Execution Delay

[Jean-Marc-Molina]

Hi,

I am using ninja trader for automated trading. I've faced a strange execution delay today.

Here is the situation :

I have 10 strategies running with calculate on bar close mode on 5mn bars.

I have 2 strategies that were supposed to send buy orders at 16:00:00 (French Time -> 10:00:00 US Eastern Time) today (the conditions to enter were met at the end of the previous bar).

at 16:00:00 I have the following messages in Ninja Trader Log :

12/11/2009 16:00:00;Order;Order='507cf3dbd5b54a01b67c33a4b68c b1bb/U811951' Name='Buy' New State=PendingSubmit Instrument='CAC40 11-09' Action=Buy Limit price=0 Stop price=0 Quantity=1 Type=Market Filled=0 Fill price=0 Error=NoError Native error='';

12/11/2009
16:00:00;Order;Order='fffb9bda05694f2c8bcbcb97d8ea 87c5/U811951' Name='Buy' New State=PendingSubmit Instrument='CAC40 11-09' Action=Buy Limit price=0 Stop price=0 Quantity=1 Type=Market Filled=0 Fill price=0 Error=NoError Native error='';


The issue is that the Market orders were executed only at 16:00:26.

Betwenen 16:00:00 and 16:00:26, I read the following warnings at 16:00:24 in Ninja Trader Log :

12/11/2009 16:00:24;Default;Order Event Warning:Attribute 'Outside Regular Trading Hours' is ignored based on the order type and destination. PlaceOrder is now being processed. 2109;

12/11/2009 16:00:24;Default;Order Event Warning:Attribute 'Outside Regular Trading Hours' is ignored based on the order type and destination. PlaceOrder is now being processed. 2109;

Are these messages coming from the broker (Interactive Brokers) or from Ninja Trader ? If so, how can I avoid such a delay ? Is there any configuration item I forgot to specify.

I was Inside Regular trading hours.


Thank you in advance.

[NinjaTrader_Bertrand]

Jean, this message comes directly from the IB API, please see this thread here - http://www.ninjatrader-support2.com/...d.php?p=124447

[Jean-Marc-Molina]

If I understand correctly, this means that IB took 26 seconds to process my order. Any other feedback from IB customers that are facing this issue?

[NinjaTrader_Bertrand]

Is this on TWS 898.4? I think you can disable to the 'warning', too - best would be to check with IB support directly.