IB FYI: Important information about Market Orders

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IB FYI: Important information about Market Orders

posted Dec 2, 2016

My algorithm is trading live on Interactive Brokers and I received from them the following email message:

Please note that a Market Order is an instruction to trade your order at any price available in the market, subject to any additional instructions for handling/simulating the particular order type you specified and other order conditions you specify when submitting your order. A Market Order is not guaranteed a specific trade price and may trade at an undesirable price. If you would like greater control over the trade prices you receive, please submit your order using a Limit Order, which is an instruction to place your order at or better than the specified limit price, or submit an algorithmic Market Order (IBALGO).

I'm using order_target_percent and I thought that the default already was Limit Order (see https://www.quantopian.com/help#exchange-routing)

Should I set explicitly use style=LimitOrder(limit_price, exchange)? and which is the best was to set the limit_price*?

2 responses

I added to the buy orders LimitOrder(data.current(stock, 'price') * 1.025, exchange=IBExchange.SMART) but that changed considerably the result of the backtest. How realistic is this assumption or should I use another threshold?

I just noticed, there was a bug with LimitOrders and Backtesting:
- https://www.quantopian.com/posts/limit-orders-not-backtesting-properly
- https://www.quantopian.com/posts/limit-order-execution-at-varying-prices

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.