Orders not executing at time expected during live trading in IB Account

[Dragon989]

I'm currently testing my strategy during the live market on an IB Paper Trading account with the API gateway. Order execution is not working as expected.

I have a simple EnterShort or Long when some criteria is hit. This triggers as expected and shows as Submitted in Orders and occurred at 6:31 for 800 shares. The executions times really confused me.

300 shares at 6:35:28 for 40.14
400 shares at 6:36:55 for 40.02
100 shares at 6:37:39 for 40.08

There was plenty of liquidity at the time.

[NinjaTrader_JoshG]

Hello Dragon989,
Thanks for your post.

What version of NinjaTrader 8 are you using?

What bar type are you using?

How much volume was available at those times?

[Dragon989]

1 minute bar
Volume averaging about 50k to 250k
Version 8.0.15.1

[NinjaTrader_JoshG]

Dragon989,

That seems normal to me and simply sounds like a partial fill. Are you manually coding this strategy?

[Dragon989]

Sorry - not normal. It's 50k to 250k volume per minute. I trade this stock manually all the time and am always immediately filled. With almost no slippage. Yes it's a manually coded strategy - would that make a difference if my order was submitted at the expected time and only executed late?

[NinjaTrader_JoshG]

Dragon989,

If you are using a market order or an order type that can partially fill these things can happen. I expect that these executions occurred as soon as the volume allowed for it. Do you see that all three executions are tied to the same order?

Since you manually coded the strategy, you could use the execution update override to find partial fills and confirm this is the case. Here is a great reference sample on how to use OnExecutionUpdate and OnOrderUpdate to track your orders.

https://ninjatrader.com/support/forum/forum/ninjascript-educational-resources/reference-samples/7729-strategy-using-onorderupdate-and-onexecution-methods-to-submit-protective-orders?t=7499

[Dragon989]

Yes they were all connected to the same order as my one order that triggered minutes before was for 800 shares and monitored it the Orders tab on the main NinjaTrader window. I assure you that there was plenty of volume to trigger when the order occurred.

6:30 500k traded
6:31 200k traded
6:32 250k traded
6:33 201k traded

It was a single market order for 800 shares that filled at...

300 shares at 6:35:28 for 40.14

400 shares at 6:36:55 for 40.02

100 shares at 6:37:39 for 40.08

Order showed submitted at 6:31.