What was your order size? I believe order sizes below the minimum ($25,000 I think) won't appear in the bid ask and end up with worse fills. I had the same reaction as you and was upset when I first saw this until I found out about the minimum order size issue.
The other night, when all server farms were connected (I checked status in TWS and reset data connections multiple times), I have noticed that my LMT order was not executing while market price was matching it or even exceeding it.?The order was placed manually on TWS for a Forex pair. I am pretty certain results would have been the same if it was done through API. I could see that the order had a different color sign beside it (that was unfamiliar to me) and tooltip said IBKR did not acknowledge the order yet.
Given there was no connection issue between my TWS and IBKR, it seems that IBKR can at their own discretion - without any penalty to them - do one or all of below:
A) Delay some users order executions (by putting certain servers on maintenance and not other servers) while other users executions are processing (be it intentionally or not). This in effect gives some users access to working servers and others not which creates an unfair advantage.
B) Delay some or all users order executions while their own orders might be executed (i.e. if they are loaning user shares to other brokers or exchanges for short selling). Or they could be participating in Forex market as a corporation while user orders are not executed because they do no eat their own dog food and their own order route through different servers.
OR another scenario that might be happening is that:
C) IBKR's internal execution system is down for that particular security (or all types of securities) and sending process to external or internal exchange system does not work BUT they are showing data feed from exchanges which basically excludes their own exchange trading which is not happening at that time. This scenario is a maintenance issue of course and no trickery since no one is advantaged over another. It is the data that is placed through other brokers to their internal exchange or external exchanges but IBKR reflects them to their users while their order placement system is down.
My questions:
1) If C above happens, do they ever show an indicator for this issue in either TWS *charts (not order window) or through API that you have seen? Something like, "Oops your LMT is matching wide market price now but our systems are down to place it and execute it - we are sorry for our horrible service).
2) If A or B happens, isn't there a regulatory body that checks their tapes and goes well at this 5 minutes you as a corporation sent millions of orders while none of your regular user orders were sent to exchanges? Or is this too in-depth for the feds still and they don't have the technical knowledge to monitor these sort of trickeries or mistakes?
3) I have seen this happening with Forex (I think it was around reset time - 12:00 am; not that reset time gives them an excuse). Have you seen this happen with regular stock (or other securities) or Forex at any other time or in another scenario?
4) Have you noticed any other serious - out of whack - data streams or order issues that you have experienced? and how do you try to remedy them?
Thanks,
