below the limit occurred within the first minute of the session, but trades below the limit occurred as late as 9:30:58, so this wasn’t a “flash market” – the stock was legitimately trading below my limit for the first minute of trade.

-The exchange code “P” is ARCA, “T” is NASDAQ intermarket, so I should be eligible to trade on these exchanges. “D” is FINRA’s ADF and I am pretty sure this is a special designation so those prints can be ignored.

This would have been the best trade of the day for me, and made would have doubled my profit on Friday. As a result, my real results deviated from my MCS by half – I only made ~125 USD instead of making ~250. I am trading small now since I am making sure I can get real results to match testing, but this sort of thing will cost me a lot once I get rolling with real size, and if this happens often, I will not get results in-line w MCS.

I am wondering if the issue is due to the smart router – perhaps I should change the batch trader to route to a specific exchange? Does anyone else get legitimate missed entries like this often in running your MOC systems and how are you addressing this?

Thanks.

[Anonymous]

Meant to post this in the “Running your trading biz” section…

I would also note that the red down arrows in the screenshot indicate down ticks, so people were “hitting the bid” below my price…clearly the smart router was not bidding for me otherwise there would not have been a trade through.

[Nick Radge]

Did you query IB?

[Anonymous]

Planning on it but their customer service chat is down for maintenance. I remember this happening at least once before last time I went live and they provided a “hand waving” answer about how the smart router does its best but sometime will miss fills in fast markets depending on what exchange it is pointing to. I will provide any feedback I get from them when it is available, but I am curious if this happens to others as well, how often, and if it ultimately ends up impacting results in a meaningful way over time.

[TrentRothall]

I’m not trading a MOC system Brent but have had similar situations occur on the ASX. Price has traded at or below my limit order but there isn’t enough liquidity to get a fill.Only happened a few times and had little effect. I find more often that i get a fill in iB where price trades exactly at my LMT but it doessn’t show in AB because the data hasn’t shown the price at that level. They often end up being good trades

[Anonymous]

Trent Rothall wrote:

I’m not trading a MOC system Brent but have had similar situations occur on the ASX. Price has traded at or below my limit order but there isn’t enough liquidity to get a fill.Only happened a few times and had little effect. I find more often that i get a fill in iB where price trades exactly at my LMT but it doessn’t show in AB because the data hasn’t shown the price at that level. They often end up being good trades

I’ve had this happen once so far as well..not complaining about that deviation!

[Author]

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