First of all, TickByTick data is not aggregated. For TickByTickLast, for example, you will get one callback for every trade that takes place. And while some members have reported that callbacks appear to be "bunched" together, that usually is identified as a local or ISP network buffering issue. The only time we experience "bunching" (for ES futures) is when an order for, say, 250 contracts is quickly filled by a large number of small trades with 1 to 50 contracts adding up to 250. Each of these small trades is reported individually with only microseconds of time between them.
I don't think we have enough information to effectively help you with the order not getting filed issue. Do you place the order via the API and monitor it with TWS? The best I can do is give you a list of things I would check in these cases:
- Does your client log show any OrderStatus or OrderState callbacks or errors from IBKR that could give you more insight?
- I assume we are talking about a point in time that is after the regular trading hours. Are you sure your order has OutsideRTH and possibly ConditionsIgnoreRth set to true?
- The instruments you mention are listed on several different exchanges. Have you selected a specific exchange where the STPLMT order might be executed natively at the exchange, or do you use some IBKR features that make the order one that is simulated at IBKR? For simulated orders you can select one of several trigger methods in the order object.
- There are to flag orders, and apparently since TWS 919 "native stops at the exchange, both triggered and untriggered, display green". I'd look for an additional indication that the order is definitely triggered but not filled.
- orders have two prices that impact whether the order can get filled. Assuming the stop trigger price was "attained or penetrated" and IBKR or the exchange placed the limit order for you, was your limit price selected so that the order could "buy or sell at a specified price or better"? Or was the price for the instrument on the "worse price" side by the time the limit order was in place?
Hope anything of this helps.
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On Tue, Nov 15, 2022 at 02:21 PM, @sv624 wrote:
Hi,?
I place a StopLimit order before earnings release. The stock drops 10% but my order does not get executed.
I see the color change to green as soon as the price dropped. But why does it not execute?
I guess too quick price change and not enough liquidity? But this happened with major tickers like META, AMZN etc.
Too narrow trigger price and limit price? I tried increasing it but did not help.
I subscribed to tick by tick data. When the price drops suddenly, I don't see any ticks during some part of the drop.
If IBKR tick by tick is aggregate of 300ms as I read in some posts, then is this a limitation of IBKR?
Thank you
