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Time of Order Submission Limit Calculation / Conditional / Price Improvement Order
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Time of Order Submission Limit Calculation / Conditional / Price Improvement Order

  #1 (permalink)
Boston, MA
Posts: 10 since Jun 2012
Thanks: 22 given, 4 received

Time of Order Submission Limit Calculation / Conditional / Price Improvement Order

A nice feature of the IB TWS is the ability to generate CONDITIONAL orders and orders from ALERTS. These two features work similarly and are somewhat interchangeable.

My problem is trying to figure out how to create a PRICE IMPROVEMENT type order to be submitted when my CONDITION or ALERT is triggered.

Lets say for example one wanted to buy SPY if the VIX fell to 14.00. It is easy enough in IB to set an ALERT or CONDITIONAL order where a sub 14 print in VIX triggers a SPY buy order. But I can't figure out how to configure the buy order to seek price improvement at the actual time the order is submitted.

I tried fiddling around with TRAILING LIT, TRAILING MIT, REL orders etc, but their limits and triggers are based off levels at the TIME OF ORDER CREATION, not at the TIME OF ORDER SUBMISSION.

I guess my real question is how do I configure orders in TWS that are based off NBBO at time of submission not the NBBO at time of creation? It would be great if I could figure out how to set up a simple LIMIT order that calculated and submitted an order say .10 below the market.

Any thoughts?

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