After a long time doing live simulations, I went totally "live" through Interactivebrokers with caution. Since I noticed that Algo seemed to react too slow I decided to stop it and analyze action so far with amplifying glass. In the following very concise trade example you could see the "long time" it takes since the Algo detects a signal, send the order and updates its status:
2017-07-09 21:32:24:988 (Interactivebrokers) IB.Adapter.Submit: Id=29
2017-07-09 21:32:25:029 (Interactivebrokers) IB.OrderRequest.Send:
2017-07-09 21:32:25:030 (Interactivebrokers) New state=PendingSubmit
2017-07-09 21:32:25:030 (Interactivebrokers) Cbi.Order.Update1: NewState=PendingSubmit
2017-07-09 21:32:25:035 (Interactivebrokers) Cbi.OrderStatusEventArgs.Process
2017-07-09 21:32:25:129 WARNING: Order Event Warning:Attribute 'Outside Regular Trading Hours' is ignored ( unnecesary I trade 24/7)
2017-07-09 21:32:25:129 WARNING: The closing order quantity is greater than your current position. 2137 ( unnecessary I reverse positions with one order )
2017-07-09 21:32:25:384 (Interactivebrokers) IB.OrderRequest.ProcessOpenOrders
2017-07-09 21:32:25:385 (Interactivebrokers) IB.OrderRequest.Process: State=PendingSubmit
2017-07-09 21:32:25:385 (Interactivebrokers) Cbi.Connection.ProcessEventArgs New state=Accepted Instrument
2017-07-09 21:32:25:386 (Interactivebrokers) Cbi.Order.Update1: New state=Accepted Instrument='$EURUSD'
2017-07-09 21:32:25:386 (Interactivebrokers) Cbi.Connection.ProcessEventArgs New state=Working Instrument
2017-07-09 21:32:25:386 (Interactivebrokers) Cbi.Order.Update1: New state=Working Instrument='$EURUSD'
2017-07-09 21:32:25:389 (Interactivebrokers) Cbi.OrderStatusEventArgs.Process: New state=Accepted Instrument='$EURUSD' A
2017-07-09 21:32:25:390 (Interactivebrokers) Cbi.OrderStatusEventArgs.Process: New state=Working Instrument='$EURUSD'
1. I need to confirm something that I'm not used to. Reading the trace file, Is the order submit and working in IB servers at 21:32:25:129 when it reads "PlaceOrder is now being processed" after the system warning ? because otherwise it took almost 400 milliseconds to process, unnaceptable.
2. Could it be the warnings at 21:32:25:129 that may be interfering the speed?
3. Any ideas or suggestions to solve this unacceptable delay?
There are still an ongoing analysis but let's start with this "easy one " which repeats always.
By the way: NT simulation engine does barely some approach, but it fills are not very real when you trade fast and often, cause it seems not to respect the queue in bid-Ask volumes before your orders requesting to be filled. So that needs a reform.
Thanks in advance
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