1. Do you have to do anything special @ Interactive Brokers (IB) in order to sell stock that you do not currently own?
You only need to have margin account. If you have just the cash account, shorting is not supported. Otherwise nothing special is needed.
2. What happens if IB cannot borrow the stock for you?
IB API has one excellent feature - it reports in real time, if the stock is shortable or not at the moment. PTL Trader uses this feature and it won't attempt to enter pair position, if the short leg is not reported shortable.
In case if shorting fails for another reason, PTL Trader will cancel the sell order, close the long position and marks the pair as "intervention required". It never happened to me yet.
3. Is such a sell as quick as a buy or does the borrowing process that more time?
I trade only quite small account now (20K USD) and for my order sizes is similar to buy order fill times. Typically in range 0.5 - 1.0 seconds.
