Bob, this is reprinted with permission of the poster at holygrailsm group at yahoo. What do you think ?
I had a little discussion with IB this week, and this may be related to
what you are seeing. It turns out they will not execute a market order
until a stock or ETF opens on its "primary" market. In the case of
many (or most) ETFs, this is the Amex.
I had an order in for TWM, and it was actively trading by 9:31 Eastern
(plenty of quotes & trades, and pretty narrow bid-ask spread). But my
order didn't execute, and TWM was going up. I changed it to a limit
order and got it to execute.
After discussion, it turned out that it didn't open on the Amex until
after 9:37, after the price had risen. So NO market or stop orders were
executed by IB (even with SMART routing) until then. Only limit or stop-
limit orders can be executed during that period of "limbo."