Support Board
Date/Time: Thu, 16 Jan 2025 03:14:44 +0000
Post From: no fill trade through on ES using IB+SCData
| [2017-09-26 14:36:14] |
| Joe Hobart - Posts: 89 |
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I frequently use the "Current Traded Bid Volume" on the dom to watch fills come in on ES. over the past couple months i was getting what can only be described as trade through no fills on IB as clearing using the Sierra data feed. I finally managed to catch a clean example of this on video, but now i am not sure how to validate what is going on. Note i have been doing this setup for many years and am very familiar with its motion. Its either a recently introduced bug in sierra, or IB is legit not submitting my orders to the book. i started noticing this in august. You can see clearly that order is places with 296 on offer. a block trade comes through, putting 302 filled on offer and 119 filled on bid. In the worst case, my order should be filled as the 296, but certainly would be swept into the 302 on offer. you will see price move away without a fill for almost 10 more seconds until it returns. either that 302+119 from the "current traded bid volume" calculation is not correct, or i was not in the order book. Date Time Of Last Edit: 2017-09-26 17:20:19
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